wehub-resource-sync
45 lines
1012 B
Python
Executable File
45 lines
1012 B
Python
Executable File
import numpy as np
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from prml.linear.regression import Regression
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class RidgeRegression(Regression):
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"""
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Ridge regression model
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w* = argmin |t - X @ w| + alpha * |w|_2^2
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"""
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def __init__(self, alpha:float=1.):
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self.alpha = alpha
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def fit(self, X:np.ndarray, t:np.ndarray):
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"""
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maximum a posteriori estimation of parameter
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Parameters
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----------
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X : (N, D) np.ndarray
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training data independent variable
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t : (N,) np.ndarray
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training data dependent variable
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"""
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eye = np.eye(np.size(X, 1))
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self.w = np.linalg.solve(self.alpha * eye + X.T @ X, X.T @ t)
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def predict(self, X:np.ndarray):
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"""
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make prediction given input
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Parameters
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----------
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X : (N, D) np.ndarray
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samples to predict their output
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Returns
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-------
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(N,) np.ndarray
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prediction of each input
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"""
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return X @ self.w
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