linear_regression_train.py

# coding:UTF-8

import numpy as np
from math import pow

def load_data(file_path):
    '''导入数据
    input:  file_path(string):训练数据
    output: feature(mat):特征
            label(mat):标签
    '''
    f = open(file_path)
    feature = []
    label = []
    for line in f.readlines():
        feature_tmp = []
        lines = line.strip().split("\t")
        feature_tmp.append(1)  # x0
        for i in xrange(len(lines) - 1):
            feature_tmp.append(float(lines[i]))
        feature.append(feature_tmp)
        label.append(float(lines[-1]))
    f.close()
    return np.mat(feature), np.mat(label).T

def least_square(feature, label):
    '''最小二乘法
    input:  feature(mat):特征
            label(mat):标签
    output: w(mat):回归系数
    '''
    w = (feature.T * feature).I * feature.T * label
    return w

def first_derivativ(feature, label, w):
    '''计算一阶导函数的值
    input:  feature(mat):特征
            label(mat):标签
    output: g(mat):一阶导数值
    '''
    m, n = np.shape(feature)
    g = np.mat(np.zeros((n, 1)))
    for i in xrange(m):
        err = label[i, 0] - feature[i, ] * w
        for j in xrange(n):
            g[j, ] -= err * feature[i, j]
    return g     

def second_derivative(feature):
    '''计算二阶导函数的值
    input:  feature(mat):特征
    output: G(mat):二阶导数值
    '''
    m, n = np.shape(feature)
    G = np.mat(np.zeros((n, n)))
    for i in xrange(m):
        x_left = feature[i, ].T
        x_right = feature[i, ]
        G += x_left * x_right
    return G

def get_error(feature, label, w):
    '''计算误差
    input:  feature(mat):特征
            label(mat):标签
            w(mat):线性回归模型的参数
    output: 损失函数值
    '''
    return (label - feature * w).T * (label - feature * w) / 2

def get_min_m(feature, label, sigma, delta, d, w, g):
    '''计算步长中最小的值m
    input:  feature(mat):特征
            label(mat):标签
            sigma(float),delta(float):全局牛顿法的参数
            d(mat):负的一阶导数除以二阶导数值
            g(mat):一阶导数值
    output: m(int):最小m值
    '''
    m = 0
    while True:
        w_new = w + pow(sigma, m) * d
        left = get_error(feature, label , w_new)
        right = get_error(feature, label , w) + delta * pow(sigma, m) * g.T * d
        if left <= right:
            break
        else:
            m += 1
    return m           

def newton(feature, label, iterMax, sigma, delta):
    '''牛顿法
    input:  feature(mat):特征
            label(mat):标签
            iterMax(int):最大迭代次数
            sigma(float), delta(float):牛顿法中的参数
    output: w(mat):回归系数
    '''
    n = np.shape(feature)[1]
    w = np.mat(np.zeros((n, 1)))
    it = 0
    while it <= iterMax:
        # print it
        g = first_derivativ(feature, label, w)  # 一阶导数
        G = second_derivative(feature)  # 二阶导数
        d = -G.I * g
        m = get_min_m(feature, label, sigma, delta, d, w, g)  # 得到最小的m
        w = w + pow(sigma, m) * d
        if it % 10 == 0:
            print "\t---- itration: ", it, " , error: ", get_error(feature, label , w)[0, 0]
        it += 1       
    return w

def save_model(file_name, w):
    '''保存最终的模型
    input:  file_name(string):要保存的文件的名称
            w(mat):训练好的线性回归模型
    '''
    f_result = open(file_name, "w")
    m, n = np.shape(w)
    for i in xrange(m):
        w_tmp = []
        for j in xrange(n):
            w_tmp.append(str(w[i, j]))
        f_result.write("\t".join(w_tmp) + "\n")
    f_result.close()
    

if __name__ == "__main__":
    # 1、导入数据集
    print "----------- 1.load data ----------"
    feature, label = load_data("data.txt")
    # 2.1、最小二乘求解
    print "----------- 2.training ----------"
    # print "\t ---------- least_square ----------"
    # w_ls = least_square(feature, label)
    # 2.2、牛顿法
    print "\t ---------- newton ----------"
    w_newton = newton(feature, label, 50, 0.1, 0.5)
    # 3、保存最终的结果
    print "----------- 3.save result ----------"
    save_model("weights", w_newton)