梯度下降法
一、简介
- 不是一个机器学习算法
- 是一种基于搜索的最优化方法
- 作用：最小化一个损失函数
- 梯度上升法：最大化一个效用函数
- 并不是所有函数都有唯一的极值点
- 解决方案
- 多次运行，随机化初始点
- 梯度下降法的初始点也是一个超参数
二、梯度下降法实现
import numpy as np
import matplotlib.pyplot as plt
plot_x = np.linspace(-1,6,141)
plot_x
# 函数x和y
plot_y = (plot_x-2.5)**2-1
plt.plot(plot_x,plot_y)
plt.show()
2.1 求出斜率【求导】
- theta这一点的斜率
# 求出斜率
def dj(theta):
return 2*(theta-2.5)
2.2 theta对应的y值
# 求出theta对应的y值
def j(theta):
return (theta-2.5)**2-1
2.3 梯度下降法过程
theta = 0.0
epsilon = 1e-8
eta = 0.1
while True:
# 求出theta点对应的斜率
gradient = dj(theta)
# 更新last_theta值
last_theta = theta
# 更新theta
theta = theta -eta * gradient
# 判断j(theta)的差值情况，如果小于epslion，则break
if (abs(j(theta)-j(last_theta)) < epsilon):
break
print(theta) # 返回theta值
print(j(theta)) # 返回y值
- 可能永远达不到你想要的结果
- 设置epsilon，如果变化值小于epsilon，则达到极小值点
- 极小值即为对称轴的位置
theta = 0.0
# 新建theta_history列表，存储每次的theta值
theta_history = [theta]
epsilon = 1e-8
eta = 0.1
while True:
gradient = dj(theta)
last_theta = theta
theta = theta -eta * gradient
# append每次更新后的theta值
theta_history.append(theta)
# 如果j(theta)没啥大变化，则break循环
if (abs(j(theta)-j(last_theta)) < epsilon):
break
plt.plot(plot_x,j(plot_x))
plt.plot(np.array(theta_history),j(np.array(theta_history)),color = "r",marker="+")
plt.show()
- 学习率eta = 0.01
eta = 0.01
theta_history = []
gradient_descent(0.,eta)
plot_theta_history()
- eta = 0.8
eta = 0.8
theta_history = []
gradient_descent(0.,eta)
plot_theta_history()
三、封装函数
def gradient_descent(initial_theta,eta,n_iters = 1e4,epsilon=1e-8):
theta = initial_theta
theta_history.append(initial_theta)
# 为了防止死循环，设置循环次数不超过1e4
i_iter = 0
while i_iter < n_iters:
gradient = dj(theta)
last_theta = theta
theta = theta -eta*gradient
theta_history.append(theta)
if (abs(j(theta)-j(last_theta)) < epsilon):
break
i_iter += 1
def plot_theta_history():
plt.plot(plot_x,j(plot_x))
plt.plot(np.array(theta_history),j(np.array(theta_history)),color = "r",marker="+")
plt.show()
eta = 1.1
theta_history = []
gradient_descent(0.,eta)
# plot_theta_history()
eta = 1.1
theta_history = []
gradient_descent(0.,eta,n_iters=10)
plot_theta_history()
四、多元线性回归中的梯度下降法
- theta的求导
import numpy as np
import matplotlib.pyplot as plt
np.random.seed(666)
x = 2*np.random.random(size=100)
# np.random.normal 生成 均值为0 方差为1 的正态分布
y = x*3. + 4. +np.random.normal(size=100)
plt.scatter(x,y)
plt.show()
4.1 定义函数
def j(theta,X_b,y):
# 函数
try:
return np.sum((y-X_b.dot(theta))**2) / len(X_b)
except:
return float('inf')
4.2 定义δJ
def dj(theta,X_b,y):
# 求导数梯度
res = np.empty(len(theta))
res[0] = np.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) # 乘以2/m
4.3 定义梯度下降
def gradient_descent(X_b,y,initial_theta,eta,n_iters = 1e4,epsilon=1e-8):
theta = initial_theta
# 为了防止死循环，设置循环次数不超过1e4
i_iter = 0
while i_iter < n_iters:
gradient = dj(theta,X_b,y)
last_theta = theta
theta = theta -eta*gradient
if (abs(j(theta,X_b,y)-j(last_theta,X_b,y)) < epsilon):
break
i_iter += 1
return theta
