2668 lines
90 KiB
Python
2668 lines
90 KiB
Python
# Authors: Peter Prettenhofer <peter.prettenhofer@gmail.com> (main author)
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# Mathieu Blondel (partial_fit support)
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#
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# License: BSD 3 clause
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"""Classification, regression and One-Class SVM using Stochastic Gradient
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Descent (SGD).
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"""
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import warnings
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from abc import ABCMeta, abstractmethod
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from numbers import Integral, Real
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import numpy as np
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from ..base import (
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BaseEstimator,
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OutlierMixin,
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RegressorMixin,
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_fit_context,
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clone,
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is_classifier,
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)
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from ..exceptions import ConvergenceWarning
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from ..model_selection import ShuffleSplit, StratifiedShuffleSplit
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from ..utils import check_random_state, compute_class_weight, deprecated
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from ..utils._param_validation import Hidden, Interval, StrOptions
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from ..utils.extmath import safe_sparse_dot
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from ..utils.metaestimators import available_if
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from ..utils.multiclass import _check_partial_fit_first_call
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from ..utils.parallel import Parallel, delayed
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from ..utils.validation import _check_sample_weight, check_is_fitted
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from ._base import LinearClassifierMixin, SparseCoefMixin, make_dataset
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from ._sgd_fast import (
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EpsilonInsensitive,
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Hinge,
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Huber,
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Log,
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ModifiedHuber,
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SquaredEpsilonInsensitive,
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SquaredHinge,
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SquaredLoss,
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_plain_sgd32,
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_plain_sgd64,
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)
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LEARNING_RATE_TYPES = {
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"constant": 1,
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"optimal": 2,
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"invscaling": 3,
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"adaptive": 4,
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"pa1": 5,
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"pa2": 6,
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}
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PENALTY_TYPES = {"none": 0, "l2": 2, "l1": 1, "elasticnet": 3}
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DEFAULT_EPSILON = 0.1
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# Default value of ``epsilon`` parameter.
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MAX_INT = np.iinfo(np.int32).max
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class _ValidationScoreCallback:
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"""Callback for early stopping based on validation score"""
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def __init__(self, estimator, X_val, y_val, sample_weight_val, classes=None):
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self.estimator = clone(estimator)
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self.estimator.t_ = 1 # to pass check_is_fitted
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if classes is not None:
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self.estimator.classes_ = classes
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self.X_val = X_val
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self.y_val = y_val
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self.sample_weight_val = sample_weight_val
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def __call__(self, coef, intercept):
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est = self.estimator
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est.coef_ = coef.reshape(1, -1)
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est.intercept_ = np.atleast_1d(intercept)
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return est.score(self.X_val, self.y_val, self.sample_weight_val)
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class BaseSGD(SparseCoefMixin, BaseEstimator, metaclass=ABCMeta):
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"""Base class for SGD classification and regression."""
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_parameter_constraints: dict = {
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"fit_intercept": ["boolean"],
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"max_iter": [Interval(Integral, 1, None, closed="left")],
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"tol": [Interval(Real, 0, None, closed="left"), None],
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"shuffle": ["boolean"],
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"verbose": ["verbose"],
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"random_state": ["random_state"],
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"warm_start": ["boolean"],
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"average": [Interval(Integral, 0, None, closed="left"), "boolean"],
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}
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def __init__(
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self,
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loss,
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*,
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penalty="l2",
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alpha=0.0001,
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C=1.0,
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l1_ratio=0.15,
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fit_intercept=True,
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max_iter=1000,
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tol=1e-3,
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shuffle=True,
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verbose=0,
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epsilon=0.1,
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random_state=None,
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learning_rate="optimal",
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eta0=0.0,
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power_t=0.5,
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early_stopping=False,
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validation_fraction=0.1,
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n_iter_no_change=5,
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warm_start=False,
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average=False,
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):
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self.loss = loss
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self.penalty = penalty
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self.learning_rate = learning_rate
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self.epsilon = epsilon
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self.alpha = alpha
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self.C = C
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self.l1_ratio = l1_ratio
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self.fit_intercept = fit_intercept
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self.shuffle = shuffle
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self.random_state = random_state
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self.verbose = verbose
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self.eta0 = eta0
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self.power_t = power_t
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self.early_stopping = early_stopping
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self.validation_fraction = validation_fraction
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self.n_iter_no_change = n_iter_no_change
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self.warm_start = warm_start
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self.average = average
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self.max_iter = max_iter
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self.tol = tol
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@abstractmethod
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def fit(self, X, y):
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"""Fit model."""
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def _more_validate_params(self, for_partial_fit=False):
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"""Validate input params."""
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if self.early_stopping and for_partial_fit:
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raise ValueError("early_stopping should be False with partial_fit")
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if (
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self.learning_rate in ("constant", "invscaling", "adaptive")
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and self.eta0 <= 0.0
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):
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raise ValueError("eta0 must be > 0")
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if self.learning_rate == "optimal" and self.alpha == 0:
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raise ValueError(
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"alpha must be > 0 since "
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"learning_rate is 'optimal'. alpha is used "
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"to compute the optimal learning rate."
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)
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# raises ValueError if not registered
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self._get_penalty_type(self.penalty)
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self._get_learning_rate_type(self.learning_rate)
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def _get_loss_function(self, loss):
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"""Get concrete ``LossFunction`` object for str ``loss``."""
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loss_ = self.loss_functions[loss]
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loss_class, args = loss_[0], loss_[1:]
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if loss in ("huber", "epsilon_insensitive", "squared_epsilon_insensitive"):
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args = (self.epsilon,)
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return loss_class(*args)
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def _get_learning_rate_type(self, learning_rate):
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return LEARNING_RATE_TYPES[learning_rate]
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def _get_penalty_type(self, penalty):
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penalty = str(penalty).lower()
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return PENALTY_TYPES[penalty]
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def _allocate_parameter_mem(
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self,
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n_classes,
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n_features,
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input_dtype,
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coef_init=None,
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intercept_init=None,
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one_class=0,
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):
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"""Allocate mem for parameters; initialize if provided."""
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if n_classes > 2:
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# allocate coef_ for multi-class
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if coef_init is not None:
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coef_init = np.asarray(coef_init, dtype=input_dtype, order="C")
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if coef_init.shape != (n_classes, n_features):
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raise ValueError("Provided ``coef_`` does not match dataset. ")
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self.coef_ = coef_init
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else:
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self.coef_ = np.zeros(
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(n_classes, n_features), dtype=input_dtype, order="C"
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)
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# allocate intercept_ for multi-class
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if intercept_init is not None:
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intercept_init = np.asarray(
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intercept_init, order="C", dtype=input_dtype
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)
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if intercept_init.shape != (n_classes,):
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raise ValueError("Provided intercept_init does not match dataset.")
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self.intercept_ = intercept_init
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else:
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self.intercept_ = np.zeros(n_classes, dtype=input_dtype, order="C")
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else:
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# allocate coef_
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if coef_init is not None:
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coef_init = np.asarray(coef_init, dtype=input_dtype, order="C")
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coef_init = coef_init.ravel()
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if coef_init.shape != (n_features,):
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raise ValueError("Provided coef_init does not match dataset.")
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self.coef_ = coef_init
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else:
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self.coef_ = np.zeros(n_features, dtype=input_dtype, order="C")
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# allocate intercept_
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if intercept_init is not None:
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intercept_init = np.asarray(intercept_init, dtype=input_dtype)
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if intercept_init.shape != (1,) and intercept_init.shape != ():
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raise ValueError("Provided intercept_init does not match dataset.")
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if one_class:
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self.offset_ = intercept_init.reshape(
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1,
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)
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else:
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self.intercept_ = intercept_init.reshape(
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1,
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)
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else:
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if one_class:
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self.offset_ = np.zeros(1, dtype=input_dtype, order="C")
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else:
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self.intercept_ = np.zeros(1, dtype=input_dtype, order="C")
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# initialize average parameters
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if self.average > 0:
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self._standard_coef = self.coef_
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self._average_coef = np.zeros(
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self.coef_.shape, dtype=input_dtype, order="C"
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)
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if one_class:
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self._standard_intercept = 1 - self.offset_
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else:
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self._standard_intercept = self.intercept_
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self._average_intercept = np.zeros(
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self._standard_intercept.shape, dtype=input_dtype, order="C"
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)
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def _make_validation_split(self, y, sample_mask):
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"""Split the dataset between training set and validation set.
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Parameters
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----------
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y : ndarray of shape (n_samples, )
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Target values.
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sample_mask : ndarray of shape (n_samples, )
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A boolean array indicating whether each sample should be included
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for validation set.
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Returns
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-------
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validation_mask : ndarray of shape (n_samples, )
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Equal to True on the validation set, False on the training set.
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"""
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n_samples = y.shape[0]
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validation_mask = np.zeros(n_samples, dtype=np.bool_)
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if not self.early_stopping:
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# use the full set for training, with an empty validation set
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return validation_mask
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if is_classifier(self):
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splitter_type = StratifiedShuffleSplit
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else:
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splitter_type = ShuffleSplit
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cv = splitter_type(
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test_size=self.validation_fraction, random_state=self.random_state
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)
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idx_train, idx_val = next(cv.split(np.zeros(shape=(y.shape[0], 1)), y))
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if not np.any(sample_mask[idx_val]):
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raise ValueError(
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"The sample weights for validation set are all zero, consider using a"
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" different random state."
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)
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if idx_train.shape[0] == 0 or idx_val.shape[0] == 0:
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raise ValueError(
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"Splitting %d samples into a train set and a validation set "
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"with validation_fraction=%r led to an empty set (%d and %d "
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"samples). Please either change validation_fraction, increase "
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"number of samples, or disable early_stopping."
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% (
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n_samples,
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self.validation_fraction,
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idx_train.shape[0],
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idx_val.shape[0],
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)
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)
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validation_mask[idx_val] = True
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return validation_mask
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def _make_validation_score_cb(
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self, validation_mask, X, y, sample_weight, classes=None
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):
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if not self.early_stopping:
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return None
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return _ValidationScoreCallback(
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self,
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X[validation_mask],
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y[validation_mask],
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sample_weight[validation_mask],
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classes=classes,
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)
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# TODO(1.6): Remove
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# mypy error: Decorated property not supported
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@deprecated( # type: ignore
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"Attribute `loss_function_` was deprecated in version 1.4 and will be removed "
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"in 1.6."
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)
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@property
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def loss_function_(self):
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return self._loss_function_
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def _prepare_fit_binary(est, y, i, input_dtye):
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"""Initialization for fit_binary.
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Returns y, coef, intercept, average_coef, average_intercept.
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"""
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y_i = np.ones(y.shape, dtype=input_dtye, order="C")
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y_i[y != est.classes_[i]] = -1.0
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average_intercept = 0
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average_coef = None
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if len(est.classes_) == 2:
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if not est.average:
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coef = est.coef_.ravel()
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intercept = est.intercept_[0]
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else:
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coef = est._standard_coef.ravel()
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intercept = est._standard_intercept[0]
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average_coef = est._average_coef.ravel()
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average_intercept = est._average_intercept[0]
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else:
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if not est.average:
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coef = est.coef_[i]
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intercept = est.intercept_[i]
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else:
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coef = est._standard_coef[i]
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intercept = est._standard_intercept[i]
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average_coef = est._average_coef[i]
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average_intercept = est._average_intercept[i]
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return y_i, coef, intercept, average_coef, average_intercept
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def fit_binary(
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est,
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i,
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X,
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y,
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alpha,
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C,
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learning_rate,
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max_iter,
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pos_weight,
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neg_weight,
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sample_weight,
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validation_mask=None,
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random_state=None,
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):
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"""Fit a single binary classifier.
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The i'th class is considered the "positive" class.
