rumale-linear_model 0.24.0
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- checksums.yaml +7 -0
- data/LICENSE.txt +27 -0
- data/README.md +34 -0
- data/lib/rumale/linear_model/base_sgd.rb +275 -0
- data/lib/rumale/linear_model/elastic_net.rb +115 -0
- data/lib/rumale/linear_model/lasso.rb +111 -0
- data/lib/rumale/linear_model/linear_regression.rb +199 -0
- data/lib/rumale/linear_model/logistic_regression.rb +266 -0
- data/lib/rumale/linear_model/nnls.rb +141 -0
- data/lib/rumale/linear_model/ridge.rb +206 -0
- data/lib/rumale/linear_model/svc.rb +203 -0
- data/lib/rumale/linear_model/svr.rb +126 -0
- data/lib/rumale/linear_model/version.rb +10 -0
- data/lib/rumale/linear_model.rb +14 -0
- metadata +106 -0
checksums.yaml
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metadata.gz: 3a7999fbdb27dc6ed43710083da0cecf2336bfb08277fa4240be7b56c2603c9f
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data.tar.gz: 91ce194539b8abc95fb3ec7335bd4843aea126774ebb566eb9953955f775427afd032f9d02894c8507337d20f03baafa39903eb9dd9f9157ccf6a8d22028fe8b
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data/LICENSE.txt
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Copyright (c) 2022 Atsushi Tatsuma
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All rights reserved.
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Redistribution and use in source and binary forms, with or without
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modification, are permitted provided that the following conditions are met:
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* Redistributions of source code must retain the above copyright notice, this
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list of conditions and the following disclaimer.
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* Redistributions in binary form must reproduce the above copyright notice,
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this list of conditions and the following disclaimer in the documentation
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and/or other materials provided with the distribution.
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* Neither the name of the copyright holder nor the names of its
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contributors may be used to endorse or promote products derived from
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this software without specific prior written permission.
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
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AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
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IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
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DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
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FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
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DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
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SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
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CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
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OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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data/README.md
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# Rumale::LinearModel
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[![Gem Version](https://badge.fury.io/rb/rumale-linear_model.svg)](https://badge.fury.io/rb/rumale-linear_model)
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[![BSD 3-Clause License](https://img.shields.io/badge/License-BSD%203--Clause-orange.svg)](https://github.com/yoshoku/rumale/blob/main/rumale-linear_model/LICENSE.txt)
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[![Documentation](https://img.shields.io/badge/api-reference-blue.svg)](https://yoshoku.github.io/rumale/doc/Rumale/LinearModel.html)
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Rumale is a machine learning library in Ruby.
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Rumale::LinearModel provides linear model algorithms,
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such as Logistic Regression, Support Vector Machine, Lasso, and Ridge Regression
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with Rumale interface.
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## Installation
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Add this line to your application's Gemfile:
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```ruby
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gem 'rumale-linear_model'
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```
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And then execute:
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$ bundle install
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Or install it yourself as:
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$ gem install rumale-linear_model
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## Documentation
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- [Rumale API Documentation - LinearModel](https://yoshoku.github.io/rumale/doc/Rumale/LinearModel.html)
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## License
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The gem is available as open source under the terms of the [BSD-3-Clause License](https://opensource.org/licenses/BSD-3-Clause).
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# frozen_string_literal: true
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require 'rumale/base/estimator'
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module Rumale
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module LinearModel
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# @!visibility private
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# This module consists of the classes that implement penalty (regularization) term.
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module Penalty
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# @!visibility private
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# L2Penalty is a class that applies L2 penalty to weight vector of linear model.
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# This class is used internally.
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class L2Penalty
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# @!visibility private
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def initialize(reg_param:)
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@reg_param = reg_param
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end
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# @!visibility private
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def call(weight, lr)
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weight - @reg_param * lr * weight
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end
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end
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# @!visibility private
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# L1Penalty is a class that applies L1 penalty to weight vector of linear model.
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# This class is used internally.
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class L1Penalty
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# @!visibility private
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def initialize(reg_param:)
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@u = 0.0
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@reg_param = reg_param
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end
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# @!visibility private
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def call(weight, lr)
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@q_vec ||= Numo::DFloat.zeros(weight.shape[0])
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@u += @reg_param * lr
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z = weight.dup
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gt = weight.gt(0)
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lt = weight.lt(0)
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weight[gt] = Numo::DFloat.maximum(0.0, weight[gt] - (@u + @q_vec[gt])) if gt.count.positive?
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weight[lt] = Numo::DFloat.minimum(0.0, weight[lt] + (@u - @q_vec[lt])) if lt.count.positive?