#这里加一列1
X_b = np.hstack([np.ones((len(x),1)), x.reshape(-1,1)])
#初始theta设置为0
initial_theta = np.zeros(X_b.shape[1])
eta = 0.01
theta = gradient_descent(X_b, y, initial_theta, eta)
theta
import numpy as np
from sklearn.metrics import r2_score
class LinearRegression:
def __init__(self):
"""初始化Linear Regression模型"""
self.coef_ = None
self.intercept_ = None
self._theta = None
def fit_normal(self, X_train, y_train):
"""根据训练数据集X_train, y_train训练Linear Regression模型"""
assert X_train.shape[0] == y_train.shape[0], \
"the size of X_train must be equal to the size of y_train"
X_b = np.hstack([np.ones((len(X_train), 1)), X_train])
self._theta = np.linalg.inv(X_b.T.dot(X_b)).dot(X_b.T).dot(y_train)
self.intercept_ = self._theta[0]
self.coef_ = self._theta[1:]
return self
def fit_gd(self, X_train, y_train, eta=0.01, n_iters=1e4):
"""根据训练数据集X_train, y_train, 使用梯度下降法训练Linear Regression模型"""
assert X_train.shape[0] == y_train.shape[0], \
"the size of X_train must be equal to the size of y_train"
def J(theta, X_b, y):
try:
return np.sum((y - X_b.dot(theta)) ** 2) / len(y)
except:
return float('inf')
def dJ(theta, X_b, y):
# res = np.empty(len(theta))
# res[0] = np.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)
def gradient_descent(X_b, y, initial_theta, eta, n_iters=1e4, epsilon=1e-8):
theta = initial_theta
cur_iter = 0
while cur_iter < n_iters:
gradient = dJ(theta, X_b, y)
last_theta = theta
theta = theta - eta * gradient
if (abs(J(theta, X_b, y) - J(last_theta, X_b, y)) < epsilon):
break
cur_iter += 1
return theta
X_b = np.hstack([np.ones((len(X_train), 1)), X_train])
initial_theta = np.zeros(X_b.shape[1])
self._theta = gradient_descent(X_b, y_train, initial_theta, eta, n_iters)
self.intercept_ = self._theta[0]
self.coef_ = self._theta[1:]
return self
def fit_sgd(self, X_train, y_train, n_iters=5, t0=5, t1=50):
"""根据训练数据集X_train, y_train, 使用梯度下降法训练Linear Regression模型"""
assert X_train.shape[0] == y_train.shape[0], \
"the size of X_train must be equal to the size of y_train"
assert n_iters >= 1
def dJ_sgd(theta, X_b_i, y_i):
return X_b_i * (X_b_i.dot(theta) - y_i) * 2.
def sgd(X_b, y, initial_theta, n_iters, t0=5, t1=50):
def learning_rate(t):
return t0 / (t + t1)
theta = initial_theta
m = len(X_b)
for cur_iter in range(n_iters):
indexes = np.random.permutation(m)
X_b_new = X_b[indexes]
y_new = y[indexes]
for i in range(m):
gradient = dJ_sgd(theta, X_b_new[i], y_new[i])
theta = theta - learning_rate(cur_iter * m + i) * gradient
return theta
X_b = np.hstack([np.ones((len(X_train), 1)), X_train])
initial_theta = np.random.randn(X_b.shape[1])
self._theta = sgd(X_b, y_train, initial_theta, n_iters, t0, t1)
self.intercept_ = self._theta[0]
self.coef_ = self._theta[1:]
return self
def predict(self, X_predict):
"""给定待预测数据集X_predict，返回表示X_predict的结果向量"""
assert self.intercept_ is not None and self.coef_ is not None, \
"must fit before predict!"
