"""Solvers for Ridge and LogisticRegression using SAG algorithm""" # Authors: Tom Dupre la Tour # # Licence: BSD 3 clause import numpy as np import warnings from ..utils import ConvergenceWarning from ..utils import check_array from .base import make_dataset from .sgd_fast import Log, SquaredLoss from .sag_fast import sag, get_max_squared_sum def get_auto_step_size(max_squared_sum, alpha_scaled, loss, fit_intercept): """Compute automatic step size for SAG solver The step size is set to 1 / (alpha_scaled + L + fit_intercept) where L is the max sum of squares for over all samples. Parameters ---------- max_squared_sum : float Maximum squared sum of X over samples. alpha_scaled : float Constant that multiplies the regularization term, scaled by 1. / n_samples, the number of samples. loss : string, in {"log", "squared"} The loss function used in SAG solver. fit_intercept : bool Specifies if a constant (a.k.a. bias or intercept) will be added to the decision function. Returns ------- step_size : float Step size used in SAG solver. """ if loss == 'log': # inverse Lipschitz constant for log loss return 4.0 / (max_squared_sum + int(fit_intercept) + 4.0 * alpha_scaled) elif loss == 'squared': # inverse Lipschitz constant for squared loss return 1.0 / (max_squared_sum + int(fit_intercept) + alpha_scaled) else: raise ValueError("Unknown loss function for SAG solver, got %s " "instead of 'log' or 'squared'" % loss) def sag_solver(X, y, sample_weight=None, loss='log', alpha=1., max_iter=1000, tol=0.001, verbose=0, random_state=None, check_input=True, max_squared_sum=None, warm_start_mem=dict()): """SAG solver for Ridge and LogisticRegression SAG stands for Stochastic Average Gradient: the gradient of the loss is estimated each sample at a time and the model is updated along the way with a constant learning rate. IMPORTANT NOTE: 'sag' solver converges faster on columns that are on the same scale. You can normalize the data by using sklearn.preprocessing.StandardScaler on your data before passing it to the fit method. This implementation works with data represented as dense numpy arrays or sparse scipy arrays of floating point values for the features. It will fit the data according to squared loss or log loss. The regularizer is a penalty added to the loss function that shrinks model parameters towards the zero vector using the squared euclidean norm L2. .. versionadded:: 0.17 Parameters ---------- X : {array-like, sparse matrix}, shape (n_samples, n_features) Training data y : numpy array, shape (n_samples,) Target values sample_weight : array-like, shape (n_samples,), optional Weights applied to individual samples (1. for unweighted). loss : 'log' | 'squared' Loss function that will be optimized. 'log' is used for classification, like in LogisticRegression. 'squared' is used for regression, like in Ridge. alpha : float, optional Constant that multiplies the regularization term. Defaults to 1. max_iter: int, optional The max number of passes over the training data if the stopping criterea is not reached. Defaults to 1000. tol: double, optional The stopping criterea for the weights. The iterations will stop when max(change in weights) / max(weights) < tol. Defaults to .001 verbose: integer, optional The verbosity level. random_state : int seed, RandomState instance, or None (default) The seed of the pseudo random number generator to use when shuffling the data. check_input : bool, default True If False, the input arrays X and y will not be checked. max_squared_sum : float, default None Maximum squared sum of X over samples. If None, it will be computed, going through all the samples. The value should be precomputed to speed up cross validation. warm_start_mem: dict, optional The initialization parameters used for warm starting. It is currently not used in Ridge. Returns ------- coef_ : array, shape (n_features) Weight vector. n_iter_ : int The number of full pass on all samples. warm_start_mem : dict Contains a 'coef' key with the fitted result, and eventually the fitted intercept at the end of the array. Contains also other keys used for warm starting. Examples -------- >>> import