826 lines
30 KiB
Python
826 lines
30 KiB
Python
# Authors: Danny Sullivan <dbsullivan23@gmail.com>
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# Tom Dupre la Tour <tom.dupre-la-tour@m4x.org>
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#
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# License: BSD 3 clause
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import math
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import numpy as np
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import scipy.sparse as sp
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from sklearn.linear_model.sag import get_auto_step_size
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from sklearn.linear_model.sag_fast import _multinomial_grad_loss_all_samples
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from sklearn.linear_model import LogisticRegression, Ridge
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from sklearn.linear_model.base import make_dataset
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from sklearn.linear_model.logistic import _multinomial_loss_grad
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from sklearn.utils.fixes import logsumexp
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from sklearn.utils.extmath import row_norms
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from sklearn.utils.testing import assert_almost_equal
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from sklearn.utils.testing import assert_array_almost_equal
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from sklearn.utils.testing import assert_greater
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from sklearn.utils.testing import assert_raise_message
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from sklearn.utils.testing import ignore_warnings
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from sklearn.utils import compute_class_weight
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from sklearn.utils import check_random_state
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from sklearn.preprocessing import LabelEncoder, LabelBinarizer
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from sklearn.datasets import make_blobs, load_iris
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from sklearn.base import clone
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iris = load_iris()
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# this is used for sag classification
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def log_dloss(p, y):
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z = p * y
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# approximately equal and saves the computation of the log
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if z > 18.0:
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return math.exp(-z) * -y
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if z < -18.0:
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return -y
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return -y / (math.exp(z) + 1.0)
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def log_loss(p, y):
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return np.mean(np.log(1. + np.exp(-y * p)))
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# this is used for sag regression
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def squared_dloss(p, y):
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return p - y
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def squared_loss(p, y):
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return np.mean(0.5 * (p - y) * (p - y))
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# function for measuring the log loss
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def get_pobj(w, alpha, myX, myy, loss):
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w = w.ravel()
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pred = np.dot(myX, w)
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p = loss(pred, myy)
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p += alpha * w.dot(w) / 2.
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return p
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def sag(X, y, step_size, alpha, n_iter=1, dloss=None, sparse=False,
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sample_weight=None, fit_intercept=True, saga=False):
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n_samples, n_features = X.shape[0], X.shape[1]
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weights = np.zeros(X.shape[1])
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sum_gradient = np.zeros(X.shape[1])
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gradient_memory = np.zeros((n_samples, n_features))
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intercept = 0.0
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intercept_sum_gradient = 0.0
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intercept_gradient_memory = np.zeros(n_samples)
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rng = np.random.RandomState(77)
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decay = 1.0
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seen = set()
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# sparse data has a fixed decay of .01
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if sparse:
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decay = .01
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for epoch in range(n_iter):
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for k in range(n_samples):
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idx = int(rng.rand(1) * n_samples)
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# idx = k
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entry = X[idx]
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seen.add(idx)
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p = np.dot(entry, weights) + intercept
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gradient = dloss(p, y[idx])
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if sample_weight is not None:
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gradient *= sample_weight[idx]
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update = entry * gradient + alpha * weights
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gradient_correction = update - gradient_memory[idx]
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sum_gradient += gradient_correction
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gradient_memory[idx] = update
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if saga:
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weights -= (gradient_correction *
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step_size * (1 - 1. / len(seen)))
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if fit_intercept:
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gradient_correction = (gradient -
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intercept_gradient_memory[idx])
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intercept_gradient_memory[idx] = gradient
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intercept_sum_gradient += gradient_correction
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gradient_correction *= step_size * (1. - 1. / len(seen))
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if saga:
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intercept -= (step_size * intercept_sum_gradient /
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len(seen) * decay) + gradient_correction
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else:
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intercept -= (step_size * intercept_sum_gradient /
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len(seen) * decay)
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weights -= step_size * sum_gradient / len(seen)
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return weights, intercept
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def sag_sparse(X, y, step_size, alpha, n_iter=1,
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dloss=None, sample_weight=None, sparse=False,
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fit_intercept=True, saga=False):
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if step_size * alpha == 1.:
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raise ZeroDivisionError("Sparse sag does not handle the case "
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"step_size * alpha == 1")
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n_samples, n_features = X.shape[0], X.shape[1]
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weights = np.zeros(n_features)
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sum_gradient = np.zeros(n_features)
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last_updated = np.zeros(n_features, dtype=np.int)
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gradient_memory = np.zeros(n_samples)
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rng = np.random.RandomState(77)
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intercept = 0.0
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intercept_sum_gradient = 0.0
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wscale = 1.0
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decay = 1.0
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seen = set()
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c_sum = np.zeros(n_iter * n_samples)
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# sparse data has a fixed decay of .01
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if sparse:
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decay = .01
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counter = 0
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for epoch in range(n_iter):
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for k in range(n_samples):
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# idx = k
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idx = int(rng.rand(1) * n_samples)
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entry = X[idx]
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seen.add(idx)
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if counter >= 1:
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for j in range(n_features):
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if last_updated[j] == 0:
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weights[j] -= c_sum[counter - 1] * sum_gradient[j]
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else:
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weights[j] -= ((c_sum[counter - 1] -
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c_sum[last_updated[j] - 1]) *
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sum_gradient[j])
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last_updated[j] = counter
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p = (wscale * np.dot(entry, weights)) + intercept
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gradient = dloss(p, y[idx])
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if sample_weight is not None:
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gradient *= sample_weight[idx]
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update = entry * gradient
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gradient_correction = update - (gradient_memory[idx] * entry)
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sum_gradient += gradient_correction
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if saga:
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for j in range(n_features):
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weights[j] -= (gradient_correction[j] * step_size *
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(1 - 1. / len(seen)) / wscale)
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if fit_intercept:
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gradient_correction = gradient - gradient_memory[idx]
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intercept_sum_gradient += gradient_correction
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gradient_correction *= step_size * (1. - 1. / len(seen))
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if saga:
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intercept -= ((step_size * intercept_sum_gradient /
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len(seen) * decay) +
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gradient_correction)
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else:
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intercept -= (step_size * intercept_sum_gradient /
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len(seen) * decay)
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gradient_memory[idx] = gradient
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wscale *= (1.0 - alpha * step_size)
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if counter == 0:
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c_sum[0] = step_size / (wscale * len(seen))
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else:
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c_sum[counter] = (c_sum[counter - 1] +
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step_size / (wscale * len(seen)))
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if counter >= 1 and wscale < 1e-9:
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for j in range(n_features):
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if last_updated[j] == 0:
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weights[j] -= c_sum[counter] * sum_gradient[j]
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else:
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weights[j] -= ((c_sum[counter] -
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c_sum[last_updated[j] - 1]) *
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sum_gradient[j])
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last_updated[j] = counter + 1
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c_sum[counter] = 0
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weights *= wscale
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wscale = 1.0
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counter += 1
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for j in range(n_features):
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if last_updated[j] == 0:
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weights[j] -= c_sum[counter - 1] * sum_gradient[j]
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else:
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weights[j] -= ((c_sum[counter - 1] -
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c_sum[last_updated[j] - 1]) *
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sum_gradient[j])
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weights *= wscale
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return weights, intercept
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def get_step_size(X, alpha, fit_intercept, classification=True):
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if classification:
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return (4.0 / (np.max(np.sum(X * X, axis=1)) +
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fit_intercept + 4.0 * alpha))
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else:
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return 1.0 / (np.max(np.sum(X * X, axis=1)) + fit_intercept + alpha)
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@ignore_warnings
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def test_classifier_matching():
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n_samples = 20
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X, y = make_blobs(n_samples=n_samples, centers=2, random_state=0,
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cluster_std=0.1)
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y[y == 0] = -1
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alpha = 1.1
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fit_intercept = True
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step_size = get_step_size(X, alpha, fit_intercept)
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for solver in ['sag', 'saga']:
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if solver == 'sag':
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n_iter = 80
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else:
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# SAGA variance w.r.t. stream order is higher
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n_iter = 300
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clf = LogisticRegression(solver=solver, fit_intercept=fit_intercept,
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tol=1e-11, C=1. / alpha / n_samples,
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max_iter=n_iter, random_state=10)
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clf.fit(X, y)
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weights, intercept = sag_sparse(X, y, step_size, alpha, n_iter=n_iter,
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dloss=log_dloss,
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fit_intercept=fit_intercept,
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saga=solver == 'saga')
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weights2, intercept2 = sag(X, y, step_size, alpha, n_iter=n_iter,
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dloss=log_dloss,
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fit_intercept=fit_intercept,
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saga=solver == 'saga')
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weights = np.atleast_2d(weights)
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intercept = np.atleast_1d(intercept)
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weights2 = np.atleast_2d(weights2)
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intercept2 = np.atleast_1d(intercept2)
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assert_array_almost_equal(weights, clf.coef_, decimal=9)
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assert_array_almost_equal(intercept, clf.intercept_, decimal=9)
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assert_array_almost_equal(weights2, clf.coef_, decimal=9)
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assert_array_almost_equal(intercept2, clf.intercept_, decimal=9)
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@ignore_warnings
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def test_regressor_matching():
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n_samples = 10
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n_features = 5
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rng = np.random.RandomState(10)
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X = rng.normal(size=(n_samples, n_features))
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true_w = rng.normal(size=n_features)
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y = X.dot(true_w)
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alpha = 1.