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@q_vec += weight - z
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weight
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end
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end
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end
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# @!visibility private
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# This module consists of the class that implements stochastic gradient descent (SGD) optimizer.
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module Optimizer
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# @!visibility private
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# SGD is a class that implements SGD optimizer.
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# This class is used internally.
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class SGD
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# @!visibility private
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# Create a new SGD optimizer.
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# @param learning_rate [Float] The initial value of learning rate.
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# @param momentum [Float] The initial value of momentum.
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# @param decay [Float] The smooting parameter.
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def initialize(learning_rate: 0.01, momentum: 0.0, decay: 0.0)
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@learning_rate = learning_rate
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@momentum = momentum
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@decay = decay
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@iter = 0
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end
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# @!visibility private
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def current_learning_rate
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@learning_rate / (1.0 + @decay * @iter)
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end
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# @!visibility private
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def call(weight, gradient)
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@update ||= Numo::DFloat.zeros(weight.shape[0])
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@update = @momentum * @update - current_learning_rate * gradient
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@iter += 1
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weight + @update
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end
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end
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end
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# @!visibility private
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# This module consists of the classes that implement loss function for linear model.
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module Loss
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# @!visibility private
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# MeanSquaredError is a class that calculates mean squared error for linear regression model.
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class MeanSquaredError
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# @!visibility private
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def loss(out, y)
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((out - y)**2).sum.fdiv(y.shape[0])
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end
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# @!visibility private
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def dloss(out, y)
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2.fdiv(y.shape[0]) * (out - y)
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end
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end
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# @!visibility private
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# LogLoss is a class that calculates logistic loss for logistic regression.
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class LogLoss
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# @!visibility private
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def loss(out, y)
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Numo::NMath.log(1 + Numo::NMath.exp(-y * out)).sum.fdiv(y.shape[0])
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end
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# @!visibility private
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def dloss(out, y)
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y / (1 + Numo::NMath.exp(-y * out)) - y
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end
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end
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# @!visibility private
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# HingeLoss is a class that calculates hinge loss for support vector classifier.
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class HingeLoss
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# @!visibility private
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def loss(out, y)
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out.class.maximum(0.0, 1 - y * out).sum.fdiv(y.shape[0])
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end
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# @!visibility private
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def dloss(out, y)
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tids = (y * out).lt(1)
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d = Numo::DFloat.zeros(y.shape[0])
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d[tids] = -y[tids] if tids.count.positive?
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d
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end
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end
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# @!visibility private
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# EpsilonInsensitive is a class that calculates epsilon insensitive for support vector regressor.
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class EpsilonInsensitive
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# @!visibility private
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def initialize(epsilon: 0.1)
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@epsilon = epsilon
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end
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# @!visibility private
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def loss(out, y)
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out.class.maximum(0.0, (y - out).abs - @epsilon).sum.fdiv(y.shape[0])
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end
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# @!visibility private
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def dloss(out, y)
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d = Numo::DFloat.zeros(y.shape[0])
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tids = (out - y).gt(@epsilon)
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d[tids] = 1 if tids.count.positive?
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tids = (y - out).gt(@epsilon)
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d[tids] = -1 if tids.count.positive?
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d
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end
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end
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end
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# BaseSGD is an abstract class for implementation of linear model with mini-batch stochastic gradient descent (SGD) optimization.
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# This class is used internally.
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class BaseSGD < ::Rumale::Base::Estimator
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# Create an initial linear model.
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def initialize
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super()
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@params = {
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learning_rate: 0.01,
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decay: nil,
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momentum: 0.0,
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bias_scale: 1.0,
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fit_bias: true,
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reg_param: 0.0,
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l1_ratio: 0.0,
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max_iter: 1000,
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batch_size: 50,
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tol: 0.0001,
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verbose: false
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}
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end
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private
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L2_PENALTY = 'l2'
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L1_PENALTY = 'l1'
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ELASTICNET_PENALTY = 'elasticnet'
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private_constant :L2_PENALTY, :L1_PENALTY, :ELASTICNET_PENALTY
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def partial_fit(x, y)
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class_name = self.class.to_s.split('::').last if @params[:verbose]
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narr = x.class
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# Expand feature vectors for bias term.
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x = expand_feature(x) if fit_bias?
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# Initialize some variables.