assert X_predict.shape[1] == len(self.coef_), \
"the feature number of X_predict must be equal to X_train"
X_b = np.hstack([np.ones((len(X_predict), 1)), X_predict])
return X_b.dot(self._theta)
def score(self, X_test, y_test):
"""根据测试数据集 X_test 和 y_test 确定当前模型的准确度"""
y_predict = self.predict(X_test)
return r2_score(y_test, y_predict)
def __repr__(self):
return "LinearRegression()"
def dJ(theta, X_b, y):
# res = np.empty(len(theta))
# res[0] = np.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)
4.4 使用梯度下降法
import numpy as np
from sklearn import datasets
boston = datasets.load_boston()
X = boston.data
y = boston.target
X = X[y<50.0]
y = y[y<50.0]
from sklearn.model_selection import train_test_split
X_train,X_test,y_train,y_test = train_test_split(X,y,random_state=666)
lin_reg1 = LinearRegression()
%time lin_reg1.fit_normal(X_train,y_train)
lin_reg1.score(X_test,y_test)
lin_reg2 = LinearRegression()
lin_reg2.fit_gd(X_train,y_train)
lin_reg2.fit_gd(X_train,y_train,eta = 0.000001)
lin_reg2.score(X_test,y_test)
%time lin_reg2.fit_gd(X_train,y_train,eta = 0.000001,n_iters =1e6 )
lin_reg2.score(X_test,y_test)
- 以上数据差异性太大造成，学习率为0.000001才能计算训练，计算成本太大
from sklearn.preprocessing import StandardScaler
standardscaler = StandardScaler()
standardscaler.fit(X_train)
X_train_standard = standardscaler.transform(X_train)
lin_reg3 = LinearRegression()
%time lin_reg3.fit_gd(X_train_standard,y_train)
X_test_standard = standardscaler.transform(X_test)
lin_reg3.score(X_test_standard,y_test)
4.5 梯度下降法的优势
m = 1000
n = 5000
big_X = np.random.normal(size = (m,n))
true_theta = np.random.uniform(0.0,100.0,size=n+1)
# np,random.normal 均值为0 标准差为10
big_Y = big_X.dot(true_theta[1:]) + true_theta[0] + np.random.normal(0.,10.,size=m)
big_reg1 = LinearRegression()
%time big_reg1.fit_normal(big_X,big_Y)
big_reg2 = LinearRegression()
%time big_reg2.fit_gd(big_X,big_Y)
五、随机梯度下降法（sgd)
5.1 代码实现
#这里每次求一行数据的梯度,所以后面不用除以m
def dJ_sgd(theta, X_b_i, y_i):
return X_b_i.T.dot(X_b_i.dot(theta) - y_i)* 2.
# 随机梯度下降法学习率设置t0/(t+t1)这种形式
#由于梯度下降法随机性，设置最后的结果的时候只设置最大迭代次数
def sgd(X_b, y, initial_theta, n_iters):
t0 = 5
t1 = 50
def learning_rate(t):
return t0/(t+t1)
theta = initial_theta
for cur_iter in range(n_iters):
#下面是设置每次随机取一个样本
rand_i = np.random.randint(len(X_b))
gradient = dJ_sgd(theta, X_b[rand_i], y[rand_i])
theta = theta - learning_rate(cur_iter) * gradient
return theta
m = 100000
x = np.random.normal(size = m)
X = x.reshape(-1,1)
y = 4. * x + 3. +np.random.normal(0,3,size = m)
%time
X_b = np.hstack([np.ones((len(x),1)), X])
initial_theta = np.zeros(X_b.shape[1])
theta = sgd(X_b, y, initial_theta, n_iters=len(X_b)//3)
theta
-theta接近我们设置的w和b值
5.2 随机梯度下降法解释
- 每次随机对其中的一个进行求导，搜索方向
-
随机梯度下降法的theta值 逐渐递减的
-
模拟退火的思想
5.3 scikit-leran中的随机梯度下降法
5.3.1 封装函数
