def compare_solver_sdca(self):
"""...Compare SDCA solution with SVRG solution
"""
np.random.seed(12)
n_samples = Test.n_samples
n_features = Test.n_features
for fit_intercept in [True, False]:
y, X, coeffs0, interc0 = TestSolver.generate_logistic_data(
n_features, n_samples)
model = ModelLogReg(fit_intercept=fit_intercept).fit(X, y)
ratio = 0.5
l_enet = 1e-2
# SDCA "elastic-net" formulation is different from elastic-net
# implementation
l_l2_sdca = ratio * l_enet
l_l1_sdca = (1 - ratio) * l_enet
sdca = SDCA(l_l2sq=l_l2_sdca, max_iter=100, verbose=False, tol=0,
seed=Test.sto_seed).set_model(model)
prox_l1 = ProxL1(l_l1_sdca)
sdca.set_prox(prox_l1)
coeffs_sdca = sdca.solve()
# Compare with SVRG
svrg = SVRG(max_iter=100, verbose=False, tol=0,
seed=Test.sto_seed).set_model(model)
prox_enet = ProxElasticNet(l_enet, ratio)
svrg.set_prox(prox_enet)
coeffs_svrg = svrg.solve(step=0.1)
np.testing.assert_allclose(coeffs_sdca, coeffs_svrg)
def test_solver_sdca(self):
"""...Check SDCA solver for a Logistic regression with Ridge
penalization and L1 penalization
"""
solver = SDCA(l_l2sq=1e-5, max_iter=100, verbose=False, tol=0)
self.check_solver(solver,
fit_intercept=False,
model="logreg",
decimal=1)
# Now a specific test with a real prox for SDCA
np.random.seed(12)
n_samples = Test.n_samples
n_features = Test.n_features
for fit_intercept in [True, False]:
y, X, coeffs0, interc0 = TestSolver.generate_logistic_data(
n_features, n_samples)
model = ModelLogReg(fit_intercept=fit_intercept).fit(X, y)
ratio = 0.5
l_enet = 1e-2
# SDCA "elastic-net" formulation is different from elastic-net
# implementation
l_l2_sdca = ratio * l_enet
l_l1_sdca = (1 - ratio) * l_enet
sdca = SDCA(l_l2sq=l_l2_sdca,
max_iter=100,
verbose=False,
tol=0,
seed=Test.sto_seed).set_model(model)
prox_l1 = ProxL1(l_l1_sdca)
sdca.set_prox(prox_l1)
coeffs_sdca = sdca.solve()
# Compare with SVRG
svrg = SVRG(max_iter=100, verbose=False, tol=0,
seed=Test.sto_seed).set_model(model)
prox_enet = ProxElasticNet(l_enet, ratio)
svrg.set_prox(prox_enet)
coeffs_svrg = svrg.solve(step=0.1)
np.testing.assert_allclose(coeffs_sdca, coeffs_svrg)