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sub_rng = @rng.dup
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n_samples, n_features = x.shape
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weight = Numo::DFloat.zeros(n_features)
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optimizer = ::Rumale::LinearModel::Optimizer::SGD.new(
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learning_rate: @params[:learning_rate], momentum: @params[:momentum], decay: @params[:decay]
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)
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l2_penalty = ::Rumale::LinearModel::Penalty::L2Penalty.new(reg_param: l2_reg_param) if apply_l2_penalty?
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l1_penalty = ::Rumale::LinearModel::Penalty::L1Penalty.new(reg_param: l1_reg_param) if apply_l1_penalty?
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# Optimization.
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@params[:max_iter].times do |t|
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sample_ids = Array(0...n_samples)
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sample_ids.shuffle!(random: sub_rng)
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until (subset_ids = sample_ids.shift(@params[:batch_size])).empty?
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# sampling
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sub_x = x[subset_ids, true]
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sub_y = y[subset_ids]
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# calculate gradient
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dloss = @loss_func.dloss(sub_x.dot(weight), sub_y)
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dloss = narr.minimum(1e12, narr.maximum(-1e12, dloss))
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gradient = dloss.dot(sub_x)
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# update weight
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lr = optimizer.current_learning_rate
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weight = optimizer.call(weight, gradient)
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# l2 regularization
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weight = l2_penalty.call(weight, lr) if apply_l2_penalty?
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# l1 regularization
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weight = l1_penalty.call(weight, lr) if apply_l1_penalty?
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end
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loss = @loss_func.loss(x.dot(weight), y)
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puts "[#{class_name}] Loss after #{t + 1} epochs: #{loss}" if @params[:verbose]
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break if loss < @params[:tol]
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end
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split_weight(weight)
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end
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def expand_feature(x)
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n_samples = x.shape[0]
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Numo::NArray.hstack([x, Numo::DFloat.ones([n_samples, 1]) * @params[:bias_scale]])
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end
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def split_weight(weight)
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if fit_bias?
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[weight[0...-1].dup, weight[-1]]
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else
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[weight, 0.0]
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end
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end
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def fit_bias?
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@params[:fit_bias] == true
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end
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def apply_l2_penalty?
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@penalty_type == L2_PENALTY || @penalty_type == ELASTICNET_PENALTY
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end
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def apply_l1_penalty?
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@penalty_type == L1_PENALTY || @penalty_type == ELASTICNET_PENALTY
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end
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def l2_reg_param
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case @penalty_type
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when ELASTICNET_PENALTY
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@params[:reg_param] * (1.0 - @params[:l1_ratio])
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when L2_PENALTY
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@params[:reg_param]
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else
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0.0
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end
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end
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def l1_reg_param
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case @penalty_type
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when ELASTICNET_PENALTY
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@params[:reg_param] * @params[:l1_ratio]
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when L1_PENALTY
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@params[:reg_param]
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else
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0.0
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end
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end
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end
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end
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end
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# frozen_string_literal: true
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require 'rumale/base/regressor'
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require 'rumale/validation'
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require 'rumale/linear_model/base_sgd'
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module Rumale
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module LinearModel
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# ElasticNet is a class that implements Elastic-net Regression
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# with stochastic gradient descent (SGD) optimization.
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#
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# @example
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# require 'rumale/linear_model/elastic_net'
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#
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# estimator =
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# Rumale::LinearModel::ElasticNet.new(reg_param: 0.1, l1_ratio: 0.5, max_iter: 1000, batch_size: 50, random_seed: 1)
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# estimator.fit(training_samples, traininig_values)
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# results = estimator.predict(testing_samples)
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#
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# *Reference*
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# - Shalev-Shwartz, S., and Singer, Y., "Pegasos: Primal Estimated sub-GrAdient SOlver for SVM," Proc. ICML'07, pp. 807--814, 2007.
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# - Tsuruoka, Y., Tsujii, J., and Ananiadou, S., "Stochastic Gradient Descent Training for L1-regularized Log-linear Models with Cumulative Penalty," Proc. ACL'09, pp. 477--485, 2009.
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# - Bottou, L., "Large-Scale Machine Learning with Stochastic Gradient Descent," Proc. COMPSTAT'10, pp. 177--186, 2010.
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class ElasticNet < BaseSGD
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include ::Rumale::Base::Regressor
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# Return the weight vector.
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# @return [Numo::DFloat] (shape: [n_outputs, n_features])
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attr_reader :weight_vec
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# Return the bias term (a.k.a. intercept).
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# @return [Numo::DFloat] (shape: [n_outputs])
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attr_reader :bias_term
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# Return the random generator for random sampling.
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# @return [Random]
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attr_reader :rng
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# Create a new Elastic-net regressor.
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#
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# @param learning_rate [Float] The initial value of learning rate.