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Parameters
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----------
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est : Estimator object
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The estimator to fit
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i : int
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Index of the positive class
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X : numpy array or sparse matrix of shape [n_samples,n_features]
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Training data
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y : numpy array of shape [n_samples, ]
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Target values
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alpha : float
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The regularization parameter
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C : float
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Maximum step size for passive aggressive
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learning_rate : str
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The learning rate. Accepted values are 'constant', 'optimal',
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'invscaling', 'pa1' and 'pa2'.
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max_iter : int
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The maximum number of iterations (epochs)
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pos_weight : float
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The weight of the positive class
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neg_weight : float
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The weight of the negative class
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sample_weight : numpy array of shape [n_samples, ]
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The weight of each sample
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validation_mask : numpy array of shape [n_samples, ], default=None
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Precomputed validation mask in case _fit_binary is called in the
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context of a one-vs-rest reduction.
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random_state : int, RandomState instance, default=None
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If int, random_state is the seed used by the random number generator;
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If RandomState instance, random_state is the random number generator;
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If None, the random number generator is the RandomState instance used
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by `np.random`.
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"""
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# if average is not true, average_coef, and average_intercept will be
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# unused
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y_i, coef, intercept, average_coef, average_intercept = _prepare_fit_binary(
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est, y, i, input_dtye=X.dtype
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)
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assert y_i.shape[0] == y.shape[0] == sample_weight.shape[0]
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random_state = check_random_state(random_state)
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dataset, intercept_decay = make_dataset(
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X, y_i, sample_weight, random_state=random_state
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)
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penalty_type = est._get_penalty_type(est.penalty)
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learning_rate_type = est._get_learning_rate_type(learning_rate)
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if validation_mask is None:
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validation_mask = est._make_validation_split(y_i, sample_mask=sample_weight > 0)
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classes = np.array([-1, 1], dtype=y_i.dtype)
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validation_score_cb = est._make_validation_score_cb(
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validation_mask, X, y_i, sample_weight, classes=classes
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)
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# numpy mtrand expects a C long which is a signed 32 bit integer under
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# Windows
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seed = random_state.randint(MAX_INT)
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tol = est.tol if est.tol is not None else -np.inf
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_plain_sgd = _get_plain_sgd_function(input_dtype=coef.dtype)
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coef, intercept, average_coef, average_intercept, n_iter_ = _plain_sgd(
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coef,
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intercept,
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average_coef,
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average_intercept,
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est._loss_function_,
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penalty_type,
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alpha,
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C,
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est.l1_ratio,
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dataset,
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validation_mask,
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est.early_stopping,
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validation_score_cb,
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int(est.n_iter_no_change),
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max_iter,
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tol,
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int(est.fit_intercept),
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int(est.verbose),
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int(est.shuffle),
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seed,
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pos_weight,
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neg_weight,
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learning_rate_type,
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est.eta0,
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est.power_t,
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0,
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est.t_,
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intercept_decay,
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est.average,
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)
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if est.average:
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if len(est.classes_) == 2:
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est._average_intercept[0] = average_intercept
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else:
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est._average_intercept[i] = average_intercept
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return coef, intercept, n_iter_
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|
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def _get_plain_sgd_function(input_dtype):
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return _plain_sgd32 if input_dtype == np.float32 else _plain_sgd64
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|
|
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class BaseSGDClassifier(LinearClassifierMixin, BaseSGD, metaclass=ABCMeta):
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loss_functions = {
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"hinge": (Hinge, 1.0),
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"squared_hinge": (SquaredHinge, 1.0),
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"perceptron": (Hinge, 0.0),
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"log_loss": (Log,),
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"modified_huber": (ModifiedHuber,),
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"squared_error": (SquaredLoss,),
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"huber": (Huber, DEFAULT_EPSILON),
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"epsilon_insensitive": (EpsilonInsensitive, DEFAULT_EPSILON),
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"squared_epsilon_insensitive": (SquaredEpsilonInsensitive, DEFAULT_EPSILON),
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}
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_parameter_constraints: dict = {
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**BaseSGD._parameter_constraints,
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"loss": [StrOptions(set(loss_functions))],
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"early_stopping": ["boolean"],
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"validation_fraction": [Interval(Real, 0, 1, closed="neither")],
|
|
"n_iter_no_change": [Interval(Integral, 1, None, closed="left")],
|
|
"n_jobs": [Integral, None],
|
|
"class_weight": [StrOptions({"balanced"}), dict, None],
|
|
}
|
|
|
|
@abstractmethod
|
|
def __init__(
|
|
self,
|
|
loss="hinge",
|
|
*,
|
|
penalty="l2",
|
|
alpha=0.0001,
|
|
l1_ratio=0.15,
|
|
fit_intercept=True,
|
|
max_iter=1000,
|
|
tol=1e-3,
|
|
shuffle=True,
|
|
verbose=0,
|
|
epsilon=DEFAULT_EPSILON,
|
|
n_jobs=None,
|
|
random_state=None,
|
|
learning_rate="optimal",
|
|
eta0=0.0,
|
|
power_t=0.5,
|
|
early_stopping=False,
|
|
validation_fraction=0.1,
|
|
n_iter_no_change=5,
|
|
class_weight=None,
|
|
warm_start=False,
|
|
average=False,
|
|
):
|
|
super().__init__(
|
|
loss=loss,
|
|
penalty=penalty,
|
|
alpha=alpha,
|
|
l1_ratio=l1_ratio,
|
|
fit_intercept=fit_intercept,
|
|
max_iter=max_iter,
|
|
tol=tol,
|
|
shuffle=shuffle,
|
|
verbose=verbose,
|
|
epsilon=epsilon,
|
|
random_state=random_state,
|
|
learning_rate=learning_rate,
|
|
eta0=eta0,
|
|
power_t=power_t,
|
|
early_stopping=early_stopping,
|
|
validation_fraction=validation_fraction,
|
|
n_iter_no_change=n_iter_no_change,
|
|
warm_start=warm_start,
|
|
average=average,
|
|
)
|
|
self.class_weight = class_weight
|
|
self.n_jobs = n_jobs
|
|
|
|
def _partial_fit(
|
|
self,
|
|
X,
|
|
y,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
max_iter,
|
|
classes,
|
|
sample_weight,
|
|
coef_init,
|
|
intercept_init,
|
|
):
|
|
first_call = not hasattr(self, "classes_")
|
|
X, y = self._validate_data(
|
|
X,
|
|
y,
|
|
accept_sparse="csr",
|
|
dtype=[np.float64, np.float32],
|
|
order="C",
|
|
accept_large_sparse=False,
|
|
reset=first_call,
|
|
)
|
|
|
|
if first_call:
|
|
# TODO(1.7) remove 0 from average parameter constraint
|
|
if not isinstance(self.average, (bool, np.bool_)) and self.average == 0:
|
|
warnings.warn(
|
|
(
|
|
"Passing average=0 to disable averaging is deprecated and will"
|
|
" be removed in 1.7. Please use average=False instead."
|
|
),
|
|
FutureWarning,
|
|
)
|
|
|
|
n_samples, n_features = X.shape
|
|
|
|
_check_partial_fit_first_call(self, classes)
|
|
|
|
n_classes = self.classes_.shape[0]
|
|
|
|
# Allocate datastructures from input arguments
|
|
self._expanded_class_weight = compute_class_weight(
|
|
self.class_weight, classes=self.classes_, y=y
|
|
)
|
|
sample_weight = _check_sample_weight(sample_weight, X, dtype=X.dtype)
|
|
|
|
if getattr(self, "coef_", None) is None or coef_init is not None:
|
|
self._allocate_parameter_mem(
|
|
n_classes=n_classes,
|
|
n_features=n_features,
|
|
input_dtype=X.dtype,
|
|
coef_init=coef_init,
|
|
intercept_init=intercept_init,
|
|
)
|
|
elif n_features != self.coef_.shape[-1]:
|
|
raise ValueError(
|
|
"Number of features %d does not match previous data %d."
|
|
% (n_features, self.coef_.shape[-1])
|
|
)
|
|
|
|
self._loss_function_ = self._get_loss_function(loss)
|
|
if not hasattr(self, "t_"):
|
|
self.t_ = 1.0
|
|
|
|
# delegate to concrete training procedure
|
|
if n_classes > 2:
|
|
self._fit_multiclass(
|
|
X,
|
|
y,
|
|
alpha=alpha,
|
|
C=C,
|
|
learning_rate=learning_rate,
|
|
sample_weight=sample_weight,
|
|
max_iter=max_iter,
|
|
)
|
|
elif n_classes == 2:
|
|
self._fit_binary(
|
|
X,
|
|
y,
|
|
alpha=alpha,
|
|
C=C,
|
|
learning_rate=learning_rate,
|
|
sample_weight=sample_weight,
|
|
max_iter=max_iter,
|
|
)
|
|
else:
|
|
raise ValueError(
|
|
"The number of classes has to be greater than one; got %d class"
|
|
% n_classes
|
|
)
|
|
|
|
return self
|
|
|
|
def _fit(
|
|
self,
|
|
X,
|
|
y,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
coef_init=None,
|
|
intercept_init=None,
|
|
sample_weight=None,
|
|
):
|
|
if hasattr(self, "classes_"):
|
|
# delete the attribute otherwise _partial_fit thinks it's not the first call
|
|
delattr(self, "classes_")
|
|
|
|
# TODO(1.7) remove 0 from average parameter constraint
|
|
if not isinstance(self.average, (bool, np.bool_)) and self.average == 0:
|
|
warnings.warn(
|
|
(
|
|
"Passing average=0 to disable averaging is deprecated and will be "
|
|
"removed in 1.7. Please use average=False instead."
|
|
),
|
|
FutureWarning,
|
|
)
|
|
|
|
# labels can be encoded as float, int, or string literals
|
|
# np.unique sorts in asc order; largest class id is positive class
|
|
y = self._validate_data(y=y)
|
|
classes = np.unique(y)
|
|
|
|
if self.warm_start and hasattr(self, "coef_"):
|
|
if coef_init is None:
|
|
coef_init = self.coef_
|
|
if intercept_init is None:
|
|
intercept_init = self.intercept_
|
|
else:
|
|
self.coef_ = None
|
|
self.intercept_ = None
|
|
|
|
if self.average > 0:
|
|
self._standard_coef = self.coef_
|
|
self._standard_intercept = self.intercept_
|
|
self._average_coef = None
|
|
self._average_intercept = None
|
|
|
|
# Clear iteration count for multiple call to fit.
|
|
self.t_ = 1.0
|
|
|
|
self._partial_fit(
|
|
X,
|
|
y,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
self.max_iter,
|
|
classes,
|
|
sample_weight,
|
|
coef_init,
|
|
intercept_init,
|
|
)
|
|
|
|
if (
|
|
self.tol is not None
|
|
and self.tol > -np.inf
|
|
and self.n_iter_ == self.max_iter
|
|
):
|
|
warnings.warn(
|
|
(
|
|
"Maximum number of iteration reached before "
|
|
"convergence. Consider increasing max_iter to "
|
|
"improve the fit."
|
|
),
|
|
ConvergenceWarning,
|
|
)
|
|
return self
|
|
|
|
def _fit_binary(self, X, y, alpha, C, sample_weight, learning_rate, max_iter):
|
|
"""Fit a binary classifier on X and y."""
