牛顿法、梯度下降原理及实际问题解决

牛顿法、梯度下降原理及实际问题解决 Python编程

一、牛顿法原理：

牛顿法是一种在实数域和复数域上近似求解方程的方法。方法使用函数f (x)的泰勒级数的前面几项来寻找方程f (x)=0的根。牛顿法最大的特点就在于它的收敛速度很快。牛顿法是一种迭代算法。

牛顿法的详细原理：https://blog.csdn.net/sigai_csdn/article/details/80678812

二、梯度下降法原理

梯度下降法又称最速下降法，是求解无约束最优化问题的一种最常用的方法，在对损失函数最小化时经常使用。梯度下降法是一种迭代算法。选取适当的初值x(0)，不断迭代，更新x的值，进行目标函数的极小化，直到收敛。由于负梯度方向时使函数值下降最快的方向，在迭代的每一步，以负梯度方向更新x的值，从而达到减少函数值的目的。

接下来用梯度下降法来解决实际问题

首先用Excel

可见极小值为-8，极小点为（4,2）

然后用Python代码来实现梯度下降

import numpy as np
import matplotlib.pyplot as plt
import matplotlib as mpl
import math
from mpl_toolkits.mplot3d import Axes3D
import warnings
def f2(x1,x2):
    return x1**2 + 2*x2**2 - 4*x1 - 2*x1*x2
 
X1 = np.arange(-4,4,0.2)
X2 = np.arange(-4,4,0.2)
X1, X2 = np.meshgrid(X1, X2) # 生成xv、yv，将X1、X2变成n*m的矩阵，方便后面绘图
Y = np.array(list(map(lambda t : f2(t[0],t[1]),zip(X1.flatten(),X2.flatten()))))
Y.shape = X1.shape # 1600的Y图还原成原来的（40,40）
 
%matplotlib inline
#作图
fig = plt.figure(facecolor='w')
ax = Axes3D(fig)
ax.plot_surface(X1,X2,Y,rstride=1,cstride=1,cmap=plt.cm.jet)
ax.set_title(u'$ y = x1^2+2x2^2-4x1-2x1x2 $')
plt.show()

def f2(x1, x2):
    return x1 ** 2+2*x2 ** 2-4*x1-2*x1*x2
## 偏函数
def hx1(x1, x2):
    return 2* x1-4-2*x2
def hx2(x1, x2):
    return 4*x2-2*x1 
x1 = 4
x2 = 3
alpha = 0.1
#保存梯度下降经过的点
GD_X1 = [x1]
GD_X2 = [x2]
GD_Y = [f2(x1,x2)]
# 定义y的变化量和迭代次数
y_change = f2(x1,x2)
iter_num = 0
 
while(y_change < 1e-10 and iter_num < 10000) :   #此处可以设置迭代的次数以及y的变化量小于多少时停止迭代
    tmp_x1 = x1 - alpha * hx1(x1,x2)
    tmp_x2 = x2 - alpha * hx2(x1,x2)
    tmp_y = f2(tmp_x1,tmp_x2)
    f_change = np.absolute(tmp_y - f2(x1,x2))
    x1 = tmp_x1
    x2 = tmp_x2
    GD_X1.append(x1)
    GD_X2.append(x2)
    GD_Y.append(tmp_y)
    iter_num += 1
print(u"最终结果为:(%.5f, %.5f, %.5f)" % (x1, x2, f2(x1,x2)))
print(u"迭代过程中X的取值，迭代次数:%d" % iter_num)
print(GD_X1)
 
# 作图
fig = plt.figure(facecolor='w',figsize=(20,18))
ax = Axes3D(fig)
ax.plot_surface(X1,X2,Y,rstride=1,cstride=1,cmap=plt.cm.jet)
ax.plot(GD_X1,GD_X2,GD_Y,'ko-')
ax.set_xlabel('x')
ax.set_ylabel('y')
ax.set_zlabel('z')
ax.set_title(u'函数;\n学习率:%.3f; 最终解:(%.3f, %.3f, %.3f);迭代次数:%d' % (alpha, x1, x2, f2(x1,x2), iter_num),fontsize=30)
plt.show()

最终结果为:(4.00000, 2.00000, -8.00000)
迭代过程中X的取值，迭代次数:10000
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