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n_iter = 100
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fit_intercept = True
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step_size = get_step_size(X, alpha, fit_intercept, classification=False)
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clf = Ridge(fit_intercept=fit_intercept, tol=.00000000001, solver='sag',
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alpha=alpha * n_samples, max_iter=n_iter)
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clf.fit(X, y)
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weights1, intercept1 = sag_sparse(X, y, step_size, alpha, n_iter=n_iter,
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dloss=squared_dloss,
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fit_intercept=fit_intercept)
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weights2, intercept2 = sag(X, y, step_size, alpha, n_iter=n_iter,
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dloss=squared_dloss,
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fit_intercept=fit_intercept)
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assert_array_almost_equal(weights1, clf.coef_, decimal=10)
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assert_array_almost_equal(intercept1, clf.intercept_, decimal=10)
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assert_array_almost_equal(weights2, clf.coef_, decimal=10)
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assert_array_almost_equal(intercept2, clf.intercept_, decimal=10)
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@ignore_warnings
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def test_sag_pobj_matches_logistic_regression():
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"""tests if the sag pobj matches log reg"""
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n_samples = 100
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alpha = 1.0
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max_iter = 20
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X, y = make_blobs(n_samples=n_samples, centers=2, random_state=0,
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cluster_std=0.1)
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clf1 = LogisticRegression(solver='sag', fit_intercept=False, tol=.0000001,
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C=1. / alpha / n_samples, max_iter=max_iter,
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random_state=10)
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clf2 = clone(clf1)
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clf3 = LogisticRegression(fit_intercept=False, tol=.0000001,
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C=1. / alpha / n_samples, max_iter=max_iter,
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random_state=10)
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clf1.fit(X, y)
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clf2.fit(sp.csr_matrix(X), y)
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clf3.fit(X, y)
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pobj1 = get_pobj(clf1.coef_, alpha, X, y, log_loss)
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pobj2 = get_pobj(clf2.coef_, alpha, X, y, log_loss)
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pobj3 = get_pobj(clf3.coef_, alpha, X, y, log_loss)
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assert_array_almost_equal(pobj1, pobj2, decimal=4)
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assert_array_almost_equal(pobj2, pobj3, decimal=4)
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assert_array_almost_equal(pobj3, pobj1, decimal=4)
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@ignore_warnings
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def test_sag_pobj_matches_ridge_regression():
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"""tests if the sag pobj matches ridge reg"""
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n_samples = 100
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n_features = 10
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alpha = 1.0
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n_iter = 100
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fit_intercept = False
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rng = np.random.RandomState(10)
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X = rng.normal(size=(n_samples, n_features))
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true_w = rng.normal(size=n_features)
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y = X.dot(true_w)
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clf1 = Ridge(fit_intercept=fit_intercept, tol=.00000000001, solver='sag',
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alpha=alpha, max_iter=n_iter, random_state=42)
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clf2 = clone(clf1)
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clf3 = Ridge(fit_intercept=fit_intercept, tol=.00001, solver='lsqr',
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alpha=alpha, max_iter=n_iter, random_state=42)
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clf1.fit(X, y)
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clf2.fit(sp.csr_matrix(X), y)
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clf3.fit(X, y)
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pobj1 = get_pobj(clf1.coef_, alpha, X, y, squared_loss)
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pobj2 = get_pobj(clf2.coef_, alpha, X, y, squared_loss)
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pobj3 = get_pobj(clf3.coef_, alpha, X, y, squared_loss)
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assert_array_almost_equal(pobj1, pobj2, decimal=4)
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assert_array_almost_equal(pobj1, pobj3, decimal=4)
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assert_array_almost_equal(pobj3, pobj2, decimal=4)
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@ignore_warnings
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def test_sag_regressor_computed_correctly():
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"""tests if the sag regressor is computed correctly"""
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alpha = .1
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n_features = 10
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n_samples = 40
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max_iter = 50
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tol = .000001
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fit_intercept = True
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rng = np.random.RandomState(0)
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X = rng.normal(size=(n_samples, n_features))
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w = rng.normal(size=n_features)
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y = np.dot(X, w) + 2.