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# The learning rate decreases as the iteration proceeds according to the equation: learning_rate / (1 + decay * t).
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# @param decay [Float] The smoothing parameter for decreasing learning rate as the iteration proceeds.
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# If nil is given, the decay sets to 'reg_param * learning_rate'.
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# @param momentum [Float] The momentum factor.
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# @param reg_param [Float] The regularization parameter.
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# @param l1_ratio [Float] The elastic-net mixing parameter.
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# If l1_ratio = 1, the regularization is similar to Lasso.
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# If l1_ratio = 0, the regularization is similar to Ridge.
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# If 0 < l1_ratio < 1, the regularization is a combination of L1 and L2.
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# @param fit_bias [Boolean] The flag indicating whether to fit the bias term.
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# @param bias_scale [Float] The scale of the bias term.
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# @param max_iter [Integer] The maximum number of epochs that indicates
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# how many times the whole data is given to the training process.
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# @param batch_size [Integer] The size of the mini batches.
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# @param tol [Float] The tolerance of loss for terminating optimization.
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# @param n_jobs [Integer] The number of jobs for running the fit method in parallel.
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# If nil is given, the method does not execute in parallel.
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# If zero or less is given, it becomes equal to the number of processors.
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# This parameter is ignored if the Parallel gem is not loaded.
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# @param verbose [Boolean] The flag indicating whether to output loss during iteration.
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# @param random_seed [Integer] The seed value using to initialize the random generator.
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def initialize(learning_rate: 0.01, decay: nil, momentum: 0.9,
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reg_param: 1.0, l1_ratio: 0.5, fit_bias: true, bias_scale: 1.0,
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max_iter: 1000, batch_size: 50, tol: 1e-4,
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n_jobs: nil, verbose: false, random_seed: nil)
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super()
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@params.merge!(method(:initialize).parameters.to_h { |_t, arg| [arg, binding.local_variable_get(arg)] })
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@params[:decay] ||= @params[:reg_param] * @params[:learning_rate]
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@params[:random_seed] ||= srand
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@rng = Random.new(@params[:random_seed])
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@penalty_type = ELASTICNET_PENALTY
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@loss_func = ::Rumale::LinearModel::Loss::MeanSquaredError.new
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end
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# Fit the model with given training data.
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#
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# @param x [Numo::DFloat] (shape: [n_samples, n_features]) The training data to be used for fitting the model.
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# @param y [Numo::DFloat] (shape: [n_samples, n_outputs]) The target values to be used for fitting the model.
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# @return [ElasticNet] The learned regressor itself.
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def fit(x, y)
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x = ::Rumale::Validation.check_convert_sample_array(x)
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y = ::Rumale::Validation.check_convert_target_value_array(y)
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::Rumale::Validation.check_sample_size(x, y)
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n_outputs = y.shape[1].nil? ? 1 : y.shape[1]
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n_features = x.shape[1]
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if n_outputs > 1
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@weight_vec = Numo::DFloat.zeros(n_outputs, n_features)
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@bias_term = Numo::DFloat.zeros(n_outputs)
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if enable_parallel?
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models = parallel_map(n_outputs) { |n| partial_fit(x, y[true, n]) }
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n_outputs.times { |n| @weight_vec[n, true], @bias_term[n] = models[n] }
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else
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n_outputs.times { |n| @weight_vec[n, true], @bias_term[n] = partial_fit(x, y[true, n]) }
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end
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else
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@weight_vec, @bias_term = partial_fit(x, y)
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end
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self
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end
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# Predict values for samples.
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#
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# @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the values.
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# @return [Numo::DFloat] (shape: [n_samples, n_outputs]) Predicted values per sample.
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def predict(x)
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x = ::Rumale::Validation.check_convert_sample_array(x)
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x.dot(@weight_vec.transpose) + @bias_term
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end
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end
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end
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end
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# frozen_string_literal: true
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require 'rumale/base/regressor'
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require 'rumale/validation'
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require 'rumale/linear_model/base_sgd'
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module Rumale
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module LinearModel
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# Lasso is a class that implements Lasso Regression
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# with stochastic gradient descent (SGD) optimization.
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#
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# @example
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# require 'rumale/linear_model/lasso'
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#
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# estimator =
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# Rumale::LinearModel::Lasso.new(reg_param: 0.1, max_iter: 1000, batch_size: 20, random_seed: 1)
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# estimator.fit(training_samples, traininig_values)
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# results = estimator.predict(testing_samples)
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#
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# *Reference*
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# - Shalev-Shwartz, S., and Singer, Y., "Pegasos: Primal Estimated sub-GrAdient SOlver for SVM," Proc. ICML'07, pp. 807--814, 2007.
