python递推法_递推最小二乘法——python程序

算法引用的数据为python自带的波士顿房价数据。代码如下：

# data 第一列为标记值

# data 后几列为特征向量

# initialTheta 为需要求得的theta

import numpy as np

import sklearn.datasets

from sklearn.model_selection import train_test_split

from sklearn.metrics import mean_squared_error

import matplotlib as mpl

import matplotlib.pyplot as plt

import warnings

###################

## data 第一列为真值，后面所有列为特征

## initialTheta 估算的权值初值

## featureNum 特征的个数

def RLS_Fun(data, initialTheta, featureNum):

Theta = initialTheta

P = 10 ** 6 * np.eye(featureNum)

lamda = 1

for i in range(len(data)):

featureMatrix = data[i][1:]

featureMatrix = featureMatrix.reshape(featureMatrix.shape[0], 1)

y_real = data[i][0]

K = np.dot(P, featureMatrix) / (lamda + np.dot(np.dot(featureMatrix.T,