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step_size = get_step_size(X, alpha, fit_intercept, classification=False)
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clf1 = Ridge(fit_intercept=fit_intercept, tol=tol, solver='sag',
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alpha=alpha * n_samples, max_iter=max_iter)
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clf2 = clone(clf1)
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clf1.fit(X, y)
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clf2.fit(sp.csr_matrix(X), y)
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spweights1, spintercept1 = sag_sparse(X, y, step_size, alpha,
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n_iter=max_iter,
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dloss=squared_dloss,
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fit_intercept=fit_intercept)
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spweights2, spintercept2 = sag_sparse(X, y, step_size, alpha,
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n_iter=max_iter,
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dloss=squared_dloss, sparse=True,
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fit_intercept=fit_intercept)
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assert_array_almost_equal(clf1.coef_.ravel(),
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spweights1.ravel(),
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decimal=3)
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assert_almost_equal(clf1.intercept_, spintercept1, decimal=1)
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# TODO: uncomment when sparse Ridge with intercept will be fixed (#4710)
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# assert_array_almost_equal(clf2.coef_.ravel(),
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# spweights2.ravel(),
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# decimal=3)
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# assert_almost_equal(clf2.intercept_, spintercept2, decimal=1)'''
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@ignore_warnings
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def test_get_auto_step_size():
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X = np.array([[1, 2, 3], [2, 3, 4], [2, 3, 2]], dtype=np.float64)
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alpha = 1.2
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fit_intercept = False
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# sum the squares of the second sample because that's the largest
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max_squared_sum = 4 + 9 + 16
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max_squared_sum_ = row_norms(X, squared=True).max()
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n_samples = X.shape[0]
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assert_almost_equal(max_squared_sum, max_squared_sum_, decimal=4)
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for saga in [True, False]:
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for fit_intercept in (True, False):
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if saga:
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L_sqr = (max_squared_sum + alpha + int(fit_intercept))
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L_log = (max_squared_sum + 4.0 * alpha +
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int(fit_intercept)) / 4.0
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mun_sqr = min(2 * n_samples * alpha, L_sqr)
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mun_log = min(2 * n_samples * alpha, L_log)
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step_size_sqr = 1 / (2 * L_sqr + mun_sqr)
