贝叶斯岭回归是回归模型中的一种概率模型,是机器学习中的一种线性模型。系数 w w w的先验分布是一种球形正态分布:
p ( w ∣ λ ) = N ( w ∣ 0 , λ − 1 I p ) p(w|\lambda)=N(w|0,\lambda^{-1}I_p) p(w∣λ)=N(w∣0,λ−1Ip)
而 α \alpha α和 γ \gamma γ的先验分布是伽马分别,和 y i y_i yi的共轭先验是正态分布,所以其结果就是贝叶斯岭回归模型。
其中正则化系数
α
\alpha
α和
γ
\gamma
γ由极大似然法估计。相比普通最小二乘法,贝叶斯岭回归更适合于表现比较差的数据。在sklearn中一般表示为alpha_init
和lambda_init
。
一般情况下,lambda_init
相对小(1.e-3/0.001)。
代码实现:
随机生成数据
import numpy as np
def func(x):
return np.sin(2 * np.pi * x)
size = 25
rng = np.random.RandomState(1234)
x_train = rng.uniform(0.0, 1.0, size)
y_train = func(x_train) + rng.normal(scale=0.1, size=size)
x_test = np.linspace(0.0, 1.0, 100)
拟合模型
from sklearn.linear_model import BayesianRidge
n_order = 3
X_train = np.vander(x_train, n_order + 1, increasing=True)
X_test = np.vander(x_test, n_order + 1, increasing=True)
reg = BayesianRidge(tol=1e-6, fit_intercept=False, compute_score=True)
画预测曲线
import matplotlib.pyplot as plt
fig, axes = plt.subplots(1, 2, figsize=(8, 4))
for i, ax in enumerate(axes):
# Bayesian ridge regression with different initial value pairs
if i == 0:
init = [1 / np.var(y_train), 1.0] # Default values
elif i == 1:
init = [1.0, 1e-3]
reg.set_params(alpha_init=init[0], lambda_init=init[1])
reg.fit(X_train, y_train)
ymean, ystd = reg.predict(X_test, return_std=True)
ax.plot(x_test, func(x_test), color="blue", label="sin($2\\pi x$)")
ax.scatter(x_train, y_train, s=50, alpha=0.5, label="observation")
ax.plot(x_test, ymean, color="red", label="predict mean")
ax.fill_between(
x_test, ymean - ystd, ymean + ystd, color="pink", alpha=0.5, label="predict std"
)
ax.set_ylim(-1.3, 1.3)
ax.legend()
title = "$\\alpha$_init$={:.2f},\\ \\lambda$_init$={}$".format(init[0], init[1])
if i == 0:
title += " (Default)"
ax.set_title(title, fontsize=12)
text = "$\\alpha={:.1f}$\n$\\lambda={:.3f}$\n$L={:.1f}$".format(
reg.alpha_, reg.lambda_, reg.scores_[-1]
)
ax.text(0.05, -1.0, text, fontsize=12)
plt.tight_layout()
plt.show()
结果为: