rumale 0.8.0

data/lib/rumale/linear_model/lasso.rb

@@ -0,0 +1,136 @@
+# frozen_string_literal: true
+
+require 'rumale/linear_model/base_linear_model'
+require 'rumale/base/regressor'
+
+module Rumale
+  module LinearModel
+    # Lasso is a class that implements Lasso Regression
+    # with stochastic gradient descent (SGD) optimization.
+    #
+    # @example
+    #   estimator =
+    #     Rumale::LinearModel::Lasso.new(reg_param: 0.1, max_iter: 1000, batch_size: 20, random_seed: 1)
+    #   estimator.fit(training_samples, traininig_values)
+    #   results = estimator.predict(testing_samples)
+    #
+    # *Reference*
+    # - S. Shalev-Shwartz and Y. Singer, "Pegasos: Primal Estimated sub-GrAdient SOlver for SVM," Proc. ICML'07, pp. 807--814, 2007.
+    # - L. Bottou, "Large-Scale Machine Learning with Stochastic Gradient Descent," Proc. COMPSTAT'10, pp. 177--186, 2010.
+    class Lasso < BaseLinearModel
+      include Base::Regressor
+
+      # Return the weight vector.
+      # @return [Numo::DFloat] (shape: [n_outputs, n_features])
+      attr_reader :weight_vec
+
+      # Return the bias term (a.k.a. intercept).
+      # @return [Numo::DFloat] (shape: [n_outputs])
+      attr_reader :bias_term
+
+      # Return the random generator for random sampling.
+      # @return [Random]
+      attr_reader :rng
+
+      # Create a new Lasso regressor.
+      #
+      # @param reg_param [Float] The regularization parameter.
+      # @param fit_bias [Boolean] The flag indicating whether to fit the bias term.
+      # @param bias_scale [Float] The scale of the bias term.
+      # @param max_iter [Integer] The maximum number of iterations.
+      # @param batch_size [Integer] The size of the mini batches.
+      # @param optimizer [Optimizer] The optimizer to calculate adaptive learning rate.
+      #   If nil is given, Nadam is used.
+      # @param random_seed [Integer] The seed value using to initialize the random generator.
+      def initialize(reg_param: 1.0, fit_bias: false, bias_scale: 1.0, max_iter: 1000, batch_size: 10, optimizer: nil, random_seed: nil)
+        check_params_float(reg_param: reg_param, bias_scale: bias_scale)
+        check_params_integer(max_iter: max_iter, batch_size: batch_size)
+        check_params_boolean(fit_bias: fit_bias)
+        check_params_type_or_nil(Integer, random_seed: random_seed)
+        check_params_positive(reg_param: reg_param, max_iter: max_iter, batch_size: batch_size)
+        super
+      end
+
+      # Fit the model with given training data.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The training data to be used for fitting the model.
+      # @param y [Numo::Int32] (shape: [n_samples, n_outputs]) The target values to be used for fitting the model.
+      # @return [Lasso] The learned regressor itself.
+      def fit(x, y)
+        check_sample_array(x)
+        check_tvalue_array(y)
+        check_sample_tvalue_size(x, y)
+
+        n_outputs = y.shape[1].nil? ? 1 : y.shape[1]
+        n_features = x.shape[1]
+
+        if n_outputs > 1
+          @weight_vec = Numo::DFloat.zeros(n_outputs, n_features)
+          @bias_term = Numo::DFloat.zeros(n_outputs)
+          n_outputs.times { |n| @weight_vec[n, true], @bias_term[n] = partial_fit(x, y[true, n]) }
+        else
+          @weight_vec, @bias_term = partial_fit(x, y)
+        end
+
+        self
+      end
+
+      # Predict values for samples.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the values.
+      # @return [Numo::DFloat] (shape: [n_samples, n_outputs]) Predicted values per sample.
+      def predict(x)
+        check_sample_array(x)
+        x.dot(@weight_vec.transpose) + @bias_term
+      end
+
+      # Dump marshal data.
+      # @return [Hash] The marshal data about Lasso.
+      def marshal_dump
+        { params: @params,
+          weight_vec: @weight_vec,
+          bias_term: @bias_term,
+          rng: @rng }
+      end
+
+      # Load marshal data.