|
|
coef, intercept, n_iter_ = fit_binary(
|
|
self,
|
|
1,
|
|
X,
|
|
y,
|
|
alpha,
|
|
C,
|
|
learning_rate,
|
|
max_iter,
|
|
self._expanded_class_weight[1],
|
|
self._expanded_class_weight[0],
|
|
sample_weight,
|
|
random_state=self.random_state,
|
|
)
|
|
|
|
self.t_ += n_iter_ * X.shape[0]
|
|
self.n_iter_ = n_iter_
|
|
|
|
# need to be 2d
|
|
if self.average > 0:
|
|
if self.average <= self.t_ - 1:
|
|
self.coef_ = self._average_coef.reshape(1, -1)
|
|
self.intercept_ = self._average_intercept
|
|
else:
|
|
self.coef_ = self._standard_coef.reshape(1, -1)
|
|
self._standard_intercept = np.atleast_1d(intercept)
|
|
self.intercept_ = self._standard_intercept
|
|
else:
|
|
self.coef_ = coef.reshape(1, -1)
|
|
# intercept is a float, need to convert it to an array of length 1
|
|
self.intercept_ = np.atleast_1d(intercept)
|
|
|
|
def _fit_multiclass(self, X, y, alpha, C, learning_rate, sample_weight, max_iter):
|
|
"""Fit a multi-class classifier by combining binary classifiers
|
|
|
|
Each binary classifier predicts one class versus all others. This
|
|
strategy is called OvA (One versus All) or OvR (One versus Rest).
|
|
"""
|
|
# Precompute the validation split using the multiclass labels
|
|
# to ensure proper balancing of the classes.
|
|
validation_mask = self._make_validation_split(y, sample_mask=sample_weight > 0)
|
|
|
|
# Use joblib to fit OvA in parallel.
|
|
# Pick the random seed for each job outside of fit_binary to avoid
|
|
# sharing the estimator random state between threads which could lead
|
|
# to non-deterministic behavior
|
|
random_state = check_random_state(self.random_state)
|
|
seeds = random_state.randint(MAX_INT, size=len(self.classes_))
|
|
result = Parallel(
|
|
n_jobs=self.n_jobs, verbose=self.verbose, require="sharedmem"
|
|
)(
|
|
delayed(fit_binary)(
|
|
self,
|
|
i,
|
|
X,
|
|
y,
|
|
alpha,
|
|
C,
|
|
learning_rate,
|
|
max_iter,
|
|
self._expanded_class_weight[i],
|
|
1.0,
|
|
sample_weight,
|
|
validation_mask=validation_mask,
|
|
random_state=seed,
|
|
)
|
|
for i, seed in enumerate(seeds)
|
|
)
|
|
|
|
# take the maximum of n_iter_ over every binary fit
|
|
n_iter_ = 0.0
|
|
for i, (_, intercept, n_iter_i) in enumerate(result):
|
|
self.intercept_[i] = intercept
|
|
n_iter_ = max(n_iter_, n_iter_i)
|
|
|
|
self.t_ += n_iter_ * X.shape[0]
|
|
self.n_iter_ = n_iter_
|
|
|
|
if self.average > 0:
|
|
if self.average <= self.t_ - 1.0:
|
|
self.coef_ = self._average_coef
|
|
self.intercept_ = self._average_intercept
|
|
else:
|
|
self.coef_ = self._standard_coef
|
|
self._standard_intercept = np.atleast_1d(self.intercept_)
|
|
self.intercept_ = self._standard_intercept
|
|
|
|
@_fit_context(prefer_skip_nested_validation=True)
|
|
def partial_fit(self, X, y, classes=None, sample_weight=None):
|
|
"""Perform one epoch of stochastic gradient descent on given samples.
|
|
|
|
Internally, this method uses ``max_iter = 1``. Therefore, it is not
|
|
guaranteed that a minimum of the cost function is reached after calling
|
|
it once. Matters such as objective convergence, early stopping, and
|
|
learning rate adjustments should be handled by the user.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Subset of the training data.
|
|
|
|
y : ndarray of shape (n_samples,)
|
|
Subset of the target values.
|
|
|
|
classes : ndarray of shape (n_classes,), default=None
|
|
Classes across all calls to partial_fit.
|
|
Can be obtained by via `np.unique(y_all)`, where y_all is the
|
|
target vector of the entire dataset.
|
|
This argument is required for the first call to partial_fit
|
|
and can be omitted in the subsequent calls.
|
|
Note that y doesn't need to contain all labels in `classes`.
|
|
|
|
sample_weight : array-like, shape (n_samples,), default=None
|
|
Weights applied to individual samples.
|
|
If not provided, uniform weights are assumed.
|
|
|
|
Returns
|
|
-------
|
|
self : object
|
|
Returns an instance of self.
|
|
"""
|
|
if not hasattr(self, "classes_"):
|
|
self._more_validate_params(for_partial_fit=True)
|
|
|
|
if self.class_weight == "balanced":
|
|
raise ValueError(
|
|
"class_weight '{0}' is not supported for "
|
|
"partial_fit. In order to use 'balanced' weights,"
|
|
" use compute_class_weight('{0}', "
|
|
"classes=classes, y=y). "
|
|
"In place of y you can use a large enough sample "
|
|
"of the full training set target to properly "
|
|
"estimate the class frequency distributions. "
|
|
"Pass the resulting weights as the class_weight "
|
|
"parameter.".format(self.class_weight)
|
|
)
|
|
|
|
return self._partial_fit(
|
|
X,
|
|
y,
|
|
alpha=self.alpha,
|
|
C=1.0,
|
|
loss=self.loss,
|
|
learning_rate=self.learning_rate,
|
|
max_iter=1,
|
|
classes=classes,
|
|
sample_weight=sample_weight,
|
|
coef_init=None,
|
|
intercept_init=None,
|
|
)
|
|
|
|
@_fit_context(prefer_skip_nested_validation=True)
|
|
def fit(self, X, y, coef_init=None, intercept_init=None, sample_weight=None):
|
|
"""Fit linear model with Stochastic Gradient Descent.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Training data.
|
|
|
|
y : ndarray of shape (n_samples,)
|
|
Target values.
|
|
|
|
coef_init : ndarray of shape (n_classes, n_features), default=None
|
|
The initial coefficients to warm-start the optimization.
|
|
|
|
intercept_init : ndarray of shape (n_classes,), default=None
|
|
The initial intercept to warm-start the optimization.
|
|
|
|
sample_weight : array-like, shape (n_samples,), default=None
|
|
Weights applied to individual samples.
|
|
If not provided, uniform weights are assumed. These weights will
|
|
be multiplied with class_weight (passed through the
|
|
constructor) if class_weight is specified.
|
|
|
|
Returns
|
|
-------
|
|
self : object
|
|
Returns an instance of self.
|
|
"""
|
|
self._more_validate_params()
|
|
|
|
return self._fit(
|
|
X,
|
|
y,
|
|
alpha=self.alpha,
|
|
C=1.0,
|
|
loss=self.loss,
|
|
learning_rate=self.learning_rate,
|
|
coef_init=coef_init,
|
|
intercept_init=intercept_init,
|
|
sample_weight=sample_weight,
|
|
)
|
|
|
|
|
|
class SGDClassifier(BaseSGDClassifier):
|
|
"""Linear classifiers (SVM, logistic regression, etc.) with SGD training.
|
|
|
|
This estimator implements regularized linear models with stochastic
|
|
gradient descent (SGD) learning: the gradient of the loss is estimated
|
|
each sample at a time and the model is updated along the way with a
|
|
decreasing strength schedule (aka learning rate). SGD allows minibatch
|
|
(online/out-of-core) learning via the `partial_fit` method.
|
|
For best results using the default learning rate schedule, the data should
|
|
have zero mean and unit variance.
|
|
|
|
This implementation works with data represented as dense or sparse arrays
|
|
of floating point values for the features. The model it fits can be
|
|
controlled with the loss parameter; by default, it fits a linear support
|
|
vector machine (SVM).
|
|
|
|
The regularizer is a penalty added to the loss function that shrinks model
|
|
parameters towards the zero vector using either the squared euclidean norm
|
|
L2 or the absolute norm L1 or a combination of both (Elastic Net). If the
|
|
parameter update crosses the 0.0 value because of the regularizer, the
|
|
update is truncated to 0.0 to allow for learning sparse models and achieve
|
|
online feature selection.
|
|
|
|
Read more in the :ref:`User Guide <sgd>`.
|
|
|
|
Parameters
|
|
----------
|
|
loss : {'hinge', 'log_loss', 'modified_huber', 'squared_hinge',\
|
|
'perceptron', 'squared_error', 'huber', 'epsilon_insensitive',\
|
|
'squared_epsilon_insensitive'}, default='hinge'
|
|
The loss function to be used.
|
|
|
|
- 'hinge' gives a linear SVM.
|
|
- 'log_loss' gives logistic regression, a probabilistic classifier.
|
|
- 'modified_huber' is another smooth loss that brings tolerance to
|
|
outliers as well as probability estimates.
|
|
- 'squared_hinge' is like hinge but is quadratically penalized.
|
|
- 'perceptron' is the linear loss used by the perceptron algorithm.
|
|
- The other losses, 'squared_error', 'huber', 'epsilon_insensitive' and
|
|
'squared_epsilon_insensitive' are designed for regression but can be useful
|
|
in classification as well; see
|
|
:class:`~sklearn.linear_model.SGDRegressor` for a description.
|
|
|
|
More details about the losses formulas can be found in the
|
|
:ref:`User Guide <sgd_mathematical_formulation>`.
|
|
|
|
penalty : {'l2', 'l1', 'elasticnet', None}, default='l2'
|
|
The penalty (aka regularization term) to be used. Defaults to 'l2'
|
|
which is the standard regularizer for linear SVM models. 'l1' and
|
|
'elasticnet' might bring sparsity to the model (feature selection)
|
|
not achievable with 'l2'. No penalty is added when set to `None`.
|
|
|
|
alpha : float, default=0.0001
|
|
Constant that multiplies the regularization term. The higher the
|
|
value, the stronger the regularization. Also used to compute the
|
|
learning rate when `learning_rate` is set to 'optimal'.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
l1_ratio : float, default=0.15
|
|
The Elastic Net mixing parameter, with 0 <= l1_ratio <= 1.
|
|
l1_ratio=0 corresponds to L2 penalty, l1_ratio=1 to L1.
|
|
Only used if `penalty` is 'elasticnet'.
|
|
Values must be in the range `[0.0, 1.0]`.
|
|
|
|
fit_intercept : bool, default=True
|
|
Whether the intercept should be estimated or not. If False, the
|
|
data is assumed to be already centered.
|
|
|
|
max_iter : int, default=1000
|
|
The maximum number of passes over the training data (aka epochs).
|
|
It only impacts the behavior in the ``fit`` method, and not the
|
|
:meth:`partial_fit` method.
|
|
Values must be in the range `[1, inf)`.
|
|
|
|
.. versionadded:: 0.19
|
|
|
|
tol : float or None, default=1e-3
|
|
The stopping criterion. If it is not None, training will stop
|
|
when (loss > best_loss - tol) for ``n_iter_no_change`` consecutive
|
|
epochs.
|
|
Convergence is checked against the training loss or the
|
|
validation loss depending on the `early_stopping` parameter.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
.. versionadded:: 0.19
|
|
|
|
shuffle : bool, default=True
|
|
Whether or not the training data should be shuffled after each epoch.
|
|
|
|
verbose : int, default=0
|
|
The verbosity level.
|
|
Values must be in the range `[0, inf)`.
|
|
|
|
epsilon : float, default=0.1
|
|
Epsilon in the epsilon-insensitive loss functions; only if `loss` is
|
|
'huber', 'epsilon_insensitive', or 'squared_epsilon_insensitive'.
|
|
For 'huber', determines the threshold at which it becomes less
|
|
important to get the prediction exactly right.
|
|
For epsilon-insensitive, any differences between the current prediction
|
|
and the correct label are ignored if they are less than this threshold.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
n_jobs : int, default=None
|
|
The number of CPUs to use to do the OVA (One Versus All, for
|
|
multi-class problems) computation.
|
|
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
|
|
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
|
|
for more details.
|
|
|
|
random_state : int, RandomState instance, default=None
|
|
Used for shuffling the data, when ``shuffle`` is set to ``True``.