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step_size_log = 1 / (2 * L_log + mun_log)
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else:
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step_size_sqr = 1.0 / (max_squared_sum +
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alpha + int(fit_intercept))
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step_size_log = 4.0 / (max_squared_sum + 4.0 * alpha +
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int(fit_intercept))
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step_size_sqr_ = get_auto_step_size(max_squared_sum_, alpha,
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"squared",
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fit_intercept,
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n_samples=n_samples,
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is_saga=saga)
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step_size_log_ = get_auto_step_size(max_squared_sum_, alpha, "log",
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fit_intercept,
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n_samples=n_samples,
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is_saga=saga)
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assert_almost_equal(step_size_sqr, step_size_sqr_, decimal=4)
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assert_almost_equal(step_size_log, step_size_log_, decimal=4)
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msg = 'Unknown loss function for SAG solver, got wrong instead of'
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assert_raise_message(ValueError, msg, get_auto_step_size,
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max_squared_sum_, alpha, "wrong", fit_intercept)
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@ignore_warnings
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def test_sag_regressor():
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"""tests if the sag regressor performs well"""
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xmin, xmax = -5, 5
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n_samples = 20
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tol = .001
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max_iter = 20
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alpha = 0.1
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rng = np.random.RandomState(0)
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X = np.linspace(xmin, xmax, n_samples).reshape(n_samples, 1)
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# simple linear function without noise
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y = 0.5 * X.ravel()
|
|
|
|
clf1 = Ridge(tol=tol, solver='sag', max_iter=max_iter,
|
|
alpha=alpha * n_samples)
|
|
clf2 = clone(clf1)
|
|
clf1.fit(X, y)
|
|
clf2.fit(sp.csr_matrix(X), y)
|
|
score1 = clf1.score(X, y)
|
|
score2 = clf2.score(X, y)
|
|
assert_greater(score1, 0.99)
|
|
assert_greater(score2, 0.99)
|
|
|
|
# simple linear function with noise
|
|
y = 0.5 * X.ravel() + rng.randn(n_samples, 1).ravel()
|
|
|
|
clf1 = Ridge(tol=tol, solver='sag', max_iter=max_iter,
|
|
alpha=alpha * n_samples)
|
|
clf2 = clone(clf1)
|
|
clf1.fit(X, y)
|
|
clf2.fit(sp.csr_matrix(X), y)
|
|
score1 = clf1.score(X, y)
|
|
score2 = clf2.score(X, y)
|
|
score2 = clf2.score(X, y)
|
|
assert_greater(score1, 0.5)
|
|
assert_greater(score2, 0.5)
|
|
|
|
|
|
@ignore_warnings
|
|
def test_sag_classifier_computed_correctly():
|
|
"""tests if the binary classifier is computed correctly"""
|
|
alpha = .1
|
|
n_samples = 50
|
|
n_iter = 50
|
|
tol = .00001
|
|
fit_intercept = True
|
|
X, y = make_blobs(n_samples=n_samples, centers=2, random_state=0,
|
|