+      # @return [nil]
+      def marshal_load(obj)
+        @params = obj[:params]
+        @weight_vec = obj[:weight_vec]
+        @bias_term = obj[:bias_term]
+        @rng = obj[:rng]
+        nil
+      end
+
+      private
+
+      def partial_fit(x, y)
+        n_features = @params[:fit_bias] ? x.shape[1] + 1 : x.shape[1]
+        @left_weight = Numo::DFloat.zeros(n_features)
+        @right_weight = Numo::DFloat.zeros(n_features)
+        @left_optimizer = @params[:optimizer].dup
+        @right_optimizer = @params[:optimizer].dup
+        super
+      end
+
+      def calc_loss_gradient(x, y, weight)
+        2.0 * (x.dot(weight) - y)
+      end
+
+      def calc_new_weight(_optimizer, x, _weight, loss_gradient)
+        @left_weight = round_weight(@left_optimizer.call(@left_weight, calc_weight_gradient(loss_gradient, x)))
+        @right_weight = round_weight(@right_optimizer.call(@right_weight, calc_weight_gradient(-loss_gradient, x)))
+        @left_weight - @right_weight
+      end
+
+      def calc_weight_gradient(loss_gradient, data)
+        ((@params[:reg_param] + loss_gradient).expand_dims(1) * data).mean(0)
+      end
+
+      def round_weight(weight)
+        0.5 * (weight + weight.abs)
+      end
+    end
+  end
+end

data/lib/rumale/linear_model/linear_regression.rb

@@ -0,0 +1,110 @@
+# frozen_string_literal: true
+
+require 'rumale/linear_model/base_linear_model'
+require 'rumale/base/regressor'
+
+module Rumale
+  module LinearModel
+    # LinearRegression is a class that implements ordinary least square linear regression
+    # with mini-batch stochastic gradient descent optimization.
+    #
+    # @example
+    #   estimator =
+    #     Rumale::LinearModel::LinearRegression.new(max_iter: 1000, batch_size: 20, random_seed: 1)
+    #   estimator.fit(training_samples, traininig_values)
+    #   results = estimator.predict(testing_samples)
+    #
+    class LinearRegression < BaseLinearModel
+      include Base::Regressor
+
+      # Return the weight vector.
+      # @return [Numo::DFloat] (shape: [n_outputs, n_features])
+      attr_reader :weight_vec
+
+      # Return the bias term (a.k.a. intercept).
+      # @return [Numo::DFloat] (shape: [n_outputs])
+      attr_reader :bias_term
+
+      # Return the random generator for random sampling.
+      # @return [Random]
+      attr_reader :rng
+
+      # Create a new ordinary least square linear regressor.
+      #
+      # @param fit_bias [Boolean] The flag indicating whether to fit the bias term.
+      # @param bias_scale [Float] The scale of the bias term.
+      # @param max_iter [Integer] The maximum number of iterations.
+      # @param batch_size [Integer] The size of the mini batches.
+      # @param optimizer [Optimizer] The optimizer to calculate adaptive learning rate.
+      #   If nil is given, Nadam is used.
+      # @param random_seed [Integer] The seed value using to initialize the random generator.
+      def initialize(fit_bias: false, bias_scale: 1.0, max_iter: 1000, batch_size: 10, optimizer: nil, random_seed: nil)
+        check_params_float(bias_scale: bias_scale)
+        check_params_integer(max_iter: max_iter, batch_size: batch_size)
+        check_params_boolean(fit_bias: fit_bias)
+        check_params_type_or_nil(Integer, random_seed: random_seed)
+        check_params_positive(max_iter: max_iter, batch_size: batch_size)
+        keywd_args = method(:initialize).parameters.map { |_t, arg| [arg, binding.local_variable_get(arg)] }.to_h.merge(reg_param: 0.0)
+        super(keywd_args)
+      end
+
+      # Fit the model with given training data.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The training data to be used for fitting the model.
+      # @param y [Numo::Int32] (shape: [n_samples, n_outputs]) The target values to be used for fitting the model.
+      # @return [LinearRegression] The learned regressor itself.
