梯度下降法-4.向量化和数据标准化

梯度下降的向量化

\[\Lambda J = \begin{bmatrix} \frac{\partial J}{\partial \theta _0} \\ \frac{\partial J}{\partial \theta _1} \\ \frac{\partial J}{\partial \theta _2} \\ ... \\ \frac{\partial J}{\partial \theta _n} \end{bmatrix} = \frac{2}{m}\begin{bmatrix} \sum(X^{(i)}_b\theta - y^{(i)}) \\ \sum(X^{(i)}_b\theta - y^{(i)}) \cdot X_1^{(i)}\\ \sum(X^{(i)}_b\theta - y^{(i)}) \cdot X_2^{(i)}\\ ...\\ \sum(X^{(i)}_b\theta - y^{(i)}) \cdot X_n^{(i)} \end{bmatrix}\]
之前求梯度的过程是使用for循环对每一项的\(\theta\) 求偏导数， 对上面的式子，进行向量化
\[\Lambda J = \begin{bmatrix} \frac{\partial J}{\partial \theta _0} \\ \frac{\partial J}{\partial \theta _1} \\ \frac{\partial J}{\partial \theta _2} \\ ... \\ \frac{\partial J}{\partial \theta _n} \end{bmatrix} = \frac{2}{m}\begin{bmatrix} \sum(X^{(i)}_b\theta - y^{(i)}) \cdot X_0^{(i)}\\ \sum(X^{(i)}_b\theta - y^{(i)}) \cdot X_1^{(i)}\\ \sum(X^{(i)}_b\theta - y^{(i)}) \cdot X_2^{(i)}\\ ...\\ \sum(X^{(i)}_b\theta - y^{(i)}) \cdot X_n^{(i)} \end{bmatrix} = \frac{2}{m}(X_b\theta -y)^T\cdot X_b \]
将式子转换为列向量：
\[\Lambda J = \frac{2}{m}(X_b\theta -y)^T\cdot X_b = \frac{2}{m} X_b^T \cdot (X_b\theta -y)\]

优化代码：

def dJ(theta,X_b,y):  #求导

    #返回的导数矩阵    
    #res = numpy.empty(len(theta))
    #res[0] = numpy.sum(X_b.dot(theta)-y)
    #for i in range(1,len(theta)):
    #res[i] = ((X_b.dot(theta)-y).dot(X_b[:,i]))
    #return res*2/len(X_b)

    return X_b.T.dot(X_b.dot(theta)-y)*2/len(X_b)

使用梯度下降法预测波士顿房价：

import numpy
import matplotlib.pyplot as plt
from sklearn import datasets
from mylib.LineRegression import LineRegression
from mylib.model_selection import train_test_split

boston = datasets.load_boston()
X = boston.data
y = boston.target
X = X[y<50]
y = y[y<50]

X_train,X_test,y_train,y_test = train_test_split(X,y,seed=666)

reg = LineRegression()
%time reg.fit_gd(X_train,y_train)

由此看出是梯度下降过程不收敛，先尝试减小学习步长 $\eta $ 并增大学习次数n_iters

%time reg.fit_gd(X_train,y_train,eta=0.000001,n_iters=1e6)
reg.score(X_test,y_test)

训练时间长达8分钟！！！

数据标准化

由上可知，因为真实数据集各个特征的规模不一样，学习率取较大值时，梯度下降过程可能不收敛，学习率取较小值时，学习次数多，导致学习时间很慢，所以在使用梯度下降法时，将数据归一化

from sklearn.preprocessing import StandardScaler
Sd = StandardScaler()

Sd.fit(X_train)
X_train_stand = Sd.transform(X_train)
X_test_stand = Sd.transform(X_test)

%time reg.fit_gd(X_train_stand,y_train)

梯度下降法的优势

虚构一个有1000个样本数，每个样本有5000个特征的数据集

import numpy

m=1000 #样本数
n=5000 #特征值

big_x = numpy.random.normal(size=(m,n))
true_theta = numpy.random.uniform(0.0, 100.0,size=n+1)
big_y = big_x.dot(true_theta[1:]) + true_theta[:1] + numpy.random.normal(0.0,10.0,size=m)

用线性回归算法训练：

用梯度下降法训练：

由上可以看出，梯度下降所需的时间要少于线性回归法，这是因为正规方程解处理的是m*n规模的矩阵之间的大量乘法运算，当数据规模比较大的时候，计算耗时是更高的。

转载于:https://www.cnblogs.com/shuai-long/p/11203757.html