# coding:utf-8 import autograd.numpy as np from autograd import elementwise_grad from mla.base import BaseEstimator from mla.metrics import mean_squared_error, binary_crossentropy np.random.seed(9999) """ References: Factorization Machines http://www.csie.ntu.edu.tw/~b97053/paper/Rendle2010FM.pdf """ class BaseFM(BaseEstimator): def __init__( self, n_components=10, max_iter=100, init_stdev=0.1, learning_rate=0.01, reg_v=0.1, reg_w=0.5, reg_w0=0.0, ): """Simplified factorization machines implementation using SGD optimizer.""" self.reg_w0 = reg_w0 self.reg_w = reg_w self.reg_v = reg_v self.n_components = n_components self.lr = learning_rate self.init_stdev = init_stdev self.max_iter = max_iter self.loss = None self.loss_grad = None def fit(self, X, y=None): self._setup_input(X, y) # bias self.wo = 0.0 # Feature weights self.w = np.zeros(self.n_features) # Factor weights self.v = np.random.normal( scale=self.init_stdev, size=(self.n_features, self.n_components) ) self._train() def _train(self): for epoch in range(self.max_iter): y_pred = self._predict(self.X) loss = self.loss_grad(self.y, y_pred) w_grad = np.dot(loss, self.X) / float(self.n_samples) self.wo -= self.lr * (loss.mean() + 2 * self.reg_w0 * self.wo) self.w -= self.lr * w_grad + (2 * self.reg_w * self.w) self._factor_step(loss) def _factor_step(self, loss): for ix, x in enumerate(self.X): for i in range(self.n_features): v_grad = loss[ix] * (x.dot(self.v).dot(x[i])[0] - self.v[i] * x[i] ** 2) self.v[i] -= self.lr * v_grad + (2 * self.reg_v * self.v[i]) def _predict(self, X=None): linear_output = np.dot(X, self.w) factors_output = ( np.sum(np.dot(X, self.v) ** 2 - np.dot(X**2, self.v**2), axis=1) / 2.0 ) return self.wo + linear_output + factors_output class FMRegressor(BaseFM): def fit(self, X, y=None): super(FMRegressor, self).fit(X, y) self.loss = mean_squared_error self.loss_grad = elementwise_grad(mean_squared_error) class FMClassifier(BaseFM): def fit(self, X, y=None): super(FMClassifier, self).fit(X, y) self.loss = binary_crossentropy self.loss_grad = elementwise_grad(binary_crossentropy) def predict(self, X=None): predictions = self._predict(X) return np.sign(predictions)