import numpy as np
from sklearn.metrics import r2_score
class LinearRegression:
def __init__(self):
"""初始化Linear Regression模型"""
self.coef_ = None
self.intercept_ = None
self._theta = None
def fit_normal(self, X_train, y_train):
"""根据训练数据集X_train, y_train训练Linear Regression模型"""
assert X_train.shape[0] == y_train.shape[0], \
"the size of X_train must be equal to the size of y_train"
X_b = np.hstack([np.ones((len(X_train), 1)), X_train])
self._theta = np.linalg.inv(X_b.T.dot(X_b)).dot(X_b.T).dot(y_train)
self.intercept_ = self._theta[0]
self.coef_ = self._theta[1:]
return self
def fit_gd(self, X_train, y_train, eta=0.01, n_iters=1e4):
"""根据训练数据集X_train, y_train, 使用梯度下降法训练Linear Regression模型"""
assert X_train.shape[0] == y_train.shape[0], \
"the size of X_train must be equal to the size of y_train"
def J(theta, X_b, y):
try:
return np.sum((y - X_b.dot(theta)) ** 2) / len(y)
except:
return float('inf')
def dJ(theta, X_b, y):
# res = np.empty(len(theta))
# res[0] = np.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)
def gradient_descent(X_b, y, initial_theta, eta, n_iters=1e4, epsilon=1e-8):
theta = initial_theta
cur_iter = 0
while cur_iter < n_iters:
gradient = dJ(theta, X_b, y)
last_theta = theta
theta = theta - eta * gradient
if (abs(J(theta, X_b, y) - J(last_theta, X_b, y)) < epsilon):
break
cur_iter += 1
return theta
X_b = np.hstack([np.ones((len(X_train), 1)), X_train])
initial_theta = np.zeros(X_b.shape[1])
self._theta = gradient_descent(X_b, y_train, initial_theta, eta, n_iters)
self.intercept_ = self._theta[0]
self.coef_ = self._theta[1:]
return self
def fit_sgd(self, X_train, y_train, n_iters=5, t0=5, t1=50):
"""根据训练数据集X_train, y_train, 使用梯度下降法训练Linear Regression模型"""
assert X_train.shape[0] == y_train.shape[0], \
"the size of X_train must be equal to the size of y_train"
assert n_iters >= 1
def dJ_sgd(theta, X_b_i, y_i):
return X_b_i * (X_b_i.dot(theta) - y_i) * 2.
def sgd(X_b, y, initial_theta, n_iters, t0=5, t1=50):
def learning_rate(t):
return t0 / (t + t1)
theta = initial_theta
m = len(X_b)
for cur_iter in range(n_iters):
# 对[0,m-1]的索引 取一个随机排列，np.random.permutation(m)
indexes = np.random.permutation(m)
# 根据产生的新索引
X_b_new = X_b[indexes]
y_new = y[indexes]
for i in range(m):
gradient = dJ_sgd(theta, X_b_new[i], y_new[i])
theta = theta - learning_rate(cur_iter * m + i) * gradient
return theta
X_b = np.hstack([np.ones((len(X_train), 1)), X_train])
initial_theta = np.random.randn(X_b.shape[1])
self._theta = sgd(X_b, y_train, initial_theta, n_iters, t0, t1)
self.intercept_ = self._theta[0]
self.coef_ = self._theta[1:]
return self
def predict(self, X_predict):
"""给定待预测数据集X_predict，返回表示X_predict的结果向量"""
assert self.intercept_ is not None and self.coef_ is not None, \
"must fit before predict!"