cluster_std=0.1)
|
|
step_size = get_step_size(X, alpha, fit_intercept, classification=True)
|
|
classes = np.unique(y)
|
|
y_tmp = np.ones(n_samples)
|
|
y_tmp[y != classes[1]] = -1
|
|
y = y_tmp
|
|
|
|
clf1 = LogisticRegression(solver='sag', C=1. / alpha / n_samples,
|
|
max_iter=n_iter, tol=tol, random_state=77,
|
|
fit_intercept=fit_intercept)
|
|
clf2 = clone(clf1)
|
|
|
|
clf1.fit(X, y)
|
|
clf2.fit(sp.csr_matrix(X), y)
|
|
|
|
spweights, spintercept = sag_sparse(X, y, step_size, alpha, n_iter=n_iter,
|
|
dloss=log_dloss,
|
|
fit_intercept=fit_intercept)
|
|
spweights2, spintercept2 = sag_sparse(X, y, step_size, alpha,
|
|
n_iter=n_iter,
|
|
dloss=log_dloss, sparse=True,
|
|
fit_intercept=fit_intercept)
|
|
|
|
assert_array_almost_equal(clf1.coef_.ravel(),
|
|
spweights.ravel(),
|
|
decimal=2)
|
|
assert_almost_equal(clf1.intercept_, spintercept, decimal=1)
|
|
|
|
assert_array_almost_equal(clf2.coef_.ravel(),
|
|
spweights2.ravel(),
|
|
decimal=2)
|
|
assert_almost_equal(clf2.intercept_, spintercept2, decimal=1)
|
|
|
|
|
|
@ignore_warnings
|
|
def test_sag_multiclass_computed_correctly():
|
|
"""tests if the multiclass classifier is computed correctly"""
|
|
alpha = .1
|
|
n_samples = 20
|
|
tol = .00001
|
|
max_iter = 40
|
|
fit_intercept = True
|
|
X, y = make_blobs(n_samples=n_samples, centers=3, random_state=0,
|
|
cluster_std=0.1)
|
|
step_size = get_step_size(X, alpha, fit_intercept, classification=True)
|
|
classes = np.unique(y)
|
|
|
|
clf1 = LogisticRegression(solver='sag', C=1. / alpha / n_samples,
|
|
max_iter=max_iter, tol=tol, random_state=77,
|
|
fit_intercept=fit_intercept)
|
|
clf2 = clone(clf1)
|
|
|
|
clf1.fit(X, y)
|
|
clf2.fit(sp.csr_matrix(X), y)
|
|
|
|
coef1 = []
|
|
intercept1 = []
|
|
coef2 = []
|
|
intercept2 = []
|
|
for cl in classes:
|
|
y_encoded = np.ones(n_samples)
|
|
y_encoded[y != cl] = -1
|
|
|
|
spweights1, spintercept1 = sag_sparse(X, y_encoded, step_size, alpha,
|
|
dloss=log_dloss, n_iter=max_iter,
|
|
fit_intercept=fit_intercept)
|
|
spweights2, spintercept2 = sag_sparse(X, y_encoded, step_size, alpha,
|
|
dloss=log_dloss, n_iter=max_iter,
|
|
sparse=True,
|
|
fit_intercept=fit_intercept)
|
|
coef1.append(spweights1)
|
|
intercept1.append(spintercept1)
|
|
|
|
coef2.append(spweights2)
|
|
intercept2.append(spintercept2)
|
|
|
|
coef1 = np.vstack(coef1)
|
|
intercept1 = np.array(intercept1)
|
|
coef2 = np.vstack(coef2)
|
|
intercept2 = np.array(intercept2)
|
|
|
|
for i, cl in enumerate(classes):
|
|
assert_array_almost_equal(clf1.coef_[i].ravel(),
|
|
coef1[i].ravel(),
|
|
decimal=2)
|
|
assert_almost_equal(clf1.intercept_[i], intercept1[i], decimal=1)
|
|
|
|
assert_array_almost_equal(clf2.coef_[i].ravel(),
|
|
coef2[i].ravel(),
|
|
decimal=2)
|
|
assert_almost_equal(clf2.intercept_[i], intercept2[i], decimal=1)
|
|
|
|
|
|
@ignore_warnings
|
|
def test_classifier_results():
|
|
"""tests if classifier results match target"""
|
|
alpha = .1
|
|
n_features = 20
|
|
n_samples = 10
|
|
tol = .01
|
|
max_iter = 200
|
|
rng = np.random.RandomState(0)
|
|
X = rng.normal(size=(n_samples, n_features))
|
|
w = rng.normal(size=n_features)
|
|
y = np.dot(X, w)
|
|
y = np.sign(y)
|
|
clf1 = LogisticRegression(solver='sag', C=1. / alpha / n_samples,
|
|
max_iter=max_iter, tol=tol, random_state=77)
|
|
clf2 = clone(clf1)
|
|
|
|
clf1.fit(X, y)
|
|
clf2.fit(sp.csr_matrix(X), y)
|
|
pred1 = clf1.predict(X)
|
|
pred2 = clf2.predict(X)
|
|
assert_almost_equal(pred1, y, decimal=12)
|
|
assert_almost_equal(pred2, y, decimal=12)
|
|
|
|
|
|
@ignore_warnings
|
|
def test_binary_classifier_class_weight():
|
|
"""tests binary classifier with classweights for each class"""
|
|
alpha = .1
|
|
n_samples = 50
|
|
n_iter = 20
|
|
tol = .00001
|
|
fit_intercept = True
|
|
X, y = make_blobs(n_samples=n_samples, centers=2, random_state=10,