|
|
Pass an int for reproducible output across multiple function calls.
|
|
See :term:`Glossary <random_state>`.
|
|
Integer values must be in the range `[0, 2**32 - 1]`.
|
|
|
|
learning_rate : str, default='optimal'
|
|
The learning rate schedule:
|
|
|
|
- 'constant': `eta = eta0`
|
|
- 'optimal': `eta = 1.0 / (alpha * (t + t0))`
|
|
where `t0` is chosen by a heuristic proposed by Leon Bottou.
|
|
- 'invscaling': `eta = eta0 / pow(t, power_t)`
|
|
- 'adaptive': `eta = eta0`, as long as the training keeps decreasing.
|
|
Each time n_iter_no_change consecutive epochs fail to decrease the
|
|
training loss by tol or fail to increase validation score by tol if
|
|
`early_stopping` is `True`, the current learning rate is divided by 5.
|
|
|
|
.. versionadded:: 0.20
|
|
Added 'adaptive' option
|
|
|
|
eta0 : float, default=0.0
|
|
The initial learning rate for the 'constant', 'invscaling' or
|
|
'adaptive' schedules. The default value is 0.0 as eta0 is not used by
|
|
the default schedule 'optimal'.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
power_t : float, default=0.5
|
|
The exponent for inverse scaling learning rate.
|
|
Values must be in the range `(-inf, inf)`.
|
|
|
|
early_stopping : bool, default=False
|
|
Whether to use early stopping to terminate training when validation
|
|
score is not improving. If set to `True`, it will automatically set aside
|
|
a stratified fraction of training data as validation and terminate
|
|
training when validation score returned by the `score` method is not
|
|
improving by at least tol for n_iter_no_change consecutive epochs.
|
|
|
|
.. versionadded:: 0.20
|
|
Added 'early_stopping' option
|
|
|
|
validation_fraction : float, default=0.1
|
|
The proportion of training data to set aside as validation set for
|
|
early stopping. Must be between 0 and 1.
|
|
Only used if `early_stopping` is True.
|
|
Values must be in the range `(0.0, 1.0)`.
|
|
|
|
.. versionadded:: 0.20
|
|
Added 'validation_fraction' option
|
|
|
|
n_iter_no_change : int, default=5
|
|
Number of iterations with no improvement to wait before stopping
|
|
fitting.
|
|
Convergence is checked against the training loss or the
|
|
validation loss depending on the `early_stopping` parameter.
|
|
Integer values must be in the range `[1, max_iter)`.
|
|
|
|
.. versionadded:: 0.20
|
|
Added 'n_iter_no_change' option
|
|
|
|
class_weight : dict, {class_label: weight} or "balanced", default=None
|
|
Preset for the class_weight fit parameter.
|
|
|
|
Weights associated with classes. If not given, all classes
|
|
are supposed to have weight one.
|
|
|
|
The "balanced" mode uses the values of y to automatically adjust
|
|
weights inversely proportional to class frequencies in the input data
|
|
as ``n_samples / (n_classes * np.bincount(y))``.
|
|
|
|
warm_start : bool, default=False
|
|
When set to True, reuse the solution of the previous call to fit as
|
|
initialization, otherwise, just erase the previous solution.
|
|
See :term:`the Glossary <warm_start>`.
|
|
|
|
Repeatedly calling fit or partial_fit when warm_start is True can
|
|
result in a different solution than when calling fit a single time
|
|
because of the way the data is shuffled.
|
|
If a dynamic learning rate is used, the learning rate is adapted
|
|
depending on the number of samples already seen. Calling ``fit`` resets
|
|
this counter, while ``partial_fit`` will result in increasing the
|
|
existing counter.
|
|
|
|
average : bool or int, default=False
|
|
When set to `True`, computes the averaged SGD weights across all
|
|
updates and stores the result in the ``coef_`` attribute. If set to
|
|
an int greater than 1, averaging will begin once the total number of
|
|
samples seen reaches `average`. So ``average=10`` will begin
|
|
averaging after seeing 10 samples.
|
|
Integer values must be in the range `[1, n_samples]`.
|
|
|
|
Attributes
|
|
----------
|
|
coef_ : ndarray of shape (1, n_features) if n_classes == 2 else \
|
|
(n_classes, n_features)
|
|
Weights assigned to the features.
|
|
|
|
intercept_ : ndarray of shape (1,) if n_classes == 2 else (n_classes,)
|
|
Constants in decision function.
|
|
|
|
n_iter_ : int
|
|
The actual number of iterations before reaching the stopping criterion.
|
|
For multiclass fits, it is the maximum over every binary fit.
|
|
|
|
loss_function_ : concrete ``LossFunction``
|
|
|
|
.. deprecated:: 1.4
|
|
Attribute `loss_function_` was deprecated in version 1.4 and will be
|
|
removed in 1.6.
|
|
|
|
classes_ : array of shape (n_classes,)
|
|
|
|
t_ : int
|
|
Number of weight updates performed during training.
|
|
Same as ``(n_iter_ * n_samples + 1)``.
|
|
|
|
n_features_in_ : int
|
|
Number of features seen during :term:`fit`.
|
|
|
|
.. versionadded:: 0.24
|
|
|
|
feature_names_in_ : ndarray of shape (`n_features_in_`,)
|
|
Names of features seen during :term:`fit`. Defined only when `X`
|
|
has feature names that are all strings.
|
|
|
|
.. versionadded:: 1.0
|
|
|
|
See Also
|
|
--------
|
|
sklearn.svm.LinearSVC : Linear support vector classification.
|
|
LogisticRegression : Logistic regression.
|
|
Perceptron : Inherits from SGDClassifier. ``Perceptron()`` is equivalent to
|
|
``SGDClassifier(loss="perceptron", eta0=1, learning_rate="constant",
|
|
penalty=None)``.
|
|
|
|
Examples
|
|
--------
|
|
>>> import numpy as np
|
|
>>> from sklearn.linear_model import SGDClassifier
|
|
>>> from sklearn.preprocessing import StandardScaler
|
|
>>> from sklearn.pipeline import make_pipeline
|
|
>>> X = np.array([[-1, -1], [-2, -1], [1, 1], [2, 1]])
|
|
>>> Y = np.array([1, 1, 2, 2])
|
|
>>> # Always scale the input. The most convenient way is to use a pipeline.
|
|
>>> clf = make_pipeline(StandardScaler(),
|
|
... SGDClassifier(max_iter=1000, tol=1e-3))
|
|
>>> clf.fit(X, Y)
|
|
Pipeline(steps=[('standardscaler', StandardScaler()),
|
|
('sgdclassifier', SGDClassifier())])
|
|
>>> print(clf.predict([[-0.8, -1]]))
|
|
[1]
|
|
"""
|
|
|
|
_parameter_constraints: dict = {
|
|
**BaseSGDClassifier._parameter_constraints,
|
|
"penalty": [StrOptions({"l2", "l1", "elasticnet"}), None],
|
|
"alpha": [Interval(Real, 0, None, closed="left")],
|
|
"l1_ratio": [Interval(Real, 0, 1, closed="both")],
|
|
"power_t": [Interval(Real, None, None, closed="neither")],
|
|
"epsilon": [Interval(Real, 0, None, closed="left")],
|
|
"learning_rate": [
|
|
StrOptions({"constant", "optimal", "invscaling", "adaptive"}),
|
|
Hidden(StrOptions({"pa1", "pa2"})),
|
|
],
|
|
"eta0": [Interval(Real, 0, None, closed="left")],
|
|
}
|
|
|
|
def __init__(
|
|
self,
|
|
loss="hinge",
|
|
*,
|
|
penalty="l2",
|
|
alpha=0.0001,
|
|
l1_ratio=0.15,
|
|
fit_intercept=True,
|
|
max_iter=1000,
|
|
tol=1e-3,
|
|
shuffle=True,
|
|
verbose=0,
|
|
epsilon=DEFAULT_EPSILON,
|
|
n_jobs=None,
|
|
random_state=None,
|
|
learning_rate="optimal",
|
|
eta0=0.0,
|
|
power_t=0.5,
|
|
early_stopping=False,
|
|
validation_fraction=0.1,
|
|
n_iter_no_change=5,
|
|
class_weight=None,
|
|
warm_start=False,
|
|
average=False,
|
|
):
|
|
super().__init__(
|
|
loss=loss,
|
|
penalty=penalty,
|
|
alpha=alpha,
|
|
l1_ratio=l1_ratio,
|
|
fit_intercept=fit_intercept,
|
|
max_iter=max_iter,
|
|
tol=tol,
|
|
shuffle=shuffle,
|
|
verbose=verbose,
|
|
epsilon=epsilon,
|
|
n_jobs=n_jobs,
|
|
random_state=random_state,
|
|
learning_rate=learning_rate,
|
|
eta0=eta0,
|
|
power_t=power_t,
|
|
early_stopping=early_stopping,
|
|
validation_fraction=validation_fraction,
|
|
n_iter_no_change=n_iter_no_change,
|
|
class_weight=class_weight,
|
|
warm_start=warm_start,
|
|
average=average,
|
|
)
|
|
|
|
def _check_proba(self):
|
|
if self.loss not in ("log_loss", "modified_huber"):
|
|
raise AttributeError(
|
|
"probability estimates are not available for loss=%r" % self.loss
|
|
)
|
|
return True
|
|
|
|
@available_if(_check_proba)
|
|
def predict_proba(self, X):
|
|
"""Probability estimates.
|
|
|
|
This method is only available for log loss and modified Huber loss.
|
|
|
|
Multiclass probability estimates are derived from binary (one-vs.-rest)
|
|
estimates by simple normalization, as recommended by Zadrozny and
|
|
Elkan.
|
|
|
|
Binary probability estimates for loss="modified_huber" are given by
|
|
(clip(decision_function(X), -1, 1) + 1) / 2. For other loss functions
|
|
it is necessary to perform proper probability calibration by wrapping
|
|
the classifier with
|
|
:class:`~sklearn.calibration.CalibratedClassifierCV` instead.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Input data for prediction.
|
|
|
|
Returns
|
|
-------
|
|
ndarray of shape (n_samples, n_classes)
|
|
Returns the probability of the sample for each class in the model,
|
|
where classes are ordered as they are in `self.classes_`.
|
|
|
|
References
|
|
----------
|
|
Zadrozny and Elkan, "Transforming classifier scores into multiclass
|
|
probability estimates", SIGKDD'02,
|
|
https://dl.acm.org/doi/pdf/10.1145/775047.775151
|
|
|
|
The justification for the formula in the loss="modified_huber"
|
|
case is in the appendix B in:
|
|
http://jmlr.csail.mit.edu/papers/volume2/zhang02c/zhang02c.pdf
|
|
"""
|
|
check_is_fitted(self)
|
|
|
|
if self.loss == "log_loss":
|
|
return self._predict_proba_lr(X)
|
|
|
|
elif self.loss == "modified_huber":
|
|
binary = len(self.classes_) == 2
|
|
scores = self.decision_function(X)
|
|
|
|
if binary:
|
|
prob2 = np.ones((scores.shape[0], 2))
|
|
prob = prob2[:, 1]
|
|
else:
|
|
prob = scores
|
|
|
|
np.clip(scores, -1, 1, prob)
|
|
prob += 1.0
|
|
prob /= 2.0
|
|
|
|
if binary:
|
|
prob2[:, 0] -= prob
|
|
prob = prob2
|
|
else:
|
|
# the above might assign zero to all classes, which doesn't
|
|
# normalize neatly; work around this to produce uniform
|
|
# probabilities
|
|
prob_sum = prob.sum(axis=1)
|
|
all_zero = prob_sum == 0
|
|
if np.any(all_zero):
|
|
prob[all_zero, :] = 1
|
|
prob_sum[all_zero] = len(self.classes_)
|
|
|
|
# normalize
|
|
prob /= prob_sum.reshape((prob.shape[0], -1))
|
|
|
|
return prob
|
|
|
|
else:
|
|
raise NotImplementedError(
|
|
"predict_(log_)proba only supported when"
|
|
" loss='log_loss' or loss='modified_huber' "
|
|
"(%r given)" % self.loss
|
|
)
|
|
|
|
@available_if(_check_proba)
|
|
def predict_log_proba(self, X):
|
|
"""Log of probability estimates.
