smile.validation.LOOCV Maven / Gradle / Ivy
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/*
* Copyright (c) 2010-2021 Haifeng Li. All rights reserved.
*
* Smile is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* Smile is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with Smile. If not, see .
*/
package smile.validation;
import java.util.Arrays;
import java.util.function.BiFunction;
import smile.classification.Classifier;
import smile.classification.DataFrameClassifier;
import smile.data.DataFrame;
import smile.data.formula.Formula;
import smile.math.MathEx;
import smile.regression.Regression;
import smile.regression.DataFrameRegression;
import smile.validation.metric.*;
import smile.validation.metric.Error;
/**
* Leave-one-out cross validation. LOOCV uses a single observation
* from the original sample as the validation data, and the remaining
* observations as the training data. This is repeated such that each
* observation in the sample is used once as the validation data. This is
* the same as a K-fold cross-validation with K being equal to the number of
* observations in the original sample. Leave-one-out cross-validation is
* usually very expensive from a computational point of view because of the
* large number of times the training process is repeated.
*
* @author Haifeng Li
*/
public interface LOOCV {
/**
* Returns the training sample index for each round.
* @param n the number of samples.
* @return The index of training instances for each round.
* The left one of i-th round is i-th sample.
*/
static int[][] of(int n) {
if (n < 0) {
throw new IllegalArgumentException("Invalid sample size: " + n);
}
int[][] train = new int[n][n-1];
for (int i = 0; i < n; i++) {
int p = 0;
for (int j = 0; j < i; j++) {
train[i][p++] = j;
}
for (int j = i+1; j < n; j++) {
train[i][p++] = j;
}
}
return train;
}
/**
* Runs leave-one-out cross validation tests.
* @param x the training data.
* @param y the class labels of training data.
* @param trainer the lambda to train the model.
* @param the data type of samples.
* @param the model type.
* @return the validation results.
*/
static > ClassificationMetrics classification(T[] x, int[] y, BiFunction trainer) {
int k = MathEx.unique(y).length;
int n = x.length;
int[][] train = LOOCV.of(n);
int[] prediction = new int[n];
double[][] posteriori = new double[n][k];
long fitTime = 0;
long scoreTime = 0;
boolean soft = false;
for (int i = 0; i < n; i++) {
T[] trainx = MathEx.slice(x, train[i]);
int[] trainy = MathEx.slice(y, train[i]);
long start = System.nanoTime();
M model = trainer.apply(trainx, trainy);
fitTime += System.nanoTime() - start;
start = System.nanoTime();
if (model.soft()) {
soft = true;
prediction[i] = model.predict(x[i], posteriori[i]);
} else {
prediction[i] = model.predict(x[i]);
}
scoreTime += System.nanoTime() - start;
}
int error = Error.of(y, prediction);
double accuracy = Accuracy.of(y, prediction);
if (soft) {
if (k == 2) {
double[] probability = Arrays.stream(posteriori).mapToDouble(p -> p[1]).toArray();
return new ClassificationMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n, error, accuracy,
Sensitivity.of(y, prediction),
Specificity.of(y, prediction),
Precision.of(y, prediction),
FScore.F1.score(y, prediction),
MatthewsCorrelation.of(y, prediction),
AUC.of(y, probability),
LogLoss.of(y, probability),
CrossEntropy.of(y, posteriori));
} else {
return new ClassificationMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n, error, accuracy,
Double.NaN, Double.NaN, Double.NaN, Double.NaN,
Double.NaN, Double.NaN, Double.NaN,
CrossEntropy.of(y, posteriori));
}
} else {
if (k == 2) {
return new ClassificationMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n, error, accuracy,
Sensitivity.of(y, prediction),
Specificity.of(y, prediction),
Precision.of(y, prediction),
FScore.F1.score(y, prediction),
MatthewsCorrelation.of(y, prediction),
Double.NaN, Double.NaN, Double.NaN);
} else {
return new ClassificationMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n, error, accuracy,
Double.NaN, Double.NaN, Double.NaN, Double.NaN,
Double.NaN, Double.NaN, Double.NaN,
CrossEntropy.of(y, posteriori));
}
}
}
/**
* Runs leave-one-out cross validation tests.
* @param formula the model formula.
* @param data the training data.
* @param trainer the lambda to train the model.
* @return the validation results.
