com.expleague.ml.methods.linearRegressionExperiments.RidgeRegression Maven / Gradle / Ivy
package com.expleague.ml.methods.linearRegressionExperiments;
import com.expleague.commons.math.vectors.Mx;
import com.expleague.commons.math.vectors.MxTools;
import com.expleague.commons.math.vectors.impl.vectors.ArrayVec;
import com.expleague.ml.data.set.VecDataSet;
import com.expleague.ml.func.Linear;
import com.expleague.commons.math.vectors.Vec;
import com.expleague.commons.math.vectors.impl.mx.VecBasedMx;
import com.expleague.commons.util.ThreadTools;
import com.expleague.ml.loss.L2;
import com.expleague.ml.methods.VecOptimization;
import java.util.concurrent.CountDownLatch;
import java.util.concurrent.ThreadPoolExecutor;
/**
* Created by noxoomo on 10/06/15.
*/
public class RidgeRegression implements VecOptimization {
final double alpha;
final double multiplyArrayVec(Vec left, Vec right) {
assert (left.dim() == right.dim());
int size = (left.dim() / 4) * 4;
double result = 0;
for (int i = 0; i < size; i += 4) {
final double la = left.get(i);
final double lb = left.get(i + 1);
final double lc = left.get(i + 2);
final double ld = left.get(i + 3);
final double ra = right.get(i);
final double rb = right.get(i + 1);
final double rc = right.get(i + 2);
final double rd = right.get(i + 3);
final double dpa = la * ra;
final double dpb = lb * rb;
final double dpc = lc * rc;
final double dpd = ld * rd;
result += (dpa + dpb) + (dpc + dpd);
}
for (int i = size; i < left.dim(); ++i) {
result += left.get(i) * right.get(i);
}
return result;
}
public RidgeRegression(double alpha) {
this.alpha = alpha;
}
@Override
public Linear fit(VecDataSet learn, L2 l2) {
Vec target = l2.target;
Mx data = learn.data();
return new Linear(fit(data, target));
}
static final ThreadPoolExecutor exec = ThreadTools.createBGExecutor("Ridge dot-products thread", -1);
;
final public Vec fit(final Mx data, final Vec target) {
final Mx cov = new VecBasedMx(data.columns(), data.columns());
final Vec covTargetWithFeatures = new ArrayVec(data.columns());
final CountDownLatch latch = new CountDownLatch(data.columns());
for (int col = 0; col < data.columns(); ++col) {
final int i = col;
exec.submit((Runnable) () -> {
final Vec feature = data.col(i);
cov.set(i, i, multiplyArrayVec(feature, feature));
cov.adjust(i, i, alpha);
covTargetWithFeatures.set(i, multiplyArrayVec(feature, target));
for (int j = i + 1; j < data.columns(); ++j) {
final double val = multiplyArrayVec(feature, data.col(j));
cov.set(i, j, val);
cov.set(j, i, val);
}
latch.countDown();
});
}
try {
latch.await();
} catch (InterruptedException e) {
//
}
Mx invCov = MxTools.inverse(cov);
return MxTools.multiply(invCov, covTargetWithFeatures);
}
}
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