|
|
|
|
This method is only available for log loss and modified Huber loss.
|
|
|
|
When loss="modified_huber", probability estimates may be hard zeros
|
|
and ones, so taking the logarithm is not possible.
|
|
|
|
See ``predict_proba`` for details.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix} of shape (n_samples, n_features)
|
|
Input data for prediction.
|
|
|
|
Returns
|
|
-------
|
|
T : array-like, shape (n_samples, n_classes)
|
|
Returns the log-probability of the sample for each class in the
|
|
model, where classes are ordered as they are in
|
|
`self.classes_`.
|
|
"""
|
|
return np.log(self.predict_proba(X))
|
|
|
|
def _more_tags(self):
|
|
return {
|
|
"_xfail_checks": {
|
|
"check_sample_weights_invariance": (
|
|
"zero sample_weight is not equivalent to removing samples"
|
|
),
|
|
},
|
|
"preserves_dtype": [np.float64, np.float32],
|
|
}
|
|
|
|
|
|
class BaseSGDRegressor(RegressorMixin, BaseSGD):
|
|
loss_functions = {
|
|
"squared_error": (SquaredLoss,),
|
|
"huber": (Huber, DEFAULT_EPSILON),
|
|
"epsilon_insensitive": (EpsilonInsensitive, DEFAULT_EPSILON),
|
|
"squared_epsilon_insensitive": (SquaredEpsilonInsensitive, DEFAULT_EPSILON),
|
|
}
|
|
|
|
_parameter_constraints: dict = {
|
|
**BaseSGD._parameter_constraints,
|
|
"loss": [StrOptions(set(loss_functions))],
|
|
"early_stopping": ["boolean"],
|
|
"validation_fraction": [Interval(Real, 0, 1, closed="neither")],
|
|
"n_iter_no_change": [Interval(Integral, 1, None, closed="left")],
|
|
}
|
|
|
|
@abstractmethod
|
|
def __init__(
|
|
self,
|
|
loss="squared_error",
|
|
*,
|
|
penalty="l2",
|
|
alpha=0.0001,
|
|
l1_ratio=0.15,
|
|
fit_intercept=True,
|
|
max_iter=1000,
|
|
tol=1e-3,
|
|
shuffle=True,
|
|
verbose=0,
|
|
epsilon=DEFAULT_EPSILON,
|
|
random_state=None,
|
|
learning_rate="invscaling",
|
|
eta0=0.01,
|
|
power_t=0.25,
|
|
early_stopping=False,
|
|
validation_fraction=0.1,
|
|
n_iter_no_change=5,
|
|
warm_start=False,
|
|
average=False,
|
|
):
|
|
super().__init__(
|
|
loss=loss,
|
|
penalty=penalty,
|
|
alpha=alpha,
|
|
l1_ratio=l1_ratio,
|
|
fit_intercept=fit_intercept,
|
|
max_iter=max_iter,
|
|
tol=tol,
|
|
shuffle=shuffle,
|
|
verbose=verbose,
|
|
epsilon=epsilon,
|
|
random_state=random_state,
|
|
learning_rate=learning_rate,
|
|
eta0=eta0,
|
|
power_t=power_t,
|
|
early_stopping=early_stopping,
|
|
validation_fraction=validation_fraction,
|
|
n_iter_no_change=n_iter_no_change,
|
|
warm_start=warm_start,
|
|
average=average,
|
|
)
|
|
|
|
def _partial_fit(
|
|
self,
|
|
X,
|
|
y,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
max_iter,
|
|
sample_weight,
|
|
coef_init,
|
|
intercept_init,
|
|
):
|
|
first_call = getattr(self, "coef_", None) is None
|
|
X, y = self._validate_data(
|
|
X,
|
|
y,
|
|
accept_sparse="csr",
|
|
copy=False,
|
|
order="C",
|
|
dtype=[np.float64, np.float32],
|
|
accept_large_sparse=False,
|
|
reset=first_call,
|
|
)
|
|
y = y.astype(X.dtype, copy=False)
|
|
|
|
if first_call:
|
|
# TODO(1.7) remove 0 from average parameter constraint
|
|
if not isinstance(self.average, (bool, np.bool_)) and self.average == 0:
|
|
warnings.warn(
|
|
(
|
|
"Passing average=0 to disable averaging is deprecated and will"
|
|
" be removed in 1.7. Please use average=False instead."
|
|
),
|
|
FutureWarning,
|
|
)
|
|
|
|
n_samples, n_features = X.shape
|
|
|
|
sample_weight = _check_sample_weight(sample_weight, X, dtype=X.dtype)
|
|
|
|
# Allocate datastructures from input arguments
|
|
if first_call:
|
|
self._allocate_parameter_mem(
|
|
n_classes=1,
|
|
n_features=n_features,
|
|
input_dtype=X.dtype,
|
|
coef_init=coef_init,
|
|
intercept_init=intercept_init,
|
|
)
|
|
if self.average > 0 and getattr(self, "_average_coef", None) is None:
|
|
self._average_coef = np.zeros(n_features, dtype=X.dtype, order="C")
|
|
self._average_intercept = np.zeros(1, dtype=X.dtype, order="C")
|
|
|
|
self._fit_regressor(
|
|
X, y, alpha, C, loss, learning_rate, sample_weight, max_iter
|
|
)
|
|
|
|
return self
|
|
|
|
@_fit_context(prefer_skip_nested_validation=True)
|
|
def partial_fit(self, X, y, sample_weight=None):
|
|
"""Perform one epoch of stochastic gradient descent on given samples.
|
|
|
|
Internally, this method uses ``max_iter = 1``. Therefore, it is not
|
|
guaranteed that a minimum of the cost function is reached after calling
|
|
it once. Matters such as objective convergence and early stopping
|
|
should be handled by the user.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Subset of training data.
|
|
|
|
y : numpy array of shape (n_samples,)
|
|
Subset of target values.
|
|
|
|
sample_weight : array-like, shape (n_samples,), default=None
|
|
Weights applied to individual samples.
|
|
If not provided, uniform weights are assumed.
|
|
|
|
Returns
|
|
-------
|
|
self : object
|
|
Returns an instance of self.
|
|
"""
|
|
if not hasattr(self, "coef_"):
|
|
self._more_validate_params(for_partial_fit=True)
|
|
|
|
return self._partial_fit(
|
|
X,
|
|
y,
|
|
self.alpha,
|
|
C=1.0,
|
|
loss=self.loss,
|
|
learning_rate=self.learning_rate,
|
|
max_iter=1,
|
|
sample_weight=sample_weight,
|
|
coef_init=None,
|
|
intercept_init=None,
|
|
)
|
|
|
|
def _fit(
|
|
self,
|
|
X,
|
|
y,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
coef_init=None,
|
|
intercept_init=None,
|
|
sample_weight=None,
|
|
):
|
|
# TODO(1.7) remove 0 from average parameter constraint
|
|
if not isinstance(self.average, (bool, np.bool_)) and self.average == 0:
|
|
warnings.warn(
|
|
(
|
|
"Passing average=0 to disable averaging is deprecated and will be "
|
|
"removed in 1.7. Please use average=False instead."
|
|
),
|
|
FutureWarning,
|
|
)
|
|
|
|
if self.warm_start and getattr(self, "coef_", None) is not None:
|
|
if coef_init is None:
|
|
coef_init = self.coef_
|
|
if intercept_init is None:
|
|
intercept_init = self.intercept_
|
|
else:
|
|
self.coef_ = None
|
|
self.intercept_ = None
|
|
|
|
# Clear iteration count for multiple call to fit.
|
|
self.t_ = 1.0
|
|
|
|
self._partial_fit(
|
|
X,
|
|
y,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
self.max_iter,
|
|
sample_weight,
|
|
coef_init,
|
|
intercept_init,
|
|
)
|
|
|
|
if (
|
|
self.tol is not None
|
|
and self.tol > -np.inf
|
|
and self.n_iter_ == self.max_iter
|
|
):
|
|
warnings.warn(
|
|
(
|
|
"Maximum number of iteration reached before "
|
|
"convergence. Consider increasing max_iter to "
|
|
"improve the fit."
|
|
),
|
|
ConvergenceWarning,
|
|
)
|
|
|
|
return self
|
|
|
|
@_fit_context(prefer_skip_nested_validation=True)
|
|
def fit(self, X, y, coef_init=None, intercept_init=None, sample_weight=None):
|
|
"""Fit linear model with Stochastic Gradient Descent.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Training data.
|
|
|
|
y : ndarray of shape (n_samples,)
|
|
Target values.
|
|
|
|
coef_init : ndarray of shape (n_features,), default=None
|
|
The initial coefficients to warm-start the optimization.
|
|
|
|
intercept_init : ndarray of shape (1,), default=None
|
|
The initial intercept to warm-start the optimization.
|
|
|
|
sample_weight : array-like, shape (n_samples,), default=None
|
|
Weights applied to individual samples (1. for unweighted).
|
|
|
|
Returns
|
|
-------
|
|
self : object
|
|
Fitted `SGDRegressor` estimator.
|
|
"""
|
|
self._more_validate_params()
|
|
|
|
return self._fit(
|
|
X,
|
|
y,
|
|
alpha=self.alpha,
|
|
C=1.0,
|
|
loss=self.loss,
|
|
learning_rate=self.learning_rate,
|
|
coef_init=coef_init,
|
|
intercept_init=intercept_init,
|
|
sample_weight=sample_weight,
|
|
)
|
|
|
|
def _decision_function(self, X):
|
|
"""Predict using the linear model
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
|
|
Returns
|
|
-------
|
|
ndarray of shape (n_samples,)
|
|
Predicted target values per element in X.
|
|
"""
|
|
check_is_fitted(self)
|
|
|
|
X = self._validate_data(X, accept_sparse="csr", reset=False)
|
|
|
|
scores = safe_sparse_dot(X, self.coef_.T, dense_output=True) + self.intercept_
|
|
return scores.ravel()
|
|
|
|
def predict(self, X):
|
|
"""Predict using the linear model.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Input data.
|
|
|
|
Returns
|
|
-------
|
|
ndarray of shape (n_samples,)
|
|
Predicted target values per element in X.
|
|
"""
|
|
return self._decision_function(X)
|
|
|
|
def _fit_regressor(
|
|
self, X, y, alpha, C, loss, learning_rate, sample_weight, max_iter
|
|
):
|
|
loss_function = self._get_loss_function(loss)
|
|
penalty_type = self._get_penalty_type(self.penalty)
|
|
learning_rate_type = self._get_learning_rate_type(learning_rate)
|
|
|
|
if not hasattr(self, "t_"):
|
|
self.t_ = 1.0
|
|
|
|
validation_mask = self._make_validation_split(y, sample_mask=sample_weight > 0)
|
|
validation_score_cb = self._make_validation_score_cb(
|
|
validation_mask, X, y, sample_weight
|
|
)
|
|
|
|
random_state = check_random_state(self.random_state)
|
|
# numpy mtrand expects a C long which is a signed 32 bit integer under
|
|
# Windows
|
|
seed = random_state.randint(0, MAX_INT)
|
|
|
|
dataset, intercept_decay = make_dataset(
|
|
X, y, sample_weight, random_state=random_state
|
|
)
|
|
|
|
tol = self.tol if self.tol is not None else -np.inf
|
|
|
|
if self.average:
|
|
coef = self._standard_coef
|
|
intercept = self._standard_intercept
|
|
average_coef = self._average_coef
|
|
average_intercept = self._average_intercept
|
|
else:
|
|
coef = self.coef_
|
|
intercept = self.intercept_
|
|
average_coef = None # Not used
|
|
average_intercept = [0] # Not used
|
|
|
|
_plain_sgd = _get_plain_sgd_function(input_dtype=coef.dtype)
|
|
coef, intercept, average_coef, average_intercept, self.n_iter_ = _plain_sgd(
|
|
coef,
|
|
intercept[0],
|
|
average_coef,
|
|
average_intercept[0],
|
|
loss_function,
|
|
penalty_type,
|
|
alpha,
|
|
C,
|
|
self.l1_ratio,
|
|
dataset,
|
|
validation_mask,
|
|
self.early_stopping,
|
|
validation_score_cb,
|
|
int(self.n_iter_no_change),
|
|
max_iter,
|
|
tol,
|
|
int(self.fit_intercept),
|
|
int(self.verbose),
|
|
int(self.shuffle),
|
|
seed,
|
|
1.0,
|
|
1.0,
|
|
learning_rate_type,
|
|
self.eta0,
|
|
self.power_t,
|
|
0,
|
|
self.t_,
|
|
intercept_decay,
|
|
self.average,
|
|
)
|
|
|
|
self.t_ += self.n_iter_ * X.shape[0]
|
|
|
|
if self.average > 0:
|
|
self._average_intercept = np.atleast_1d(average_intercept)
|
|
self._standard_intercept = np.atleast_1d(intercept)
|
|
|
|
if self.average <= self.t_ - 1.0:
|
|
# made enough updates for averaging to be taken into account
|
|
self.coef_ = average_coef
|
|
self.intercept_ = np.atleast_1d(average_intercept)
|
|
else:
|
|
self.coef_ = coef
|
|
self.intercept_ = np.atleast_1d(intercept)
|
|
|
|
else:
|
|
self.intercept_ = np.atleast_1d(intercept)
|
|
|
|
|
|
class SGDRegressor(BaseSGDRegressor):
|
|
"""Linear model fitted by minimizing a regularized empirical loss with SGD.
|
|
|
|
SGD stands for Stochastic Gradient Descent: the gradient of the loss is
|
|
estimated each sample at a time and the model is updated along the way with
|
|
a decreasing strength schedule (aka learning rate).
|
|
|
|
The regularizer is a penalty added to the loss function that shrinks model
|
|
parameters towards the zero vector using either the squared euclidean norm
|
|
L2 or the absolute norm L1 or a combination of both (Elastic Net). If the
|
|
parameter update crosses the 0.0 value because of the regularizer, the
|
|
update is truncated to 0.0 to allow for learning sparse models and achieve
|
|
online feature selection.
|
|
|
|
This implementation works with data represented as dense numpy arrays of
|
|
floating point values for the features.
|
|
|
|
Read more in the :ref:`User Guide <sgd>`.
|
|
|
|
Parameters
|
|
----------
|
|
loss : str, default='squared_error'
|
|
The loss function to be used. The possible values are 'squared_error',
|
|
'huber', 'epsilon_insensitive', or 'squared_epsilon_insensitive'
|
|
|
|
The 'squared_error' refers to the ordinary least squares fit.
|
|
'huber' modifies 'squared_error' to focus less on getting outliers
|
|
correct by switching from squared to linear loss past a distance of
|
|
epsilon. 'epsilon_insensitive' ignores errors less than epsilon and is
|
|
linear past that; this is the loss function used in SVR.
|
|
'squared_epsilon_insensitive' is the same but becomes squared loss past
|
|
a tolerance of epsilon.
|
|
|
|
More details about the losses formulas can be found in the
|
|
:ref:`User Guide <sgd_mathematical_formulation>`.
|
|
|
|
penalty : {'l2', 'l1', 'elasticnet', None}, default='l2'
|
|
The penalty (aka regularization term) to be used. Defaults to 'l2'
|
|
which is the standard regularizer for linear SVM models. 'l1' and
|
|
'elasticnet' might bring sparsity to the model (feature selection)
|
|
not achievable with 'l2'. No penalty is added when set to `None`.
|
|
|
|
alpha : float, default=0.0001
|
|
Constant that multiplies the regularization term. The higher the
|
|
value, the stronger the regularization. Also used to compute the
|
|
learning rate when `learning_rate` is set to 'optimal'.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
l1_ratio : float, default=0.15
|
|
The Elastic Net mixing parameter, with 0 <= l1_ratio <= 1.
|
|
l1_ratio=0 corresponds to L2 penalty, l1_ratio=1 to L1.
|
|
Only used if `penalty` is 'elasticnet'.
|
|
Values must be in the range `[0.0, 1.0]`.
|
|
|
|
fit_intercept : bool, default=True
|
|
Whether the intercept should be estimated or not. If False, the
|
|
data is assumed to be already centered.
|
|
|
|
max_iter : int, default=1000
|
|
The maximum number of passes over the training data (aka epochs).
|
|
It only impacts the behavior in the ``fit`` method, and not the
|
|
:meth:`partial_fit` method.
|
|
Values must be in the range `[1, inf)`.
|
|
|
|
.. versionadded:: 0.19
|
|
|
|
tol : float or None, default=1e-3
|
|
The stopping criterion. If it is not None, training will stop
|
|
when (loss > best_loss - tol) for ``n_iter_no_change`` consecutive
|
|
epochs.
|
|
Convergence is checked against the training loss or the
|
|
validation loss depending on the `early_stopping` parameter.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
.. versionadded:: 0.19
|
|
|
|
shuffle : bool, default=True
|
|
Whether or not the training data should be shuffled after each epoch.
|
|
|
|
verbose : int, default=0
|
|
The verbosity level.
|
|
Values must be in the range `[0, inf)`.
|
|
|
|
epsilon : float, default=0.1
|
|
Epsilon in the epsilon-insensitive loss functions; only if `loss` is
|
|
'huber', 'epsilon_insensitive', or 'squared_epsilon_insensitive'.
|
|
For 'huber', determines the threshold at which it becomes less
|
|
important to get the prediction exactly right.
|
|
For epsilon-insensitive, any differences between the current prediction
|
|
and the correct label are ignored if they are less than this threshold.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
random_state : int, RandomState instance, default=None
|
|
Used for shuffling the data, when ``shuffle`` is set to ``True``.
|
|
Pass an int for reproducible output across multiple function calls.
|
|
See :term:`Glossary <random_state>`.
|
|
|
|
learning_rate : str, default='invscaling'
|
|
The learning rate schedule:
|
|
|
|
- 'constant': `eta = eta0`
|
|
- 'optimal': `eta = 1.0 / (alpha * (t + t0))`
|
|
where t0 is chosen by a heuristic proposed by Leon Bottou.
|
|
- 'invscaling': `eta = eta0 / pow(t, power_t)`
|
|
- 'adaptive': eta = eta0, as long as the training keeps decreasing.
|
|
Each time n_iter_no_change consecutive epochs fail to decrease the
|
|
training loss by tol or fail to increase validation score by tol if
|
|
early_stopping is True, the current learning rate is divided by 5.
|
|
|
|
.. versionadded:: 0.20
|
|
Added 'adaptive' option
|
|
|
|
eta0 : float, default=0.01
|
|
The initial learning rate for the 'constant', 'invscaling' or
|
|
'adaptive' schedules. The default value is 0.01.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
power_t : float, default=0.25
|
|
The exponent for inverse scaling learning rate.
|
|
Values must be in the range `(-inf, inf)`.
|
|
|
|
early_stopping : bool, default=False
|
|
Whether to use early stopping to terminate training when validation
|
|
score is not improving. If set to True, it will automatically set aside
|
|
a fraction of training data as validation and terminate
|
|
training when validation score returned by the `score` method is not
|
|
improving by at least `tol` for `n_iter_no_change` consecutive
|
|
epochs.
|
|
|
|
.. versionadded:: 0.20
|
|
Added 'early_stopping' option
|
|
|
|
validation_fraction : float, default=0.1
|
|
The proportion of training data to set aside as validation set for
|
|
early stopping. Must be between 0 and 1.
|
|
Only used if `early_stopping` is True.
|
|
Values must be in the range `(0.0, 1.0)`.
|
|
|
|
.. versionadded:: 0.20
|
|
Added 'validation_fraction' option
|
|
|
|
n_iter_no_change : int, default=5
|
|
Number of iterations with no improvement to wait before stopping
|
|
fitting.
|
|
Convergence is checked against the training loss or the
|
|
validation loss depending on the `early_stopping` parameter.
|
|
Integer values must be in the range `[1, max_iter)`.
|
|
|
|
.. versionadded:: 0.20
|
|
Added 'n_iter_no_change' option
|
|
|
|
warm_start : bool, default=False
|
|
When set to True, reuse the solution of the previous call to fit as
|
|
initialization, otherwise, just erase the previous solution.
|
|
See :term:`the Glossary <warm_start>`.
|
|
|
|
Repeatedly calling fit or partial_fit when warm_start is True can
|
|
result in a different solution than when calling fit a single time
|
|
because of the way the data is shuffled.
|
|
If a dynamic learning rate is used, the learning rate is adapted
|
|
depending on the number of samples already seen. Calling ``fit`` resets
|
|
this counter, while ``partial_fit`` will result in increasing the
|
|
existing counter.
|
|
|
|
average : bool or int, default=False
|
|
When set to True, computes the averaged SGD weights across all
|
|
updates and stores the result in the ``coef_`` attribute. If set to
|
|
an int greater than 1, averaging will begin once the total number of
|
|
samples seen reaches `average`. So ``average=10`` will begin
|
|
averaging after seeing 10 samples.
|
|
|
|
Attributes
|
|
----------
|
|
coef_ : ndarray of shape (n_features,)
|
|
Weights assigned to the features.
|
|
|
|
intercept_ : ndarray of shape (1,)
|
|
The intercept term.
|
|
|
|
n_iter_ : int
|
|
The actual number of iterations before reaching the stopping criterion.
|
|
|
|
t_ : int
|
|
Number of weight updates performed during training.
|
|
Same as ``(n_iter_ * n_samples + 1)``.
|
|
|
|
n_features_in_ : int
|
|
Number of features seen during :term:`fit`.
|
|
|
|
.. versionadded:: 0.24
|
|
|
|
feature_names_in_ : ndarray of shape (`n_features_in_`,)
|
|
Names of features seen during :term:`fit`. Defined only when `X`
|
|
has feature names that are all strings.
|
|
|
|
.. versionadded:: 1.0
|
|
|
|
See Also
|
|
--------
|
|
HuberRegressor : Linear regression model that is robust to outliers.
|
|
Lars : Least Angle Regression model.
|
|
Lasso : Linear Model trained with L1 prior as regularizer.
|
|
RANSACRegressor : RANSAC (RANdom SAmple Consensus) algorithm.
|
|
Ridge : Linear least squares with l2 regularization.
|
|
sklearn.svm.SVR : Epsilon-Support Vector Regression.
|
|
TheilSenRegressor : Theil-Sen Estimator robust multivariate regression model.
|
|
|
|
Examples
|
|
--------
|
|
>>> import numpy as np
|
|
>>> from sklearn.linear_model import SGDRegressor
|
|
>>> from sklearn.pipeline import make_pipeline
|
|
>>> from sklearn.preprocessing import StandardScaler
|
|
>>> n_samples, n_features = 10, 5
|
|
>>> rng = np.random.RandomState(0)
|
|
>>> y = rng.randn(n_samples)
|
|
>>> X = rng.randn(n_samples, n_features)
|
|
>>> # Always scale the input. The most convenient way is to use a pipeline.