*/
static ClassificationMetrics classification(Formula formula, DataFrame data, BiFunction trainer) {
int[] y = formula.y(data).toIntArray();
int k = MathEx.unique(y).length;
int n = y.length;
int[][] train = LOOCV.of(n);
int[] prediction = new int[n];
double[][] posteriori = new double[n][k];
long fitTime = 0;
long scoreTime = 0;
boolean soft = false;
for (int i = 0; i < n; i++) {
long start = System.nanoTime();
DataFrameClassifier model = trainer.apply(formula, data.of(train[i]));
fitTime += System.nanoTime() - start;
start = System.nanoTime();
if (model.soft()) {
soft = true;
prediction[i] = model.predict(data.get(i), posteriori[i]);
} else {
prediction[i] = model.predict(data.get(i));
}
scoreTime += System.nanoTime() - start;
}
int error = Error.of(y, prediction);
double accuracy = Accuracy.of(y, prediction);
if (soft) {
if (k == 2) {
double[] probability = Arrays.stream(posteriori).mapToDouble(p -> p[1]).toArray();
return new ClassificationMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n, error, accuracy,
Sensitivity.of(y, prediction),
Specificity.of(y, prediction),
Precision.of(y, prediction),
FScore.F1.score(y, prediction),
MatthewsCorrelation.of(y, prediction),
AUC.of(y, probability),
LogLoss.of(y, probability),
CrossEntropy.of(y, posteriori));
} else {
return new ClassificationMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n, error, accuracy,
Double.NaN, Double.NaN, Double.NaN, Double.NaN,
Double.NaN, Double.NaN, Double.NaN,
CrossEntropy.of(y, posteriori));
}
} else {
if (k == 2) {
return new ClassificationMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n, error, accuracy,
Sensitivity.of(y, prediction),
Specificity.of(y, prediction),
Precision.of(y, prediction),
FScore.F1.score(y, prediction),
MatthewsCorrelation.of(y, prediction),
Double.NaN, Double.NaN, Double.NaN);
} else {
return new ClassificationMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n, error, accuracy,
Double.NaN, Double.NaN, Double.NaN, Double.NaN,
Double.NaN, Double.NaN, Double.NaN,
CrossEntropy.of(y, posteriori));
}
}
}
/**
* Runs leave-one-out cross validation tests.
* @param x the training data.
* @param y the responsible variable of training data.
* @param trainer the lambda to train the model.
* @param the data type of samples.
* @param the model type.
* @return the validation results.
*/
static > RegressionMetrics regression(T[] x, double[] y, BiFunction trainer) {
int n = x.length;
int[][] train = LOOCV.of(n);
double[] prediction = new double[n];
long fitTime = 0;
long scoreTime = 0;
for (int i = 0; i < n; i++) {
T[] trainx = MathEx.slice(x, train[i]);
double[] trainy = MathEx.slice(y, train[i]);
long start = System.nanoTime();
M model = trainer.apply(trainx, trainy);
fitTime += System.nanoTime() - start;
start = System.nanoTime();
prediction[i] = model.predict(x[i]);
scoreTime += System.nanoTime() - start;
}
return new RegressionMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n,
RSS.of(y, prediction),
MSE.of(y, prediction),
RMSE.of(y, prediction),
MAD.of(y, prediction),
R2.of(y, prediction)
);
}
/**
* Runs leave-one-out cross validation tests.
* @param formula the model formula.
* @param data the training data.
* @param trainer the lambda to train the model.
* @return the validation results.
*/
static RegressionMetrics regression(Formula formula, DataFrame data, BiFunction trainer) {
int n = data.size();
int[][] train = LOOCV.of(n);
double[] y = formula.y(data).toDoubleArray();
double[] prediction = new double[n];
long fitTime = 0;
long scoreTime = 0;
for (int i = 0; i < n; i++) {
long start = System.nanoTime();
DataFrameRegression model = trainer.apply(formula, data.of(train[i]));
fitTime += System.nanoTime() - start;
start = System.nanoTime();
prediction[i] = model.predict(data.get(i));
scoreTime += System.nanoTime() - start;
}
return new RegressionMetrics(
fitTime / (n * 1E6),
scoreTime / (n * 1E6),
n,
RSS.of(y, prediction),
MSE.of(y, prediction),
RMSE.of(y, prediction),
MAD.of(y, prediction),
R2.of(y, prediction)
);
}
}