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# - Tsuruoka, Y., Tsujii, J., and Ananiadou, S., "Stochastic Gradient Descent Training for L1-regularized Log-linear Models with Cumulative Penalty," Proc. ACL'09, pp. 477--485, 2009.
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# - Bottou, L., "Large-Scale Machine Learning with Stochastic Gradient Descent," Proc. COMPSTAT'10, pp. 177--186, 2010.
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class Lasso < BaseSGD
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include ::Rumale::Base::Regressor
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# Return the weight vector.
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# @return [Numo::DFloat] (shape: [n_outputs, n_features])
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attr_reader :weight_vec
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# Return the bias term (a.k.a. intercept).
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# @return [Numo::DFloat] (shape: [n_outputs])
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attr_reader :bias_term
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# Return the random generator for random sampling.
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# @return [Random]
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attr_reader :rng
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# Create a new Lasso regressor.
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#
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# @param learning_rate [Float] The initial value of learning rate.
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# The learning rate decreases as the iteration proceeds according to the equation: learning_rate / (1 + decay * t).
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# @param decay [Float] The smoothing parameter for decreasing learning rate as the iteration proceeds.
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# If nil is given, the decay sets to 'reg_param * learning_rate'.
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# @param momentum [Float] The momentum factor.
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# @param reg_param [Float] The regularization parameter.
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# @param fit_bias [Boolean] The flag indicating whether to fit the bias term.
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# @param bias_scale [Float] The scale of the bias term.
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# @param max_iter [Integer] The maximum number of epochs that indicates
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# how many times the whole data is given to the training process.
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# @param batch_size [Integer] The size of the mini batches.
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# @param tol [Float] The tolerance of loss for terminating optimization.
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# @param n_jobs [Integer] The number of jobs for running the fit method in parallel.
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# If nil is given, the method does not execute in parallel.
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# If zero or less is given, it becomes equal to the number of processors.
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# This parameter is ignored if the Parallel gem is not loaded.
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# @param verbose [Boolean] The flag indicating whether to output loss during iteration.
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# @param random_seed [Integer] The seed value using to initialize the random generator.
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def initialize(learning_rate: 0.01, decay: nil, momentum: 0.9,
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reg_param: 1.0, fit_bias: true, bias_scale: 1.0,
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max_iter: 1000, batch_size: 50, tol: 1e-4,
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n_jobs: nil, verbose: false, random_seed: nil)
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super()
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@params.merge!(method(:initialize).parameters.to_h { |_t, arg| [arg, binding.local_variable_get(arg)] })
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@params[:decay] ||= @params[:reg_param] * @params[:learning_rate]
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@params[:random_seed] ||= srand
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@rng = Random.new(@params[:random_seed])
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@penalty_type = L1_PENALTY
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@loss_func = ::Rumale::LinearModel::Loss::MeanSquaredError.new
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end
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# Fit the model with given training data.
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#
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# @param x [Numo::DFloat] (shape: [n_samples, n_features]) The training data to be used for fitting the model.
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# @param y [Numo::DFloat] (shape: [n_samples, n_outputs]) The target values to be used for fitting the model.
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# @return [Lasso] The learned regressor itself.
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def fit(x, y)
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x = ::Rumale::Validation.check_convert_sample_array(x)
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y = ::Rumale::Validation.check_convert_target_value_array(y)
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::Rumale::Validation.check_sample_size(x, y)
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n_outputs = y.shape[1].nil? ? 1 : y.shape[1]
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n_features = x.shape[1]
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if n_outputs > 1
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@weight_vec = Numo::DFloat.zeros(n_outputs, n_features)
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@bias_term = Numo::DFloat.zeros(n_outputs)
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if enable_parallel?
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models = parallel_map(n_outputs) { |n| partial_fit(x, y[true, n]) }
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n_outputs.times { |n| @weight_vec[n, true], @bias_term[n] = models[n] }
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else
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n_outputs.times { |n| @weight_vec[n, true], @bias_term[n] = partial_fit(x, y[true, n]) }
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end
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else
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@weight_vec, @bias_term = partial_fit(x, y)
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end
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self
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end
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# Predict values for samples.
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#
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# @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the values.
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# @return [Numo::DFloat] (shape: [n_samples, n_outputs]) Predicted values per sample.
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def predict(x)
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x = ::Rumale::Validation.check_convert_sample_array(x)
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x.dot(@weight_vec.transpose) + @bias_term
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end
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end
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end
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end
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