|
|
cluster_std=0.1)
|
|
step_size = get_step_size(X, alpha, fit_intercept, classification=True)
|
|
classes = np.unique(y)
|
|
y_tmp = np.ones(n_samples)
|
|
y_tmp[y != classes[1]] = -1
|
|
y = y_tmp
|
|
|
|
class_weight = {1: .45, -1: .55}
|
|
clf1 = LogisticRegression(solver='sag', C=1. / alpha / n_samples,
|
|
max_iter=n_iter, tol=tol, random_state=77,
|
|
fit_intercept=fit_intercept,
|
|
class_weight=class_weight)
|
|
clf2 = clone(clf1)
|
|
|
|
clf1.fit(X, y)
|
|
clf2.fit(sp.csr_matrix(X), y)
|
|
|
|
le = LabelEncoder()
|
|
class_weight_ = compute_class_weight(class_weight, np.unique(y), y)
|
|
sample_weight = class_weight_[le.fit_transform(y)]
|
|
spweights, spintercept = sag_sparse(X, y, step_size, alpha, n_iter=n_iter,
|
|
dloss=log_dloss,
|
|
sample_weight=sample_weight,
|
|
fit_intercept=fit_intercept)
|
|
spweights2, spintercept2 = sag_sparse(X, y, step_size, alpha,
|
|
n_iter=n_iter,
|
|
dloss=log_dloss, sparse=True,
|
|
sample_weight=sample_weight,
|
|
fit_intercept=fit_intercept)
|
|
|
|
assert_array_almost_equal(clf1.coef_.ravel(),
|
|
spweights.ravel(),
|
|
decimal=2)
|
|
assert_almost_equal(clf1.intercept_, spintercept, decimal=1)
|
|
|
|
assert_array_almost_equal(clf2.coef_.ravel(),
|
|
spweights2.ravel(),
|
|
decimal=2)
|
|
assert_almost_equal(clf2.intercept_, spintercept2, decimal=1)
|
|
|
|
|
|
@ignore_warnings
|
|
def test_multiclass_classifier_class_weight():
|
|
"""tests multiclass with classweights for each class"""
|
|
alpha = .1
|
|
n_samples = 20
|
|
tol = .00001
|
|
max_iter = 50
|
|
class_weight = {0: .45, 1: .55, 2: .75}
|
|
fit_intercept = True
|
|
X, y = make_blobs(n_samples=n_samples, centers=3, random_state=0,
|
|
cluster_std=0.1)
|
|
step_size = get_step_size(X, alpha, fit_intercept, classification=True)
|
|
classes = np.unique(y)
|
|
|
|
clf1 = LogisticRegression(solver='sag', C=1. / alpha / n_samples,
|
|
max_iter=max_iter, tol=tol, random_state=77,
|
|
fit_intercept=fit_intercept,
|
|
class_weight=class_weight)
|
|
clf2 = clone(clf1)
|
|
clf1.fit(X, y)
|
|
clf2.fit(sp.csr_matrix(X), y)
|
|
|
|
le = LabelEncoder()
|
|
class_weight_ = compute_class_weight(class_weight, np.unique(y), y)
|
|
sample_weight = class_weight_[le.fit_transform(y)]
|
|
|
|
coef1 = []
|
|
intercept1 = []
|
|
coef2 = []
|
|
intercept2 = []
|
|
for cl in classes:
|
|
y_encoded = np.ones(n_samples)
|
|
y_encoded[y != cl] = -1
|
|
|
|
spweights1, spintercept1 = sag_sparse(X, y_encoded, step_size, alpha,
|
|
n_iter=max_iter, dloss=log_dloss,
|
|
sample_weight=sample_weight)
|
|
spweights2, spintercept2 = sag_sparse(X, y_encoded, step_size, alpha,
|
|
n_iter=max_iter, dloss=log_dloss,
|
|
sample_weight=sample_weight,
|
|
sparse=True)
|
|
coef1.append(spweights1)
|
|
intercept1.append(spintercept1)
|
|
coef2.append(spweights2)
|
|
intercept2.append(spintercept2)
|
|
|
|
coef1 = np.vstack(coef1)
|
|
intercept1 = np.array(intercept1)
|
|
coef2 = np.vstack(coef2)
|
|
intercept2 = np.array(intercept2)
|
|
|
|
for i, cl in enumerate(classes):
|
|
assert_array_almost_equal(clf1.coef_[i].ravel(),
|
|
coef1[i].ravel(),
|
|
decimal=2)
|
|
assert_almost_equal(clf1.intercept_[i], intercept1[i], decimal=1)
|
|
|
|
assert_array_almost_equal(clf2.coef_[i].ravel(),
|
|
coef2[i].ravel(),
|
|
decimal=2)
|
|
assert_almost_equal(clf2.intercept_[i], intercept2[i], decimal=1)
|
|
|
|
|
|
def test_classifier_single_class():
|
|
"""tests if ValueError is thrown with only one class"""
|
|
X = [[1, 2], [3, 4]]
|
|
y = [1, 1]
|
|
|
|
assert_raise_message(ValueError,
|
|
"This solver needs samples of at least 2 classes "
|
|
"in the data",
|
|
LogisticRegression(solver='sag').fit,
|
|
X, y)
|
|
|
|
|
|
def test_step_size_alpha_error():
|
|
X = [[0, 0], [0, 0]]
|
|
y = [1, -1]
|
|
fit_intercept = False
|
|
alpha = 1.
