机器学习-梯度下降求解逻辑回归

梯度下降求解逻辑回归

• 主要有一下几步

1. 数据预处理（前面加一列1）
2. 将数学推导式代码实现
3. 设置终止条件
4. 参数更新
5. 设置参数训练

注意：¹

#!/usr/bin/env python
# coding: utf-8

# # Logistic Regression

# ## The data

# 我们将建立一个逻辑回归模型来预测一个学生是否被大学录取。假设你是一个大学系的管理员，你想根据两次考试的结果来决定每个申请人的录取机会。你有以前的申请人的历史数据，你可以用它作为逻辑回归的训练集。对于每一个培训例子，你有两个考试的申请人的分数和录取决定。为了做到这一点，我们将建立一个分类模型，根据考试成绩估计入学概率。

# In[10]:


#三大件
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
get_ipython().run_line_magic('matplotlib', 'inline')


# In[11]:


import os
path = 'data' + os.sep + 'LogiReg_data.txt'
pdData = pd.read_csv(path, header=None, names=['Exam 1', 'Exam 2', 'Admitted'])
pdData.head()


# In[12]:


pdData.shape


# In[13]:


positive = pdData[pdData['Admitted'] == 1] # returns the subset of rows such Admitted = 1, i.e. the set of *positive* examples
negative = pdData[pdData['Admitted'] == 0] # returns the subset of rows such Admitted = 0, i.e. the set of *negative* examples

fig, ax = plt.subplots(figsize=(10,5))
ax.scatter(positive['Exam 1'], positive['Exam 2'], s=30, c='b', marker='o', label='Admitted')
ax.scatter(negative['Exam 1'], negative['Exam 2'], s=30, c='r', marker='x', label='Not Admitted')
ax.legend()
ax.set_xlabel('Exam 1 Score')
ax.set_ylabel('Exam 2 Score')


# ## The logistic regression

# 目标：建立分类器（求解出三个参数 $\theta_0         \theta_1         \theta_2 $）
# 
# 
# 设定阈值，根据阈值判断录取结果
# 
# ### 要完成的模块
# -  `sigmoid` : 映射到概率的函数
# 
# -  `model` : 返回预测结果值
# 
# -  `cost` : 根据参数计算损失
# 
# -  `gradient` : 计算每个参数的梯度方向
# 
# -  `descent` : 进行参数更新
# 
# -  `accuracy`: 计算精度

# ###  `sigmoid` 函数
# 
# $$
# g(z) = \frac{1}{1+e^{-z}}   
# $$

# In[14]:


def sigmoid(z):
    return 1 / (1 + np.exp(-z))


# In[15]:


nums = np.arange(-10, 10, step=1) #creates a vector containing 20 equally spaced values from -10 to 10
fig, ax = plt.subplots(figsize=(12,4))
ax.plot(nums, sigmoid(nums), 'r')


# ### Sigmoid
# * $g:\mathbb{R} \to [0,1]$
# * $g(0)=0.5$
# * $g(- \infty)=0$
# * $g(+ \infty)=1$

# In[16]:


def model(X, theta):
    
    return sigmoid(np.dot(X, theta.T))


# $$
# \begin{array}{ccc}
# \begin{pmatrix}\theta_{0} & \theta_{1} & \theta_{2}\end{pmatrix} & \times & \begin{pmatrix}1\\
# x_{1}\\
# x_{2}
# \end{pmatrix}\end{array}=\theta_{0}+\theta_{1}x_{1}+\theta_{2}x_{2}
# $$

# In[17]:



pdData.insert(0, 'Ones', 1) # in a try / except structure so as not to return an error if the block si executed several times


# set X (training data) and y (target variable)
orig_data = pdData.values # convert the Pandas representation of the data to an array useful for further computations
cols = orig_data.shape[1]
X = orig_data[:,0:cols-1]
y = orig_data[:,cols-1:cols]

# convert to numpy arrays and initalize the parameter array theta
#X = np.matrix(X.values)
#y = np.matrix(data.iloc[:,3:4].values) #np.array(y.values)
theta = np.zeros([1, 3])


# In[18]:


X[:5]


# In[19]:


y[:5]


# In[20]:


theta


# In[21]:


X.shape, y.shape, theta.shape


# ### 损失函数
# 将对数似然函数去负号
# 
# $$
# D(h_\theta(x), y) = -y\log(h_\theta(x)) - (1-y)\log(1-h_\theta(x))
# $$
# 求平均损失
# $$
# J(\theta)=\frac{1}{n}\sum_{i=1}^{n} D(h_\theta(x_i), y_i)
# $$

# In[22]:


def cost(X, y, theta):
    left = np.multiply(-y, np.log(model(X, theta)))
    right = np.multiply(1 - y, np.log(1 - model(X, theta)))
    return np.sum(left - right) / (len(X))


# In[23]:


cost(X, y, theta)


# ### 计算梯度
# 
# 
# $$
# \frac{\partial J}{\partial \theta_j}=-\frac{1}{m}\sum_{i=1}^n (y_i - h_\theta (x_i))x_{ij}
# $$
# 

# In[24]:


def gradient(X, y, theta):
    grad = np.zeros(theta.shape)
    error = (model(X, theta)- y).ravel()
    for j in range(len(theta.ravel())): #for each parmeter
        term = np.multiply(error, X[:,j])
        grad[0, j] = np.sum(term) / len(X)
    
    return grad


# ### Gradient descent

# 比较3中不同梯度下降方法
# 

# In[25]:


STOP_ITER = 0
STOP_COST = 1
STOP_GRAD = 2

def stopCriterion(type, value, threshold):
    #设定三种不同的停止策略
    if type == STOP_ITER:        return value > threshold
    elif type == STOP_COST:      return abs(value[-1]-value[-2]) < threshold
    elif type == STOP_GRAD:      return np.linalg.norm(value) < threshold


