统计学第一章--最小二乘拟合正弦函数，正则化

#coding:utf-8
import numpy as np
import scipy as sp
from scipy.optimize import leastsq
import matplotlib.pyplot as plt
# 目标函数
def real_func(x):
    return np.sin(2*np.pi*x)

# 多项式
def fit_func(p, x):
    f = np.poly1d(p)
    # print('f=',f)
    return f(x)

# 残差
def residuals_func(p, x, y):
    ret = fit_func(p, x) - y
    return ret

# 十个点
x = np.linspace(0, 1, 10)
x_points = np.linspace(0, 1, 1000)
# 加上正态分布噪音的目标函数的值
y_ = real_func(x)
y = [np.random.normal(0, 0.1) + y1 for y1 in y_]


def fitting(M=0):
    """
    M    为 多项式的次数
    """
    # 随机初始化多项式参数
    p_init = np.random.rand(M + 1)
    # 最小二乘法
    p_lsq = leastsq(residuals_func, p_init, args=(x, y))
    print('Fitting Parameters:', p_lsq[0])
    #
    # 可视化
    plt.plot(x_points, real_func(x_points), label='real')
    plt.plot(x_points, fit_func(p_lsq[0], x_points), label='fitted curve')
    plt.plot(x, y, 'bo', label='noise')
    plt.legend()
    plt.show()
    return p_lsq
# M=0
p_lsq_0 = fitting(M=0)
# M=1
p_lsq_1 = fitting(M=1)
# M=3
p_lsq_3 = fitting(M=3)
# M=9
p_lsq_9 = fitting(M=9)

M分别为0,1,3,9时的多项式系数。 

 

M=0,即多项式为常数时 

M=1, 即多项式为一次项时

 M=3，即多项式为三次项时，可看出拟合的比较不错

M=9时，可看出过拟合了

引入正则化

#加入正则
regularization = 0.0001
def residuals_func_regularization(p, x, y):
    ret = fit_func(p, x) - y
    ret = np.append(ret, np.sqrt(0.5*regularization*np.square(p))) # L2范数作为正则化项
    return ret
# 最小二乘法,加正则化项
p_init = np.random.rand(9+1)
p_lsq_regularization = leastsq(residuals_func_regularization, p_init, args=(x, y))
plt.plot(x_points, real_func(x_points), label='real')
plt.plot(x_points, fit_func(p_lsq_9[0], x_points), label='fitted curve')
plt.plot(x_points, fit_func(p_lsq_regularization[0], x_points), label='regularization')
plt.plot(x, y, 'bo', label='noise')
plt.legend()
plt.show()

可看出：正则化有效