+      def fit(x, y)
+        check_sample_array(x)
+        check_tvalue_array(y)
+        check_sample_tvalue_size(x, y)
+
+        n_outputs = y.shape[1].nil? ? 1 : y.shape[1]
+        n_features = x.shape[1]
+
+        if n_outputs > 1
+          @weight_vec = Numo::DFloat.zeros(n_outputs, n_features)
+          @bias_term = Numo::DFloat.zeros(n_outputs)
+          n_outputs.times { |n| @weight_vec[n, true], @bias_term[n] = partial_fit(x, y[true, n]) }
+        else
+          @weight_vec, @bias_term = partial_fit(x, y)
+        end
+
+        self
+      end
+
+      # Predict values for samples.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the values.
+      # @return [Numo::DFloat] (shape: [n_samples, n_outputs]) Predicted values per sample.
+      def predict(x)
+        check_sample_array(x)
+        x.dot(@weight_vec.transpose) + @bias_term
+      end
+
+      # Dump marshal data.
+      # @return [Hash] The marshal data about LinearRegression.
+      def marshal_dump
+        { params: @params,
+          weight_vec: @weight_vec,
+          bias_term: @bias_term,
+          rng: @rng }
+      end
+
+      # Load marshal data.
+      # @return [nil]
+      def marshal_load(obj)
+        @params = obj[:params]
+        @weight_vec = obj[:weight_vec]
+        @bias_term = obj[:bias_term]
+        @rng = obj[:rng]
+        nil
+      end
+
+      private
+
+      def calc_loss_gradient(x, y, weight)
+        2.0 * (x.dot(weight) - y)
+      end
+    end
+  end
+end

data/lib/rumale/linear_model/logistic_regression.rb

@@ -0,0 +1,159 @@
+# frozen_string_literal: true
+
+require 'rumale/linear_model/base_linear_model'
+require 'rumale/base/classifier'
+
+module Rumale
+  module LinearModel
+    # LogisticRegression is a class that implements Logistic Regression
+    # with mini-batch stochastic gradient descent optimization.
+    # For multiclass classification problem, it uses one-vs-the-rest strategy.
+    #
+    # @example
+    #   estimator =
+    #     Rumale::LinearModel::LogisticRegression.new(reg_param: 1.0, max_iter: 1000, batch_size: 20, random_seed: 1)
+    #   estimator.fit(training_samples, traininig_labels)
+    #   results = estimator.predict(testing_samples)
+    #
+    # *Reference*
+    # - S. Shalev-Shwartz, Y. Singer, N. Srebro, and A. Cotter, "Pegasos: Primal Estimated sub-GrAdient SOlver for SVM," Mathematical Programming, vol. 127 (1), pp. 3--30, 2011.
+    class LogisticRegression < BaseLinearModel
+      include Base::Classifier
+
+      # Return the weight vector for Logistic Regression.
+      # @return [Numo::DFloat] (shape: [n_classes, n_features])
+      attr_reader :weight_vec
+
+      # Return the bias term (a.k.a. intercept) for Logistic Regression.
+      # @return [Numo::DFloat] (shape: [n_classes])
+      attr_reader :bias_term
+
+      # Return the class labels.
+      # @return [Numo::Int32] (shape: [n_classes])
+      attr_reader :classes
+
+      # Return the random generator for performing random sampling.
+      # @return [Random]
+      attr_reader :rng
+
+      # Create a new classifier with Logisitc Regression by the SGD optimization.
+      #
+      # @param reg_param [Float] The regularization parameter.
+      # @param fit_bias [Boolean] The flag indicating whether to fit the bias term.
+      # @param bias_scale [Float] The scale of the bias term.
+      #   If fit_bias is true, the feature vector v becoms [v; bias_scale].
+      # @param max_iter [Integer] The maximum number of iterations.
+      # @param batch_size [Integer] The size of the mini batches.
+      # @param optimizer [Optimizer] The optimizer to calculate adaptive learning rate.
+      #   If nil is given, Nadam is used.
+      # @param random_seed [Integer] The seed value using to initialize the random generator.
+      def initialize(reg_param: 1.0, fit_bias: false, bias_scale: 1.0,
+                     max_iter: 1000, batch_size: 20, optimizer: nil, random_seed: nil)
+        check_params_float(reg_param: reg_param, bias_scale: bias_scale)
+        check_params_integer(max_iter: max_iter, batch_size: batch_size)
+        check_params_boolean(fit_bias: fit_bias)
+        check_params_type_or_nil(Integer, random_seed: random_seed)
+        check_params_positive(reg_param: reg_param, bias_scale: bias_scale, max_iter: max_iter, batch_size: batch_size)
+        super
+        @classes = nil
+      end
+
+      # Fit the model with given training data.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The training data to be used for fitting the model.
+      # @param y [Numo::Int32] (shape: [n_samples]) The labels to be used for fitting the model.
+      # @return [LogisticRegression] The learned classifier itself.
+      def fit(x, y)
+        check_sample_array(x)
+        check_label_array(y)
+        check_sample_label_size(x, y)
+
+        @classes = Numo::Int32[*y.to_a.uniq.sort]
+        n_classes = @classes.size
+        n_features = x.shape[1]
+
+        if n_classes > 2
+          @weight_vec = Numo::DFloat.zeros(n_classes, n_features)
+          @bias_term = Numo::DFloat.zeros(n_classes)
+          n_classes.times do |n|
+            bin_y = Numo::Int32.cast(y.eq(@classes[n])) * 2 - 1
+            @weight_vec[n, true], @bias_term[n] = partial_fit(x, bin_y)
+          end
+        else
+          negative_label = y.to_a.uniq.min
+          bin_y = Numo::Int32.cast(y.ne(negative_label)) * 2 - 1
+          @weight_vec, @bias_term = partial_fit(x, bin_y)
+        end
+
+        self
+      end
+
+      # Calculate confidence scores for samples.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to compute the scores.
+      # @return [Numo::DFloat] (shape: [n_samples, n_classes]) Confidence score per sample.
+      def decision_function(x)
+        check_sample_array(x)
+        x.dot(@weight_vec.transpose) + @bias_term
+      end
+
+      # Predict class labels for samples.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the labels.
+      # @return [Numo::Int32] (shape: [n_samples]) Predicted class label per sample.
+      def predict(x)
+        check_sample_array(x)
+
+        return Numo::Int32.cast(predict_proba(x)[true, 1].ge(0.5)) * 2 - 1 if @classes.size <= 2
+
+        n_samples, = x.shape
+        decision_values = predict_proba(x)
+        Numo::Int32.asarray(Array.new(n_samples) { |n| @classes[decision_values[n, true].max_index] })
+      end
+
+      # Predict probability for samples.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the probailities.
+      # @return [Numo::DFloat] (shape: [n_samples, n_classes]) Predicted probability of each class per sample.
+      def predict_proba(x)
+        check_sample_array(x)
+
+        proba = 1.0 / (Numo::NMath.exp(-decision_function(x)) + 1.0)
+        return (proba.transpose / proba.sum(axis: 1)).transpose if @classes.size > 2
+
+        n_samples, = x.shape
+        probs = Numo::DFloat.zeros(n_samples, 2)
+        probs[true, 1] = proba
+        probs[true, 0] = 1.0 - proba
+        probs
+      end
+
+      # Dump marshal data.
+      # @return [Hash] The marshal data about LogisticRegression.
+      def marshal_dump
+        { params: @params,
+          weight_vec: @weight_vec,
+          bias_term: @bias_term,
+          classes: @classes,
+          rng: @rng }
+      end
+
+      # Load marshal data.
+      # @return [nil]
+      def marshal_load(obj)
+        @params = obj[:params]
+        @weight_vec = obj[:weight_vec]
+        @bias_term = obj[:bias_term]
+        @classes = obj[:classes]
+        @rng = obj[:rng]
+        nil
+      end
+
+      private
+
+      def calc_loss_gradient(x, y, weight)
+        y / (Numo::NMath.exp(-y * x.dot(weight)) + 1.0) - y
+      end
+    end
+  end
+end

data/lib/rumale/linear_model/ridge.rb

@@ -0,0 +1,110 @@
+# frozen_string_literal: true
+
+require 'rumale/linear_model/base_linear_model'
+require 'rumale/base/regressor'
+
+module Rumale
+  module LinearModel
+    # Ridge is a class that implements Ridge Regression
+    # with mini-batch stochastic gradient descent optimization.
