理解要点：主要是梯度更新的方法使用了FTRL。即更改了梯度的update函数。
相关参考：https://github.com/wan501278191/OnlineLearning_BasicAlgorithm/blob/master/FTRL.py
FTRL（Follow The Regularized Leader）是一种优化方法，就如同SGD（Stochastic Gradient Descent）一样。这里直接给出用FTRL优化LR（Logistic Regression）的步骤：
其中pt=σ(Xt⋅w)是LR的预测函数，求出pt的唯一目的是为了求出目标函数（在LR中采用交叉熵损失函数作为目标函数）对参数w的一阶导数g，gi=(pt−yt)xi。上面的步骤同样适用于FTRL优化其他目标函数，唯一的不同就是求次梯度g（次梯度是左导和右导之间的集合，函数可导--左导等于右导时，次梯度就等于一阶梯度）的方法不同。
一、先查看一下数据
二、构建FTRL模型
# %load FTRL.py
# Date: 2018-08-17 9:47
# Author: Enneng Yang
# Abstract：ftrl ref:http://www.cnblogs.com/zhangchaoyang/articles/6854175.html
import sys
import matplotlib.pyplot as plt
from mpl_toolkits.mplot3d import Axes3D
import random
import numpy as np
import tensorflow as tf
# logistic regression
class LR(object):
@staticmethod
def fn(w, x):
''' sigmod function '''
return 1.0 / (1.0 + np.exp(-w.dot(x)))
@staticmethod
def loss(y, y_hat):
'''cross-entropy loss function'''
return np.sum(np.nan_to_num(-y * np.log(y_hat) - (1-y)*np.log(1-y_hat)))
@staticmethod
def grad(y, y_hat, x):
'''gradient function'''
return (y_hat - y) * x
class FTRL(object):
def __init__(self, dim, l1, l2, alpha, beta, decisionFunc=LR):
self.dim = dim
self.l1 = l1
self.l2 = l2
self.alpha = alpha
self.beta = beta
self.decisionFunc = decisionFunc
self.z = np.zeros(dim)
self.q = np.zeros(dim)
self.w = np.zeros(dim)
def predict(self, x):
return self.decisionFunc.fn(self.w, x)
def update(self, x, y):
self.w = np.array([0 if np.abs(self.z[i]) <= self.l1
else (np.sign(self.z[i]) * self.l1 - self.z[i]) / (self.l2 + (self.beta + np.sqrt(self.q[i]))/self.alpha)
for i in range(self.dim)])
y_hat = self.predict(x)
g = self.decisionFunc.grad(y, y_hat, x)
sigma = (np.sqrt(self.q + g*g) - np.sqrt(self.q)) / self.alpha
self.z += g - sigma * self.w
self.q += g*g
return self.decisionFunc.loss(y,y_hat)
def training(self, trainSet, max_itr):
n = 0
all_loss = []
all_step = []
while True:
for var in trainSet:
x= var[:4]
y= var[4:5]
loss = self.update(x, y)
all_loss.append(loss)
all_step.append(n)
print("itr=" + str(n) + "\tloss=" + str(loss))
n += 1
if n > max_itr:
print("reach max iteration", max_itr)
return all_loss, all_step
三、训练
if __name__ == '__main__':
d = 4
trainSet = np.loadtxt('Data/FTRLtrain.txt')
ftrl = FTRL(dim=d, l1=0.001, l2=0.1, alpha=0.1, beta=1e-8)
all_loss, all_step = ftrl.training(trainSet, max_itr=100000)
w = ftrl.w
print(w)
testSet = np.loadtxt('Data/FTRLtest.txt')
correct = 0
wrong = 0
for var in testSet:
x = var[:4]
y = var[4:5]
y_hat = 1.0 if ftrl.predict(x) > 0.5 else 0.0
if y == y_hat:
correct += 1
else:
wrong += 1
print("correct ratio:", 1.0 * correct / (correct + wrong), "\t correct:", correct, "\t wrong:", wrong)
plt.title('FTRL')
plt.xlabel('training_epochs')
plt.ylabel('loss')
plt.plot(all_step, all_loss)
plt.show()打印如下：
itr=99996 loss=6.573507715996819e-05
itr=99997 loss=0.004460476965465843
itr=99998 loss=0.27559826174822016
itr=99999 loss=0.49269693073256776
itr=100000 loss=0.00031078609741847434
reach max iteration 100000
[ 4.40236724 1.98715805 11.66128074 3.37851271]