numpy as np >>> from sklearn import linear_model >>> n_samples, n_features = 10, 5 >>> np.random.seed(0) >>> X = np.random.randn(n_samples, n_features) >>> y = np.random.randn(n_samples) >>> clf = linear_model.Ridge(solver='sag') >>> clf.fit(X, y) ... #doctest: +NORMALIZE_WHITESPACE Ridge(alpha=1.0, copy_X=True, fit_intercept=True, max_iter=None, normalize=False, random_state=None, solver='sag', tol=0.001) >>> X = np.array([[-1, -1], [-2, -1], [1, 1], [2, 1]]) >>> y = np.array([1, 1, 2, 2]) >>> clf = linear_model.LogisticRegression(solver='sag') >>> clf.fit(X, y) ... #doctest: +NORMALIZE_WHITESPACE LogisticRegression(C=1.0, class_weight=None, dual=False, fit_intercept=True, intercept_scaling=1, max_iter=100, multi_class='ovr', n_jobs=1, penalty='l2', random_state=None, solver='sag', tol=0.0001, verbose=0, warm_start=False) References ---------- Schmidt, M., Roux, N. L., & Bach, F. (2013). Minimizing finite sums with the stochastic average gradient https://hal.inria.fr/hal-00860051/PDF/sag_journal.pdf See also -------- Ridge, SGDRegressor, ElasticNet, Lasso, SVR, and LogisticRegression, SGDClassifier, LinearSVC, Perceptron """ # Ridge default max_iter is None if max_iter is None: max_iter = 1000 if check_input: X = check_array(X, dtype=np.float64, accept_sparse='csr', order='C') y = check_array(y, dtype=np.float64, ensure_2d=False, order='C') n_samples, n_features = X.shape[0], X.shape[1] # As in SGD, the alpha is scaled by n_samples. alpha_scaled = float(alpha) / n_samples # initialization if sample_weight is None: sample_weight = np.ones(n_samples, dtype=np.float64, order='C') if 'coef' in warm_start_mem.keys(): coef_init = warm_start_mem['coef'] else: coef_init = np.zeros(n_features, dtype=np.float64, order='C') # coef_init contains possibly the intercept_init at the end. # Note that Ridge centers the data before fitting, so fit_intercept=False. fit_intercept = coef_init.size == (n_features + 1) if fit_intercept: intercept_init = coef_init[-1] coef_init = coef_init[:-1] else: intercept_init = 0.0 if 'intercept_sum_gradient' in warm_start_mem.keys(): intercept_sum_gradient_init = warm_start_mem['intercept_sum_gradient'] else: intercept_sum_gradient_init = 0.0 if 'gradient_memory' in warm_start_mem.keys(): gradient_memory_init = warm_start_mem['gradient_memory'] else: gradient_memory_init = np.zeros(n_samples, dtype=np.float64, order='C') if 'sum_gradient' in warm_start_mem.keys(): sum_gradient_init = warm_start_mem['sum_gradient'] else: sum_gradient_init = np.zeros(n_features, dtype=np.float64, order='C') if 'seen' in warm_start_mem.keys(): seen_init = warm_start_mem['seen'] else: seen_init = np.zeros(n_samples, dtype=np.int32, order='C') if 'num_seen' in warm_start_mem.keys(): num_seen_init = warm_start_mem['num_seen'] else: num_seen_init = 0 dataset, intercept_decay = make_dataset(X, y, sample_weight, random_state) if max_squared_sum is None: max_squared_sum = get_max_squared_sum(X) step_size = get_auto_step_size(max_squared_sum, alpha_scaled, loss, fit_intercept) if step_size * alpha_scaled == 1: raise ZeroDivisionError("Current sag implementation does not handle " "the case step_size * alpha_scaled == 1") if loss == 'log': class_loss = Log() elif loss == 'squared': class_loss = SquaredLoss() else: raise ValueError("Invalid loss parameter: got %r instead of " "one of ('log', 'squared')" % loss) intercept_, num_seen, n_iter_, intercept_sum_gradient = \ sag(dataset, coef_init.ravel(), intercept_init, n_samples, n_features, tol, max_iter, class_loss, step_size, alpha_scaled, sum_gradient_init.ravel(), gradient_memory_init.ravel(), seen_init.ravel(), num_seen_init, fit_intercept, intercept_sum_gradient_init, intercept_decay, verbose) if n_iter_ == max_iter: warnings.warn("The max_iter was reached which means " "the coef_ did not converge", ConvergenceWarning) coef_ = coef_init if fit_intercept: coef_ = np.append(coef_, intercept_) warm_start_mem = {'coef': coef_, 'sum_gradient': sum_gradient_init, 'intercept_sum_gradient': intercept_sum_gradient, 'gradient_memory': gradient_memory_init, 'seen': seen_init, 'num_seen': num_seen} return coef_, n_iter_, warm_start_mem