Lasso 回归和岭回归(ridge regression)都是在标准线性回归的基础上加入 L1 正则化而其它地方不变,可以用来解决标准线性回归的过拟合问题。
- Lasso 回归加入 L1 正则化:
- 岭回归加入 L2 正则化:
import matplotlib.pyplot as plt
import sys
import numpy as np
import tensorflow as tf
from sklearn import datasets
from tensorflow.python.framework import ops
ops.reset_default_graph()
sess = tf.Session()
iris = datasets.load_iris()
x_vals = np.array([x[3] for x in iris.data])
y_vals = np.array([y[0] for y in iris.data])
batch_size = 50
x_data = tf.placeholder(shape=[None, 1], dtype=tf.float32)
y_target = tf.placeholder(shape=[None, 1], dtype=tf.float32)
seed = 13
np.random.seed(seed)
tf.set_random_seed(seed)
A = tf.Variable(tf.random_normal(shape=[1,1]))
b = tf.Variable(tf.random_normal(shape=[1,1]))
model_output = tf.add(tf.matmul(x_data, A), b)
# Lasso : Loss Functions
lasso_param = tf.constant(0.9)
heavyside_step = tf.truediv(1., tf.add(1., tf.exp(tf.multiply(-50., tf.subtract(A, lasso_param)))))
regularization_param = tf.multiply(heavyside_step, 99.)
loss = tf.add(tf.reduce_mean(tf.square(y_target - model_output)), regularization_param)
#岭回归Ridge regression:
#ridge_param = tf.constant(1.)
#ridge_loss = tf.reduce_mean(tf.square(A))
#loss = tf.expand_dims(tf.add(tf.reduce_mean(tf.square(y_target - model_output)), tf.multiply(ridge_param, ridge_loss)), 0)
my_opt = tf.train.GradientDescentOptimizer(0.001)
train_step = my_opt.minimize(loss)
init = tf.global_variables_initializer()
sess.run(init)
loss_vec = []
for i in range(1500):
rand_index = np.random.choice(len(x_vals), size=batch_size)
rand_x = np.transpose([x_vals[rand_index]])
rand_y = np.transpose([y_vals[rand_index]])
sess.run(train_step, feed_dict={x_data: rand_x, y_target: rand_y})
temp_loss = sess.run(loss, feed_dict={x_data: rand_x, y_target: rand_y})
loss_vec.append(temp_loss[0])
if (i+1)%300==0:
print('Step #' + str(i+1) + ' A = ' + str(sess.run(A)) + ' b = ' + str(sess.run(b)))
print('Loss = ' + str(temp_loss))
print('\n')
# Get the optimal coefficients
[slope] = sess.run(A)
[y_intercept] = sess.run(b)
# Get best fit line
best_fit = []
for i in x_vals:
best_fit.append(slope*i+y_intercept)