|
|
>>> reg = make_pipeline(StandardScaler(),
|
|
... SGDRegressor(max_iter=1000, tol=1e-3))
|
|
>>> reg.fit(X, y)
|
|
Pipeline(steps=[('standardscaler', StandardScaler()),
|
|
('sgdregressor', SGDRegressor())])
|
|
"""
|
|
|
|
_parameter_constraints: dict = {
|
|
**BaseSGDRegressor._parameter_constraints,
|
|
"penalty": [StrOptions({"l2", "l1", "elasticnet"}), None],
|
|
"alpha": [Interval(Real, 0, None, closed="left")],
|
|
"l1_ratio": [Interval(Real, 0, 1, closed="both")],
|
|
"power_t": [Interval(Real, None, None, closed="neither")],
|
|
"learning_rate": [
|
|
StrOptions({"constant", "optimal", "invscaling", "adaptive"}),
|
|
Hidden(StrOptions({"pa1", "pa2"})),
|
|
],
|
|
"epsilon": [Interval(Real, 0, None, closed="left")],
|
|
"eta0": [Interval(Real, 0, None, closed="left")],
|
|
}
|
|
|
|
def __init__(
|
|
self,
|
|
loss="squared_error",
|
|
*,
|
|
penalty="l2",
|
|
alpha=0.0001,
|
|
l1_ratio=0.15,
|
|
fit_intercept=True,
|
|
max_iter=1000,
|
|
tol=1e-3,
|
|
shuffle=True,
|
|
verbose=0,
|
|
epsilon=DEFAULT_EPSILON,
|
|
random_state=None,
|
|
learning_rate="invscaling",
|
|
eta0=0.01,
|
|
power_t=0.25,
|
|
early_stopping=False,
|
|
validation_fraction=0.1,
|
|
n_iter_no_change=5,
|
|
warm_start=False,
|
|
average=False,
|
|
):
|
|
super().__init__(
|
|
loss=loss,
|
|
penalty=penalty,
|
|
alpha=alpha,
|
|
l1_ratio=l1_ratio,
|
|
fit_intercept=fit_intercept,
|
|
max_iter=max_iter,
|
|
tol=tol,
|
|
shuffle=shuffle,
|
|
verbose=verbose,
|
|
epsilon=epsilon,
|
|
random_state=random_state,
|
|
learning_rate=learning_rate,
|
|
eta0=eta0,
|
|
power_t=power_t,
|
|
early_stopping=early_stopping,
|
|
validation_fraction=validation_fraction,
|
|
n_iter_no_change=n_iter_no_change,
|
|
warm_start=warm_start,
|
|
average=average,
|
|
)
|
|
|
|
def _more_tags(self):
|
|
return {
|
|
"_xfail_checks": {
|
|
"check_sample_weights_invariance": (
|
|
"zero sample_weight is not equivalent to removing samples"
|
|
),
|
|
},
|
|
"preserves_dtype": [np.float64, np.float32],
|
|
}
|
|
|
|
|
|
class SGDOneClassSVM(BaseSGD, OutlierMixin):
|
|
"""Solves linear One-Class SVM using Stochastic Gradient Descent.
|
|
|
|
This implementation is meant to be used with a kernel approximation
|
|
technique (e.g. `sklearn.kernel_approximation.Nystroem`) to obtain results
|
|
similar to `sklearn.svm.OneClassSVM` which uses a Gaussian kernel by
|
|
default.
|
|
|
|
Read more in the :ref:`User Guide <sgd_online_one_class_svm>`.
|
|
|
|
.. versionadded:: 1.0
|
|
|
|
Parameters
|
|
----------
|
|
nu : float, default=0.5
|
|
The nu parameter of the One Class SVM: an upper bound on the
|
|
fraction of training errors and a lower bound of the fraction of
|
|
support vectors. Should be in the interval (0, 1]. By default 0.5
|
|
will be taken.
|
|
|
|
fit_intercept : bool, default=True
|
|
Whether the intercept should be estimated or not. Defaults to True.
|
|
|
|
max_iter : int, default=1000
|
|
The maximum number of passes over the training data (aka epochs).
|
|
It only impacts the behavior in the ``fit`` method, and not the
|
|
`partial_fit`. Defaults to 1000.
|
|
Values must be in the range `[1, inf)`.
|
|
|
|
tol : float or None, default=1e-3
|
|
The stopping criterion. If it is not None, the iterations will stop
|
|
when (loss > previous_loss - tol). Defaults to 1e-3.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
shuffle : bool, default=True
|
|
Whether or not the training data should be shuffled after each epoch.
|
|
Defaults to True.
|
|
|
|
verbose : int, default=0
|
|
The verbosity level.
|
|
|
|
random_state : int, RandomState instance or None, default=None
|
|
The seed of the pseudo random number generator to use when shuffling
|
|
the data. If int, random_state is the seed used by the random number
|
|
generator; If RandomState instance, random_state is the random number
|
|
generator; If None, the random number generator is the RandomState
|
|
instance used by `np.random`.
|
|
|
|
learning_rate : {'constant', 'optimal', 'invscaling', 'adaptive'}, default='optimal'
|
|
The learning rate schedule to use with `fit`. (If using `partial_fit`,
|
|
learning rate must be controlled directly).
|
|
|
|
- 'constant': `eta = eta0`
|
|
- 'optimal': `eta = 1.0 / (alpha * (t + t0))`
|
|
where t0 is chosen by a heuristic proposed by Leon Bottou.
|
|
- 'invscaling': `eta = eta0 / pow(t, power_t)`
|
|
- 'adaptive': eta = eta0, as long as the training keeps decreasing.
|
|
Each time n_iter_no_change consecutive epochs fail to decrease the
|
|
training loss by tol or fail to increase validation score by tol if
|
|
early_stopping is True, the current learning rate is divided by 5.
|
|
|
|
eta0 : float, default=0.0
|
|
The initial learning rate for the 'constant', 'invscaling' or
|
|
'adaptive' schedules. The default value is 0.0 as eta0 is not used by
|
|
the default schedule 'optimal'.
|
|
Values must be in the range `[0.0, inf)`.
|
|
|
|
power_t : float, default=0.5
|
|
The exponent for inverse scaling learning rate.
|
|
Values must be in the range `(-inf, inf)`.
|
|
|
|
warm_start : bool, default=False
|
|
When set to True, reuse the solution of the previous call to fit as
|
|
initialization, otherwise, just erase the previous solution.
|
|
See :term:`the Glossary <warm_start>`.
|
|
|
|
Repeatedly calling fit or partial_fit when warm_start is True can
|
|
result in a different solution than when calling fit a single time
|
|
because of the way the data is shuffled.
|
|
If a dynamic learning rate is used, the learning rate is adapted
|
|
depending on the number of samples already seen. Calling ``fit`` resets
|
|
this counter, while ``partial_fit`` will result in increasing the
|
|
existing counter.
|
|
|
|
average : bool or int, default=False
|
|
When set to True, computes the averaged SGD weights and stores the
|
|
result in the ``coef_`` attribute. If set to an int greater than 1,
|
|
averaging will begin once the total number of samples seen reaches
|
|
average. So ``average=10`` will begin averaging after seeing 10
|
|
samples.
|
|
|
|
Attributes
|
|
----------
|
|
coef_ : ndarray of shape (1, n_features)
|
|
Weights assigned to the features.
|
|
|
|
offset_ : ndarray of shape (1,)
|
|
Offset used to define the decision function from the raw scores.
|
|
We have the relation: decision_function = score_samples - offset.
|
|
|
|
n_iter_ : int
|
|
The actual number of iterations to reach the stopping criterion.
|
|
|
|
t_ : int
|
|
Number of weight updates performed during training.
|
|
Same as ``(n_iter_ * n_samples + 1)``.
|
|
|
|
loss_function_ : concrete ``LossFunction``
|
|
|
|
.. deprecated:: 1.4
|
|
``loss_function_`` was deprecated in version 1.4 and will be removed in
|
|
1.6.
|
|
|
|
n_features_in_ : int
|
|
Number of features seen during :term:`fit`.
|
|
|
|
.. versionadded:: 0.24
|
|
|
|
feature_names_in_ : ndarray of shape (`n_features_in_`,)
|
|
Names of features seen during :term:`fit`. Defined only when `X`
|
|
has feature names that are all strings.
|
|
|
|
.. versionadded:: 1.0
|
|
|
|
See Also
|
|
--------
|
|
sklearn.svm.OneClassSVM : Unsupervised Outlier Detection.
|
|
|
|
Notes
|
|
-----
|
|
This estimator has a linear complexity in the number of training samples
|
|
and is thus better suited than the `sklearn.svm.OneClassSVM`
|
|
implementation for datasets with a large number of training samples (say
|
|
> 10,000).
|
|
|
|
Examples
|
|
--------
|
|
>>> import numpy as np
|
|
>>> from sklearn import linear_model
|
|
>>> X = np.array([[-1, -1], [-2, -1], [1, 1], [2, 1]])
|
|
>>> clf = linear_model.SGDOneClassSVM(random_state=42)
|
|
>>> clf.fit(X)
|
|
SGDOneClassSVM(random_state=42)
|
|
|
|
>>> print(clf.predict([[4, 4]]))
|
|
[1]
|
|
"""
|
|
|
|
loss_functions = {"hinge": (Hinge, 1.0)}
|
|
|
|
_parameter_constraints: dict = {
|
|
**BaseSGD._parameter_constraints,
|
|
"nu": [Interval(Real, 0.0, 1.0, closed="right")],
|
|
"learning_rate": [
|
|
StrOptions({"constant", "optimal", "invscaling", "adaptive"}),
|
|
Hidden(StrOptions({"pa1", "pa2"})),
|
|
],
|
|
"eta0": [Interval(Real, 0, None, closed="left")],
|
|
"power_t": [Interval(Real, None, None, closed="neither")],
|
|
}
|
|
|
|
def __init__(
|
|
self,
|
|
nu=0.5,
|
|
fit_intercept=True,
|
|
max_iter=1000,
|
|
tol=1e-3,
|
|
shuffle=True,
|
|
verbose=0,
|
|
random_state=None,
|
|
learning_rate="optimal",
|
|
eta0=0.0,
|
|
power_t=0.5,
|
|
warm_start=False,
|
|
average=False,
|
|
):
|
|
self.nu = nu
|
|
super(SGDOneClassSVM, self).__init__(
|
|
loss="hinge",
|
|
penalty="l2",
|
|
C=1.0,
|
|
l1_ratio=0,
|
|
fit_intercept=fit_intercept,
|
|
max_iter=max_iter,
|
|
tol=tol,
|
|
shuffle=shuffle,
|
|
verbose=verbose,
|
|
epsilon=DEFAULT_EPSILON,
|
|
random_state=random_state,
|
|
learning_rate=learning_rate,
|
|
eta0=eta0,
|
|
power_t=power_t,
|
|
early_stopping=False,
|
|
validation_fraction=0.1,
|
|
n_iter_no_change=5,
|
|
warm_start=warm_start,
|
|
average=average,
|
|
)
|
|
|
|
def _fit_one_class(self, X, alpha, C, sample_weight, learning_rate, max_iter):
|
|
"""Uses SGD implementation with X and y=np.ones(n_samples)."""