correct ratio: 0.994 correct: 994 wrong: 6
其他参考：
# coding=utf-8
__author__ = "orisun"
import numpy as np
class LR(object):
@staticmethod
def fn(w, x):
'''决策函数为sigmoid函数
'''
return 1.0 / (1.0 + np.exp(-w.dot(x)))
@staticmethod
def loss(y, y_hat):
'''交叉熵损失函数
'''
return np.sum(np.nan_to_num(-y * np.log(y_hat) - (1 - y) * np.log(1 - y_hat)))
@staticmethod
def grad(y, y_hat, x):
'''交叉熵损失函数对权重w的一阶导数
'''
return (y_hat - y) * x
class FTRL(object):
def __init__(self, dim, l1, l2, alpha, beta, decisionFunc=LR):
self.dim = dim
self.decisionFunc = decisionFunc
self.z = np.zeros(dim)
self.n = np.zeros(dim)
self.w = np.zeros(dim)
self.l1 = l1
self.l2 = l2
self.alpha = alpha
self.beta = beta
def predict(self, x):
return self.decisionFunc.fn(self.w, x)
def update(self, x, y):
self.w = np.array([0 if np.abs(self.z[i]) <= self.l1 else (np.sign(
self.z[i]) * self.l1 - self.z[i]) / (self.l2 + (self.beta + np.sqrt(self.n[i])) / self.alpha) for i in range(self.dim)])
y_hat = self.predict(x)
g = self.decisionFunc.grad(y, y_hat, x)
sigma = (np.sqrt(self.n + g * g) - np.sqrt(self.n)) / self.alpha
self.z += g - sigma * self.w
self.n += g * g
return self.decisionFunc.loss(y, y_hat)
def train(self, trainSet, verbos=False, max_itr=100000000, eta=0.01, epochs=100):
itr = 0
n = 0
while True:
for x, y in trainSet:
loss = self.update(x, y)
if verbos:
print ("itr=" + str(n) + "\tloss=" + str(loss))
if loss < eta:
itr += 1
else:
itr = 0
if itr >= epochs: # 损失函数已连续epochs次迭代小于eta
print ("loss have less than", eta, " continuously for ", itr, "iterations")
return
n += 1
if n >= max_itr:
print ("reach max iteration", max_itr)
return
class Corpus(object):
def __init__(self, file, d):
self.d = d
self.file = file
def __iter__(self):
with open(self.file, 'r') as f_in:
for line in f_in:
arr = line.strip().split()
if len(arr) >= (self.d + 1):
yield (np.array([float(x) for x in arr[0:self.d]]), float(arr[self.d]))
if __name__ == '__main__':
d = 4
#corpus = Corpus("train.txt", d)
corpus = Corpus("./Data/FTRLtrain.txt", d)
ftrl = FTRL(dim=d, l1=1.0, l2=1.0, alpha=0.1, beta=1.0)
ftrl.train(corpus, verbos=False, max_itr=100000, eta=0.01, epochs=100)
w = ftrl.w
print (w)
correct = 0
wrong = 0
for x, y in corpus:
y_hat = 1.0 if ftrl.predict(x) > 0.5 else 0.0
if y == y_hat:
correct += 1
else:
wrong += 1
print ("correct ratio", 1.0 * correct / (correct + wrong))打印如下：
reach max iteration 100000
[ 4.0726218 1.8432749 10.83822051 3.11898096]
correct ratio 0.9944444444444445当把参数调为λ1=0,λ2=0,α=0.5,β=1λ1=0,λ2=0,α=0.5,β=1时，准确率能达到0.9976。
train.txt文件前4列是特征，第5列是标签。内容形如：
-0.567811945258 0.899305436215 0.501926599477 -0.222973905568 1.0
-0.993964260114 0.261988294216 -0.349167046026 -0.923759536056 0.0
0.300707261785 -0.90855090557 -0.248270600228 0.879134142054 0.0
-0.311566995194 -0.698903141283 0.369841040784 0.175901270771 1.0
0.0245841670644 0.782128080056 0.542680482068 0.44897929707 1.0
0.344387543846 0.297686731698 0.338210312887 0.175049733038 1.0相关参考：
FTRL代码实 https://www.cnblogs.com/zhangchaoyang/articles/6854175.html
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