assert X_predict.shape[1] == len(self.coef_), \
"the feature number of X_predict must be equal to X_train"
X_b = np.hstack([np.ones((len(X_predict), 1)), X_predict])
return X_b.dot(self._theta)
def score(self, X_test, y_test):
"""根据测试数据集 X_test 和 y_test 确定当前模型的准确度"""
y_predict = self.predict(X_test)
return r2_score(y_test, y_predict)
def __repr__(self):
return "LinearRegression()"
import numpy as np
import matplotlib.pyplot as plt
m = 100000
x = np.random.normal(size=m)
X = x.reshape(-1,1)
y = 4.*x + 3. + np.random.normal(0,3,size=m)
lin_reg_1 = LinearRegression()
lin_reg_1.fit_sgd(X,y,n_iters = 2)
5.3.2 处理数据
from sklearn import datasets
boston = datasets.load_boston()
X = boston.data
y= boston.target
X = X[y<50.0]
y = y[y<50.0]
from sklearn.model_selection import train_test_split
X_train,X_test,y_train,y_test = train_test_split(X,y,random_state=666)
from sklearn.preprocessing import StandardScaler
standardscaler = StandardScaler()
standardscaler.fit(X_train)
X_train_standard = standardscaler.transform(X_train)
X_test_standard = standardscaler.transform(X_test)
lin_reg_2 = LinearRegression()
%time
lin_reg_2.fit_sgd(X_train_standard,y_train,n_iters=2)
lin_reg_2.score(X_test_standard,y_test)
lin_reg_2 = LinearRegression()
%time
lin_reg_2.fit_sgd(X_train_standard,y_train,n_iters=100)
lin_reg_2.score(X_test_standard,y_test)
5.4 scikit-learn中的sgd
- 随机梯度下降法只能在线性模型中使用
- from sklearn.linear_model import SGDRegressor
from sklearn.linear_model import SGDRegressor
sgd_reg = SGDRegressor()
%time sgd_reg.fit(X_train_standard,y_train)
sgd_reg.score(X_test_standard,y_test)
sgd_reg = SGDRegressor(n_iter=100)
%time sgd_reg.fit(X_train_standard,y_train)
sgd_reg.score(X_test_standard,y_test)
六、梯度下降法的调试
-
红点的切线斜率和两个蓝点的连线斜率大抵是相等的
-
间距越小，误差越小
-
可推广得
-
但是有一个问题，时间复杂度很高
6.1 代码实现
import numpy as np
import matplotlib.pyplot as plt
np.random.seed(666)
X = np.random.random(size=(1000,10))
true_theta = np.arange(1,12,dtype=float)
X_b = np.hstack([np.ones((len(X),1)),X])
y = X_b.dot(true_theta) + np.random.normal(size=1000)
X.shape
def j(theta,X_b,y):
# loss funciton
try:
return np.sum((y-X_b.dot(theta))**2) /len(X_b)
except:
return float('inf')
def dj_math(theta,X_b,y):
# 计算在theta点的梯度
return X_b.T.dot(X_b.dot(theta)-y)*2./len(y)
def dj_debug(theta,X_b,y,epsilon=0.01):
res = np.empty(len(theta))
for i in range(len(theta)):
theta1 = theta.copy()
theta1[i] += epsilon
theta2 = theta.copy()
theta2[i] -= epsilon
res[i] = (j(theta1,X_b,y) - j(theta2,X_b,y))/(2*epsilon)
return res
def gradient_descent(dj,X_b, y, initial_theta, eta, n_iters=1e4, epsilon=1e-8):
theta = initial_theta
cur_iter = 0
while cur_iter < n_iters:
gradient = dj(theta, X_b, y)
last_theta = theta
theta = theta - eta * gradient
if (abs(j(theta, X_b, y) - j(last_theta, X_b, y)) < epsilon):
break
cur_iter += 1
return theta
X_b = np.hstack([np.ones((len(X),1)),X])
initial_theta = np.zeros(X_b.shape[1])
eta = 0.01
%time gradient_descent(dj_debug,X_b,y,initial_theta,eta)
theta
%time theta = gradient_descent(dj_math,X_b,y,initial_theta,eta)
theta
- 为了求每一个Θ的值
七、总结
- 随机梯度下降法
- 跳出局部最优解
- 更快的运行速度
- 机器学习领域很多算法都会使用随机的特点：
- 随机搜索；随机森林
扫一扫
2867
被折叠的 条评论
为什么被折叠?
到【灌水乐园】发言