|
|
msg = ("Current sag implementation does not handle the case"
|
|
" step_size * alpha_scaled == 1")
|
|
|
|
clf1 = LogisticRegression(solver='sag', C=1. / alpha,
|
|
fit_intercept=fit_intercept)
|
|
assert_raise_message(ZeroDivisionError, msg, clf1.fit, X, y)
|
|
|
|
clf2 = Ridge(fit_intercept=fit_intercept, solver='sag', alpha=alpha)
|
|
assert_raise_message(ZeroDivisionError, msg, clf2.fit, X, y)
|
|
|
|
|
|
def test_multinomial_loss():
|
|
# test if the multinomial loss and gradient computations are consistent
|
|
X, y = iris.data, iris.target.astype(np.float64)
|
|
n_samples, n_features = X.shape
|
|
n_classes = len(np.unique(y))
|
|
|
|
rng = check_random_state(42)
|
|
weights = rng.randn(n_features, n_classes)
|
|
intercept = rng.randn(n_classes)
|
|
sample_weights = rng.randn(n_samples)
|
|
np.abs(sample_weights, sample_weights)
|
|
|
|
# compute loss and gradient like in multinomial SAG
|
|
dataset, _ = make_dataset(X, y, sample_weights, random_state=42)
|
|
loss_1, grad_1 = _multinomial_grad_loss_all_samples(dataset, weights,
|
|
intercept, n_samples,
|
|
n_features, n_classes)
|
|
# compute loss and gradient like in multinomial LogisticRegression
|
|
lbin = LabelBinarizer()
|
|
Y_bin = lbin.fit_transform(y)
|
|
weights_intercept = np.vstack((weights, intercept)).T.ravel()
|
|
loss_2, grad_2, _ = _multinomial_loss_grad(weights_intercept, X, Y_bin,
|
|
0.0, sample_weights)
|
|
grad_2 = grad_2.reshape(n_classes, -1)
|
|
grad_2 = grad_2[:, :-1].T
|
|
|
|
# comparison
|
|
assert_array_almost_equal(grad_1, grad_2)
|
|
assert_almost_equal(loss_1, loss_2)
|
|
|
|
|
|
def test_multinomial_loss_ground_truth():
|
|
# n_samples, n_features, n_classes = 4, 2, 3
|
|
n_classes = 3
|
|
X = np.array([[1.1, 2.2], [2.2, -4.4], [3.3, -2.2], [1.1, 1.1]])
|
|
y = np.array([0, 1, 2, 0])
|
|
lbin = LabelBinarizer()
|
|
Y_bin = lbin.fit_transform(y)
|
|
|
|
weights = np.array([[0.1, 0.2, 0.3], [1.1, 1.2, -1.3]])
|
|
intercept = np.array([1., 0, -.2])
|
|
sample_weights = np.array([0.8, 1, 1, 0.8])
|
|
|
|
prediction = np.dot(X, weights) + intercept
|
|
logsumexp_prediction = logsumexp(prediction, axis=1)
|
|
p = prediction - logsumexp_prediction[:, np.newaxis]
|
|
loss_1 = -(sample_weights[:, np.newaxis] * p * Y_bin).sum()
|
|
diff = sample_weights[:, np.newaxis] * (np.exp(p) - Y_bin)
|
|
grad_1 = np.dot(X.T, diff)
|
|
|
|
weights_intercept = np.vstack((weights, intercept)).T.ravel()
|
|
loss_2, grad_2, _ = _multinomial_loss_grad(weights_intercept, X, Y_bin,
|
|
0.0, sample_weights)
|
|
grad_2 = grad_2.reshape(n_classes, -1)
|
|
grad_2 = grad_2[:, :-1].T
|
|
|
|
assert_almost_equal(loss_1, loss_2)
|
|
assert_array_almost_equal(grad_1, grad_2)
|
|
|
|
# ground truth
|
|
loss_gt = 11.680360354325961
|
|
grad_gt = np.array([[-0.557487, -1.619151, +2.176638],
|
|
[-0.903942, +5.258745, -4.354803]])
|
|
assert_almost_equal(loss_1, loss_gt)
|
|
assert_array_almost_equal(grad_1, grad_gt)
|