# In[26]:


import numpy.random
#洗牌
def shuffleData(data):
    np.random.shuffle(data)
    cols = data.shape[1]
    X = data[:, 0:cols-1]
    y = data[:, cols-1:]
    return X, y


# In[27]:


import time

def descent(data, theta, batchSize, stopType, thresh, alpha):
    #梯度下降求解
    
    init_time = time.time()
    i = 0 # 迭代次数
    k = 0 # batch
    X, y = shuffleData(data)
    grad = np.zeros(theta.shape) # 计算的梯度
    costs = [cost(X, y, theta)] # 损失值

    
    while True:
        grad = gradient(X[k:k+batchSize], y[k:k+batchSize], theta)
        k += batchSize #取batch数量个数据
        if k >= n: 
            k = 0 
            X, y = shuffleData(data) #重新洗牌
        theta = theta - alpha*grad # 参数更新
        costs.append(cost(X, y, theta)) # 计算新的损失
        i += 1 

        if stopType == STOP_ITER:       value = i
        elif stopType == STOP_COST:     value = costs
        elif stopType == STOP_GRAD:     value = grad
        if stopCriterion(stopType, value, thresh): break
    
    return theta, i-1, costs, grad, time.time() - init_time


# In[28]:


def runExpe(data, theta, batchSize, stopType, thresh, alpha):
    #import pdb; pdb.set_trace();
    theta, iter, costs, grad, dur = descent(data, theta, batchSize, stopType, thresh, alpha)
    name = "Original" if (data[:,1]>2).sum() > 1 else "Scaled"
    name += " data - learning rate: {} - ".format(alpha)
    if batchSize==n: strDescType = "Gradient"
    elif batchSize==1:  strDescType = "Stochastic"
    else: strDescType = "Mini-batch ({})".format(batchSize)
    name += strDescType + " descent - Stop: "
    if stopType == STOP_ITER: strStop = "{} iterations".format(thresh)
    elif stopType == STOP_COST: strStop = "costs change < {}".format(thresh)
    else: strStop = "gradient norm < {}".format(thresh)
    name += strStop
    print ("***{}\nTheta: {} - Iter: {} - Last cost: {:03.2f} - Duration: {:03.2f}s".format(
        name, theta, iter, costs[-1], dur))
    fig, ax = plt.subplots(figsize=(12,4))
    ax.plot(np.arange(len(costs)), costs, 'r')
    ax.set_xlabel('Iterations')
    ax.set_ylabel('Cost')
    ax.set_title(name.upper() + ' - Error vs. Iteration')
    return theta


# ### 不同的停止策略

# #### 设定迭代次数

# In[29]:


#选择的梯度下降方法是基于所有样本的
n=100
runExpe(orig_data, theta, n, STOP_ITER, thresh=5000, alpha=0.000001)


# #### 根据损失值停止

# 设定阈值 1E-6, 差不多需要110 000次迭代 

# In[30]:


runExpe(orig_data, theta, n, STOP_COST, thresh=0.000001, alpha=0.001)


# #### 根据梯度变化停止

# 设定阈值 0.05,差不多需要40 000次迭代

# In[31]:


runExpe(orig_data, theta, n, STOP_GRAD, thresh=0.05, alpha=0.001)


# ### 对比不同的梯度下降方法

# #### Stochastic descent

# In[32]:


runExpe(orig_data, theta, 1, STOP_ITER, thresh=5000, alpha=0.001)


# 有点爆炸。。。很不稳定,再来试试把学习率调小一些

# In[33]:


runExpe(orig_data, theta, 1, STOP_ITER, thresh=15000, alpha=0.000002)


# 速度快，但稳定性差，需要很小的学习率

# #### Mini-batch descent

# In[34]:


runExpe(orig_data, theta, 16, STOP_ITER, thresh=15000, alpha=0.001)


# 浮动仍然比较大，我们来尝试下对数据进行标准化
# 将数据按其属性(按列进行)减去其均值，然后除以其方差。最后得到的结果是，对每个属性/每列来说所有数据都聚集在0附近，方差值为1

# In[35]:


from sklearn import preprocessing as pp

scaled_data = orig_data.copy()
scaled_data[:, 1:3] = pp.scale(orig_data[:, 1:3])

runExpe(scaled_data, theta, n, STOP_ITER, thresh=5000, alpha=0.001)


# 它好多了！原始数据，只能达到达到0.61，而我们得到了0.38个在这里！
# 所以对数据做预处理是非常重要的

# In[ ]:


runExpe(scaled_data, theta, n, STOP_GRAD, thresh=0.02, alpha=0.001)


# 更多的迭代次数会使得损失下降的更多！

# In[ ]:


theta = runExpe(scaled_data, theta, 1, STOP_GRAD, thresh=0.002/5, alpha=0.001)


# 随机梯度下降更快，但是我们需要迭代的次数也需要更多，所以还是用batch的比较合适！！！

# In[ ]:


runExpe(scaled_data, theta, 16, STOP_GRAD, thresh=0.002*2, alpha=0.001)


# ## 精度

# In[ ]:


#设定阈值
def predict(X, theta):
    return [1 if x >= 0.5 else 0 for x in model(X, theta)]


# In[ ]:


scaled_X = scaled_data[:, :3]
y = scaled_data[:, 3]
predictions = predict(scaled_X, theta)
correct = [1 if ((a == 1 and b == 1) or (a == 0 and b == 0)) else 0 for (a, b) in zip(predictions, y)]
accuracy = (sum(map(int, correct)) % len(correct))
print ('accuracy = {0}%'.format(accuracy))

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1. 运行时注意环境版本 ↩︎