3.4 tensorflow弹性网络回归算法Elastic Net Regression

弹性网络回归算法(Elastic Net Regression)综合了Lasso回归和岭回归,即损失函数同时包含了L1正则和L2正则.

import matplotlib.pyplot as plt
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[1], x[2], x[3]] for x in iris.data])
y_vals = np.array([y[0] for y in iris.data])
seed = 13
np.random.seed(seed)
tf.set_random_seed(seed)
batch_size = 50
x_data = tf.placeholder(shape=[None, 3], dtype=tf.float32)
y_target = tf.placeholder(shape=[None, 1], dtype=tf.float32)
A = tf.Variable(tf.random_normal(shape=[3,1]))
b = tf.Variable(tf.random_normal(shape=[1,1]))
model_output = tf.add(tf.matmul(x_data, A), b)

# Declare the elastic net loss function
elastic_param1 = tf.constant(1.)
elastic_param2 = tf.constant(1.)
l1_a_loss = tf.reduce_mean(tf.abs(A))
l2_a_loss = tf.reduce_mean(tf.square(A))
e1_term = tf.multiply(elastic_param1, l1_a_loss)
e2_term = tf.multiply(elastic_param2, l2_a_loss)
loss = tf.expand_dims(tf.add(tf.add(tf.reduce_mean(tf.square(y_target - model_output)), e1_term), e2_term), 0)

my_opt = tf.train.GradientDescentOptimizer(0.001)
train_step = my_opt.minimize(loss)
init = tf.global_variables_initializer()
sess.run(init)
# Training loop
loss_vec = []
for i in range(1000):
    rand_index = np.random.choice(len(x_vals), size=batch_size)
    rand_x = 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)%250==0:
        print('Step #' + str(i+1) + ' A = ' + str(sess.run(A)) + ' b = ' + str(sess.run(b)))
        print('Loss = ' + str(temp_loss))
# Get the optimal coefficients
[[sw_coef], [pl_coef], [pw_ceof]] = sess.run(A)
[y_intercept] = sess.run(b)