08 线性回归

对于单变量线性回归而言，在误差函数服从正态分布的情况下，从几 何意义出发的最小二乘法与从概率意义出发的最大似然估计是等价的 

 

几何意义推导:

 

$1 一元线性回归:

y = ax + b

 

 

图1  y 到直线截距最小

 

 

 

 

 

 

 

 

手工计算例子:

 

 

 

$2  多元线性回归:

 

 

 

 

 

 

 

 

 

 

机器学习实战的推导：

 

 

 

 

 

$3 代码实例(机器学习实战):  

 

from numpy import *

 

def loadDataSet(fileName):      #装载文件 转化 tab分割的浮点数

    numFeat = len(open(fileName).readline().split('\t')) - 1  #get number of fields

    dataMat = []; labelMat = []

    fr = open(fileName)

    for line in fr.readlines():

        lineArr =[]

        curLine = line.strip().split('\t')

        for i in range(numFeat):

            lineArr.append(float(curLine[i]))

        dataMat.append(lineArr)

        labelMat.append(float(curLine[-1]))

    return dataMat,labelMat

#标准线性回归方法

def standRegres(xArr,yArr):

    xMat = mat(xArr); yMat = mat(yArr).T

    xTx = xMat.T*xMat

    if linalg.det(xTx) == 0.0:

        print("This matrix is singular, cannot do inverse")

        return

    ws = xTx.I * (xMat.T*yMat)

    return ws

#加权线性回归方法

def lwlr(testPoint,xArr,yArr,k=1.0):

    xMat = mat(xArr); yMat = mat(yArr).T

    m = shape(xMat)[0]

    weights = mat(eye((m)))

    for j in range(m):                      #next 2 lines create weights matrix

        diffMat = testPoint - xMat[j,:]    #

        weights[j,j] = exp(diffMat*diffMat.T/(-2.0*k**2))

    xTx = xMat.T * (weights * xMat)

    if linalg.det(xTx) == 0.0:

        print("This matrix is singular, cannot do inverse")

        return

    ws = xTx.I * (xMat.T * (weights * yMat))

    return testPoint * ws

#加权回归测试

def lwlrTest(testArr,xArr,yArr,k=1.0):  #loops over all the data points and applies lwlr to each one

    m = shape(testArr)[0]

    yHat = zeros(m)

    for i in range(m):

        yHat[i] = lwlr(testArr[i],xArr,yArr,k)

    return yHat

def lwlrTestPlot(xArr,yArr,k=1.0):  #same thing as lwlrTest except it sorts X first

    yHat = zeros(shape(yArr))      #easier for plotting

    xCopy = mat(xArr)

    xCopy.sort(0)

    for i in range(shape(xArr)[0]):

        yHat[i] = lwlr(xCopy[i],xArr,yArr,k)

    return yHat,xCopy

def rssError(yArr,yHatArr): #yArr and yHatArr both need to be arrays

    return ((yArr-yHatArr)**2).sum()

 

    

$4 岭回归：

解决过拟合问题，常见的做法是正则化，即添加额外的惩罚项。

 

 

￥4.1 岭回归代码

#岭回归方法

def ridgeRegres(xMat,yMat,lam=0.2):

    xTx = xMat.T*xMat

    denom = xTx + eye(shape(xMat)[1])*lam

    if linalg.det(denom) == 0.0:

        print("This matrix is singular, cannot do inverse")

        return

    ws = denom.I * (xMat.T*yMat)

    return ws

#岭回归测试

def ridgeTest(xArr,yArr):

    xMat = mat(xArr); yMat=mat(yArr).T

    yMean = mean(yMat,0)

    yMat = yMat - yMean    #to eliminate X0 take mean off of Y

    #regularize X's

    xMeans = mean(xMat,0)  #calc mean then subtract it off

    xVar = var(xMat,0)      #calc variance of Xi then divide by it

    xMat = (xMat - xMeans)/xVar

    numTestPts = 30

    wMat = zeros((numTestPts,shape(xMat)[1]))

    for i in range(numTestPts):

        ws = ridgeRegres(xMat,yMat,exp(i-10))

        wMat[i,:]=ws.T

    return wMat

def regularize(xMat):#regularize by columns

    inMat = xMat.copy()

    inMeans = mean(inMat,0)  #calc mean then subtract it off

    inVar = var(inMat,0)      #calc variance of Xi then divide by it

    inMat = (inMat - inMeans)/inVar

    return inMat

def stageWise(xArr,yArr,eps=0.01,numIt=100):

    xMat = mat(xArr); yMat=mat(yArr).T

    yMean = mean(yMat,0)

    yMat = yMat - yMean    #can also regularize ys but will get smaller coef

    xMat = regularize(xMat)

    m,n=shape(xMat)

    returnMat = zeros((numIt,n)) #testing code remove

    ws = zeros((n,1)); wsTest = ws.copy(); wsMax = ws.copy()

    for i in range(numIt):

        print(ws.T)

        lowestError = inf;

        for j in range(n):

            for sign in [-1,1]:

                wsTest = ws.copy()

                wsTest[j] += eps*sign

                yTest = xMat*wsTest

                rssE = rssError(yMat.A,yTest.A)

                if rssE < lowestError:

                    lowestError = rssE

                    wsMax = wsTest

        ws = wsMax.copy()

        returnMat[i,:]=ws.T

    return returnMat