实现的话,其实就是通过高斯消元,解一个线性方程组:
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X^TXw = X^Ty
XTXw=XTy
这里把推导过程简单说一下
首先我们知道线性回归的loss function:
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\min_ w L = ||y - Xw||
wminL=∣∣y−Xw∣∣
然后我们求关于w的梯度:
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L = (y - Xw)^T(y - Xw) \\ = (y^Ty - w^TX^Ty - y^TXw + w^TX^TXw)
L=(y−Xw)T(y−Xw)=(yTy−wTXTy−yTXw+wTXTXw)
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\nabla_w L = -X^Ty - X^Ty + 2X^TXw
∇wL=−XTy−XTy+2XTXw
令梯度为0,容易推出最后结论:
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X^TXw = X^Ty
XTXw=XTy
#include<bits/stdc++.h>
using namespace std;constdouble eps =1e-8;typedef vector<double> vec;typedef vector<vec> mat;
vec gauss_jordan(const mat& A,const vec& b){int n = A.size();
mat B(n,vec(n+1));for(int i =0; i < n; i++){for(int j =0; j < n; j++){
B[i][j]= A[i][j];}}for(int i =0; i < n; i++){
B[i][n]= b[i];}for(int i =0; i< n; i++){int pivot = i;for(int j = i; j < n; j++){if(abs(B[j][i])>abs(B[pivot][i]))
pivot = j;}swap(B[i], B[pivot]);if(abs(B[i][i])< eps)returnvec();for(int j = i +1; j <= n; j++){
B[i][j]/= B[i][i];}for(int j =0; j < n; j++){if(i != j){for(int k = i +1; k <= n; k++)
B[j][k]-= B[j][i]* B[i][k];}}}
vec x(n);for(int i =0; i < n; i++)
x[i]= B[i][n];return x;}
mat mul(mat& A, mat& B){
mat C(A.size(),vec(B[0].size()));for(int i =0; i < A.size(); i++){for(int k =0; k < B.size(); k++){for(int j =0; j < B[0].size(); j++){
C[i][j]+= A[i][k]* B[k][j];}}}return C;}
mat trans(mat& A){
mat B(A[0].size(),vec(A.size()));for(int i =0; i < A.size(); i++){for(int j =0; j < A[i].size(); j++){
B[j][i]= A[i][j];}}return B;}
vec tovec(mat& A){
vec B(A.size());for(int i =0; i < A.size(); i++){
B[i]= A[i][0];}return B;}voidSplitString(const string& s, vector<double>& v,const string& c){
string::size_type pos1, pos2;
pos2 = s.find(c);
pos1 =0;while(string::npos != pos2){
v.push_back(stod(s.substr(pos1, pos2-pos1)));
pos1 = pos2 + c.size();
pos2 = s.find(c, pos1);}if(pos1 != s.length())
v.push_back(stod(s.substr(pos1)));}intmain(){
string s;
ios::sync_with_stdio(false);
mat X, Y;for(int i =0; i <4; i++){
cin>>s;
vector<double> v;SplitString(s, v,",");
vector<double>v1(v.begin(), v.end()-1);
v1.insert(v1.begin(),1.0);
vector<double>v2(1,*v.rbegin());
X.push_back(v1);
Y.push_back(v2);}for(int i =0; i < X.size(); i++){for(int j =0; j < X[i].size(); j++){
cout << X[i][j]<<", ";}
cout << endl;}for(int i =0; i < Y.size(); i++){for(int j =0; j < Y[i].size(); j++){
cout << Y[i][j]<<", ";}
cout << endl;}auto Xt =trans(X);auto A =mul(Xt, X);auto B =mul(Xt, Y);auto C =tovec(B);auto ans =gauss_jordan(A, C);for(int i =0; i < ans.size()-1; i++){
cout << fixed<<setprecision(2)<< ans[i]<<",";}
cout << fixed<<setprecision(2)<<*ans.rbegin()<< endl;return0;}
python实现
import sys, math
import numpy as np
defsolve(X,Y):
A = np.dot(X.T, X)
B = np.dot(X.T, Y.T)
W = np.squeeze(np.linalg.solve(A, B).T).tolist()return W
if __name__=='__main__':
X =[]
Y =[]whileTrue:
line = sys.stdin.readline().strip('\r\n')if line =='':break
nums = line.split(',')
nums =[float(n)for n in nums]
X.append([1.0]+ nums[:-1])
Y.append(nums[-1])
X = np.array(X, dtype = np.float32)
Y = np.array(Y, dtype = np.float32, ndmin =2)
coefs = solve(X,Y)
formatted_coefs =[]for coef in coefs:
coef = math.floor(coef*100)/100
formatted_coefs.append('%.2f'%coef)print(','.join(formatted_coefs))