+    #
+    # @example
+    #   estimator =
+    #     Rumale::LinearModel::Ridge.new(reg_param: 0.1, max_iter: 1000, batch_size: 20, random_seed: 1)
+    #   estimator.fit(training_samples, traininig_values)
+    #   results = estimator.predict(testing_samples)
+    #
+    class Ridge < BaseLinearModel
+      include Base::Regressor
+
+      # Return the weight vector.
+      # @return [Numo::DFloat] (shape: [n_outputs, n_features])
+      attr_reader :weight_vec
+
+      # Return the bias term (a.k.a. intercept).
+      # @return [Numo::DFloat] (shape: [n_outputs])
+      attr_reader :bias_term
+
+      # Return the random generator for random sampling.
+      # @return [Random]
+      attr_reader :rng
+
+      # Create a new Ridge regressor.
+      #
+      # @param reg_param [Float] The regularization parameter.
+      # @param fit_bias [Boolean] The flag indicating whether to fit the bias term.
+      # @param bias_scale [Float] The scale of the bias term.
+      # @param max_iter [Integer] The maximum number of iterations.
+      # @param batch_size [Integer] The size of the mini batches.
+      # @param optimizer [Optimizer] The optimizer to calculate adaptive learning rate.
+      #   If nil is given, Nadam is used.
+      # @param random_seed [Integer] The seed value using to initialize the random generator.
+      def initialize(reg_param: 1.0, fit_bias: false, bias_scale: 1.0, max_iter: 1000, batch_size: 10, optimizer: nil, random_seed: nil)
+        check_params_float(reg_param: reg_param, bias_scale: bias_scale)
+        check_params_integer(max_iter: max_iter, batch_size: batch_size)
+        check_params_boolean(fit_bias: fit_bias)
+        check_params_type_or_nil(Integer, random_seed: random_seed)
+        check_params_positive(reg_param: reg_param, max_iter: max_iter, batch_size: batch_size)
+        super
+      end
+
+      # Fit the model with given training data.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The training data to be used for fitting the model.
+      # @param y [Numo::Int32] (shape: [n_samples, n_outputs]) The target values to be used for fitting the model.
+      # @return [Ridge] The learned regressor itself.
+      def fit(x, y)
+        check_sample_array(x)
+        check_tvalue_array(y)
+        check_sample_tvalue_size(x, y)
+
+        n_outputs = y.shape[1].nil? ? 1 : y.shape[1]
+        n_features = x.shape[1]
+
+        if n_outputs > 1
+          @weight_vec = Numo::DFloat.zeros(n_outputs, n_features)
+          @bias_term = Numo::DFloat.zeros(n_outputs)
+          n_outputs.times { |n| @weight_vec[n, true], @bias_term[n] = partial_fit(x, y[true, n]) }
+        else
+          @weight_vec, @bias_term = partial_fit(x, y)
+        end
+
+        self
+      end
+
+      # Predict values for samples.
+      #
+      # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the values.
+      # @return [Numo::DFloat] (shape: [n_samples, n_outputs]) Predicted values per sample.
+      def predict(x)
+        check_sample_array(x)
+        x.dot(@weight_vec.transpose) + @bias_term
+      end
+
+      # Dump marshal data.
+      # @return [Hash] The marshal data about Ridge.
+      def marshal_dump
+        { params: @params,
+          weight_vec: @weight_vec,
+          bias_term: @bias_term,
+          rng: @rng }
+      end
+
+      # Load marshal data.
+      # @return [nil]
+      def marshal_load(obj)
+        @params = obj[:params]
+        @weight_vec = obj[:weight_vec]
+        @bias_term = obj[:bias_term]
+        @rng = obj[:rng]
+        nil
+      end
+
+      private
+
+      def calc_loss_gradient(x, y, weight)
+        2.0 * (x.dot(weight) - y)
+      end
+    end
+  end
+end