|
|
|
|
# The One-Class SVM uses the SGD implementation with
|
|
# y=np.ones(n_samples).
|
|
n_samples = X.shape[0]
|
|
y = np.ones(n_samples, dtype=X.dtype, order="C")
|
|
|
|
dataset, offset_decay = make_dataset(X, y, sample_weight)
|
|
|
|
penalty_type = self._get_penalty_type(self.penalty)
|
|
learning_rate_type = self._get_learning_rate_type(learning_rate)
|
|
|
|
# early stopping is set to False for the One-Class SVM. thus
|
|
# validation_mask and validation_score_cb will be set to values
|
|
# associated to early_stopping=False in _make_validation_split and
|
|
# _make_validation_score_cb respectively.
|
|
validation_mask = self._make_validation_split(y, sample_mask=sample_weight > 0)
|
|
validation_score_cb = self._make_validation_score_cb(
|
|
validation_mask, X, y, sample_weight
|
|
)
|
|
|
|
random_state = check_random_state(self.random_state)
|
|
# numpy mtrand expects a C long which is a signed 32 bit integer under
|
|
# Windows
|
|
seed = random_state.randint(0, np.iinfo(np.int32).max)
|
|
|
|
tol = self.tol if self.tol is not None else -np.inf
|
|
|
|
one_class = 1
|
|
# There are no class weights for the One-Class SVM and they are
|
|
# therefore set to 1.
|
|
pos_weight = 1
|
|
neg_weight = 1
|
|
|
|
if self.average:
|
|
coef = self._standard_coef
|
|
intercept = self._standard_intercept
|
|
average_coef = self._average_coef
|
|
average_intercept = self._average_intercept
|
|
else:
|
|
coef = self.coef_
|
|
intercept = 1 - self.offset_
|
|
average_coef = None # Not used
|
|
average_intercept = [0] # Not used
|
|
|
|
_plain_sgd = _get_plain_sgd_function(input_dtype=coef.dtype)
|
|
coef, intercept, average_coef, average_intercept, self.n_iter_ = _plain_sgd(
|
|
coef,
|
|
intercept[0],
|
|
average_coef,
|
|
average_intercept[0],
|
|
self._loss_function_,
|
|
penalty_type,
|
|
alpha,
|
|
C,
|
|
self.l1_ratio,
|
|
dataset,
|
|
validation_mask,
|
|
self.early_stopping,
|
|
validation_score_cb,
|
|
int(self.n_iter_no_change),
|
|
max_iter,
|
|
tol,
|
|
int(self.fit_intercept),
|
|
int(self.verbose),
|
|
int(self.shuffle),
|
|
seed,
|
|
neg_weight,
|
|
pos_weight,
|
|
learning_rate_type,
|
|
self.eta0,
|
|
self.power_t,
|
|
one_class,
|
|
self.t_,
|
|
offset_decay,
|
|
self.average,
|
|
)
|
|
|
|
self.t_ += self.n_iter_ * n_samples
|
|
|
|
if self.average > 0:
|
|
self._average_intercept = np.atleast_1d(average_intercept)
|
|
self._standard_intercept = np.atleast_1d(intercept)
|
|
|
|
if self.average <= self.t_ - 1.0:
|
|
# made enough updates for averaging to be taken into account
|
|
self.coef_ = average_coef
|
|
self.offset_ = 1 - np.atleast_1d(average_intercept)
|
|
else:
|
|
self.coef_ = coef
|
|
self.offset_ = 1 - np.atleast_1d(intercept)
|
|
|
|
else:
|
|
self.offset_ = 1 - np.atleast_1d(intercept)
|
|
|
|
def _partial_fit(
|
|
self,
|
|
X,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
max_iter,
|
|
sample_weight,
|
|
coef_init,
|
|
offset_init,
|
|
):
|
|
first_call = getattr(self, "coef_", None) is None
|
|
X = self._validate_data(
|
|
X,
|
|
None,
|
|
accept_sparse="csr",
|
|
dtype=[np.float64, np.float32],
|
|
order="C",
|
|
accept_large_sparse=False,
|
|
reset=first_call,
|
|
)
|
|
|
|
if first_call:
|
|
# TODO(1.7) remove 0 from average parameter constraint
|
|
if not isinstance(self.average, (bool, np.bool_)) and self.average == 0:
|
|
warnings.warn(
|
|
(
|
|
"Passing average=0 to disable averaging is deprecated and will"
|
|
" be removed in 1.7. Please use average=False instead."
|
|
),
|
|
FutureWarning,
|
|
)
|
|
|
|
n_features = X.shape[1]
|
|
|
|
# Allocate datastructures from input arguments
|
|
sample_weight = _check_sample_weight(sample_weight, X, dtype=X.dtype)
|
|
|
|
# We use intercept = 1 - offset where intercept is the intercept of
|
|
# the SGD implementation and offset is the offset of the One-Class SVM
|
|
# optimization problem.
|
|
if getattr(self, "coef_", None) is None or coef_init is not None:
|
|
self._allocate_parameter_mem(
|
|
n_classes=1,
|
|
n_features=n_features,
|
|
input_dtype=X.dtype,
|
|
coef_init=coef_init,
|
|
intercept_init=offset_init,
|
|
one_class=1,
|
|
)
|
|
elif n_features != self.coef_.shape[-1]:
|
|
raise ValueError(
|
|
"Number of features %d does not match previous data %d."
|
|
% (n_features, self.coef_.shape[-1])
|
|
)
|
|
|
|
if self.average and getattr(self, "_average_coef", None) is None:
|
|
self._average_coef = np.zeros(n_features, dtype=X.dtype, order="C")
|
|
self._average_intercept = np.zeros(1, dtype=X.dtype, order="C")
|
|
|
|
self._loss_function_ = self._get_loss_function(loss)
|
|
if not hasattr(self, "t_"):
|
|
self.t_ = 1.0
|
|
|
|
# delegate to concrete training procedure
|
|
self._fit_one_class(
|
|
X,
|
|
alpha=alpha,
|
|
C=C,
|
|
learning_rate=learning_rate,
|
|
sample_weight=sample_weight,
|
|
max_iter=max_iter,
|
|
)
|
|
|
|
return self
|
|
|
|
@_fit_context(prefer_skip_nested_validation=True)
|
|
def partial_fit(self, X, y=None, sample_weight=None):
|
|
"""Fit linear One-Class SVM with Stochastic Gradient Descent.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Subset of the training data.
|
|
y : Ignored
|
|
Not used, present for API consistency by convention.
|
|
|
|
sample_weight : array-like, shape (n_samples,), optional
|
|
Weights applied to individual samples.
|
|
If not provided, uniform weights are assumed.
|
|
|
|
Returns
|
|
-------
|
|
self : object
|
|
Returns a fitted instance of self.
|
|
"""
|
|
if not hasattr(self, "coef_"):
|
|
self._more_validate_params(for_partial_fit=True)
|
|
|
|
alpha = self.nu / 2
|
|
return self._partial_fit(
|
|
X,
|
|
alpha,
|
|
C=1.0,
|
|
loss=self.loss,
|
|
learning_rate=self.learning_rate,
|
|
max_iter=1,
|
|
sample_weight=sample_weight,
|
|
coef_init=None,
|
|
offset_init=None,
|
|
)
|
|
|
|
def _fit(
|
|
self,
|
|
X,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
coef_init=None,
|
|
offset_init=None,
|
|
sample_weight=None,
|
|
):
|
|
# TODO(1.7) remove 0 from average parameter constraint
|
|
if not isinstance(self.average, (bool, np.bool_)) and self.average == 0:
|
|
warnings.warn(
|
|
(
|
|
"Passing average=0 to disable averaging is deprecated and will be "
|
|
"removed in 1.7. Please use average=False instead."
|
|
),
|
|
FutureWarning,
|
|
)
|
|
|
|
if self.warm_start and hasattr(self, "coef_"):
|
|
if coef_init is None:
|
|
coef_init = self.coef_
|
|
if offset_init is None:
|
|
offset_init = self.offset_
|
|
else:
|
|
self.coef_ = None
|
|
self.offset_ = None
|
|
|
|
# Clear iteration count for multiple call to fit.
|
|
self.t_ = 1.0
|
|
|
|
self._partial_fit(
|
|
X,
|
|
alpha,
|
|
C,
|
|
loss,
|
|
learning_rate,
|
|
self.max_iter,
|
|
sample_weight,
|
|
coef_init,
|
|
offset_init,
|
|
)
|
|
|
|
if (
|
|
self.tol is not None
|
|
and self.tol > -np.inf
|
|
and self.n_iter_ == self.max_iter
|
|
):
|
|
warnings.warn(
|
|
(
|
|
"Maximum number of iteration reached before "
|
|
"convergence. Consider increasing max_iter to "
|
|
"improve the fit."
|
|
),
|
|
ConvergenceWarning,
|
|
)
|
|
|
|
return self
|
|
|
|
@_fit_context(prefer_skip_nested_validation=True)
|
|
def fit(self, X, y=None, coef_init=None, offset_init=None, sample_weight=None):
|
|
"""Fit linear One-Class SVM with Stochastic Gradient Descent.
|
|
|
|
This solves an equivalent optimization problem of the
|
|
One-Class SVM primal optimization problem and returns a weight vector
|
|
w and an offset rho such that the decision function is given by
|
|
<w, x> - rho.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Training data.
|
|
y : Ignored
|
|
Not used, present for API consistency by convention.
|
|
|
|
coef_init : array, shape (n_classes, n_features)
|
|
The initial coefficients to warm-start the optimization.
|
|
|
|
offset_init : array, shape (n_classes,)
|
|
The initial offset to warm-start the optimization.
|
|
|
|
sample_weight : array-like, shape (n_samples,), optional
|
|
Weights applied to individual samples.
|
|
If not provided, uniform weights are assumed. These weights will
|
|
be multiplied with class_weight (passed through the
|
|
constructor) if class_weight is specified.
|
|
|
|
Returns
|
|
-------
|
|
self : object
|
|
Returns a fitted instance of self.
|
|
"""
|
|
self._more_validate_params()
|
|
|
|
alpha = self.nu / 2
|
|
self._fit(
|
|
X,
|
|
alpha=alpha,
|
|
C=1.0,
|
|
loss=self.loss,
|
|
learning_rate=self.learning_rate,
|
|
coef_init=coef_init,
|
|
offset_init=offset_init,
|
|
sample_weight=sample_weight,
|
|
)
|
|
|
|
return self
|
|
|
|
def decision_function(self, X):
|
|
"""Signed distance to the separating hyperplane.
|
|
|
|
Signed distance is positive for an inlier and negative for an
|
|
outlier.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Testing data.
|
|
|
|
Returns
|
|
-------
|
|
dec : array-like, shape (n_samples,)
|
|
Decision function values of the samples.
|
|
"""
|
|
|
|
check_is_fitted(self, "coef_")
|
|
|
|
X = self._validate_data(X, accept_sparse="csr", reset=False)
|
|
decisions = safe_sparse_dot(X, self.coef_.T, dense_output=True) - self.offset_
|
|
|
|
return decisions.ravel()
|
|
|
|
def score_samples(self, X):
|
|
"""Raw scoring function of the samples.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Testing data.
|
|
|
|
Returns
|
|
-------
|
|
score_samples : array-like, shape (n_samples,)
|
|
Unshiffted scoring function values of the samples.
|
|
"""
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|
score_samples = self.decision_function(X) + self.offset_
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|
return score_samples
|
|
|
|
def predict(self, X):
|
|
"""Return labels (1 inlier, -1 outlier) of the samples.
|
|
|
|
Parameters
|
|
----------
|
|
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
|
Testing data.
|
|
|
|
Returns
|
|
-------
|
|
y : array, shape (n_samples,)
|
|
Labels of the samples.
|
|
"""
|
|
y = (self.decision_function(X) >= 0).astype(np.int32)
|
|
y[y == 0] = -1 # for consistency with outlier detectors
|
|
return y
|
|
|
|
def _more_tags(self):
|
|
return {
|
|
"_xfail_checks": {
|
|
"check_sample_weights_invariance": (
|
|
"zero sample_weight is not equivalent to removing samples"
|
|
)
|
|
},
|
|
"preserves_dtype": [np.float64, np.float32],
|
|
}
|