论文python复现：Ordinal regression by extended binary classification

L. Li and H.-T. Lin, ‘‘Ordinal regression by extended binary classification,’’ in Proc. Adv. Neural Inf. Process. Syst., 2007, pp. 865–872
基于cvxpy实现了个线性版的

要点：cvxpy中连续多个约束可以使用for循环得到，详细见代码41行。

尝试了非线性的Cvxpy解决方案。仅100条数据，直接内存溢出。

非线性的算法只能用SMO。

补：SMO的坐标下降法确实强大。现在用上了SMO，但依然计算消耗巨大，原因：需要优化的参数太多，大约（N*n_theta）*2 + n_theat+n_w 个参数。

 

目前是草稿版，只计算出了各个参数：

import numpy as np
from sklearn import datasets
import cvxpy as cp

class eSVM():
    def __init__(self,X_train,y_train):
        self.X = X_train
        self.y = y_train
        self.n_features = X_train.shape[1]
        self.n_instances = X_train.shape[0]
        self.n_class = len(set(self.y))
        self.n_theta = self.n_class - 1

        self.w = cp.Variable((self.n_features,1))
        self.b = cp.Variable()
        self.xi = cp.Variable((self.n_instances, self.n_theta))

        self.theta = cp.Variable((1,self.n_class-1))

        self.C = 1
        self.Y = self.rcon_label()

    def rcon_label(self):
        target = []
        for i in range(self.n_instances):
            label = []
            for j in range(self.n_theta):
                if self.y[i] <= j:
                    a = 1
                else:
                    a = 0
                label.append(1 - 2 * a)
            target.append(label)
        return np.array(target)

    def optimal(self):
        #TODO:np.tile(self.theta,(self.n_instances,1))写错了
        objective = cp.Minimize(0.5 * cp.norm2(self.w) + 0.5 * cp.norm(self.theta) + self.C * cp.sum(self.xi))

        constraints = []
        for i in range(self.n_instances):
            for k in range(self.n_theta):
                constraints += [self.Y[i,k] * cp.sum(cp.multiply(self.X[1].reshape(-1,1), self.w)) - self.Y[i, k] * self.theta[0][k] - self.Y[i,k] * self.b >= 1 - self.xi[i,k], self.xi[i,k]>=0]

        prob = cp.Problem(objective, constraints)
        result = prob.solve()
        # print(prob.value)
        print("w=",self.w.value)
        print("b=",self.b.value)
        print("theta=",self.theta.value)


if __name__ == '__main__':
    X, y = datasets.make_blobs(n_samples=100, n_features=2, center_box=(-20, 20), centers=4, cluster_std=[4, 4, 4, 4], random_state=3)
    print("数据类别信息",np.unique(y))
    for i, ele in enumerate(y):
        if ele == 3:
            y[i] = 0
        elif ele == 0:
            y[i] = 2
        elif ele == 2:
            y[i] = 3

    model = eSVM(X_train=X,y_train=y)
    model.optimal()