// // LinReg.cpp // // Created by Marc Melikyan on 10/2/20. // #include "lin_reg_old.h" #include "../cost/cost_old.h" #include "../lin_alg/lin_alg_old.h" #include "../regularization/reg_old.h" #include "../stat/stat_old.h" #include "../utilities/utilities.h" #include #include #include MLPPLinRegOld::MLPPLinRegOld(std::vector> p_inputSet, std::vector p_outputSet, std::string p_reg, real_t p_lambda, real_t p_alpha) { inputSet = p_inputSet; outputSet = p_outputSet; n = p_inputSet.size(); k = p_inputSet[0].size(); reg = p_reg; lambda = p_lambda; alpha = p_alpha; y_hat.resize(n); weights = MLPPUtilities::weightInitialization(k); bias = MLPPUtilities::biasInitialization(); } std::vector MLPPLinRegOld::modelSetTest(std::vector> X) { return Evaluate(X); } real_t MLPPLinRegOld::modelTest(std::vector x) { return Evaluate(x); } void MLPPLinRegOld::NewtonRaphson(real_t learning_rate, int max_epoch, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; forwardPass(); while (true) { cost_prev = Cost(y_hat, outputSet); std::vector error = alg.subtraction(y_hat, outputSet); // Calculating the weight gradients (2nd derivative) std::vector first_derivative = alg.mat_vec_mult(alg.transpose(inputSet), error); std::vector> second_derivative = alg.matmult(alg.transpose(inputSet), inputSet); weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate / n, alg.mat_vec_mult(alg.transpose(alg.inverse(second_derivative)), first_derivative))); weights = regularization.regWeights(weights, lambda, alpha, reg); // Calculating the bias gradients (2nd derivative) bias -= learning_rate * alg.sum_elements(error) / n; // We keep this the same. The 2nd derivative is just [1]. forwardPass(); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputSet)); MLPPUtilities::UI(weights, bias); } epoch++; if (epoch > max_epoch) { break; } } } void MLPPLinRegOld::gradientDescent(real_t learning_rate, int max_epoch, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; forwardPass(); while (true) { cost_prev = Cost(y_hat, outputSet); std::vector error = alg.subtraction(y_hat, outputSet); // Calculating the weight gradients weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate / n, alg.mat_vec_mult(alg.transpose(inputSet), error))); weights = regularization.regWeights(weights, lambda, alpha, reg); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / n; forwardPass(); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputSet)); MLPPUtilities::UI(weights, bias); } epoch++; if (epoch > max_epoch) { break; } } } void MLPPLinRegOld::SGD(real_t learning_rate, int max_epoch, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; while (true) { std::random_device rd; std::default_random_engine generator(rd()); std::uniform_int_distribution distribution(0, int(n - 1)); int outputIndex = distribution(generator); real_t y_hat = Evaluate(inputSet[outputIndex]); cost_prev = Cost({ y_hat }, { outputSet[outputIndex] }); real_t error = y_hat - outputSet[outputIndex]; // Weight updation weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate * error, inputSet[outputIndex])); weights = regularization.regWeights(weights, lambda, alpha, reg); // Bias updation bias -= learning_rate * error; y_hat = Evaluate({ inputSet[outputIndex] }); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost({ y_hat }, { outputSet[outputIndex] })); MLPPUtilities::UI(weights, bias); } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::MBGD(real_t learning_rate, int max_epoch, int mini_batch_size, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; // Creating the mini-batches int n_mini_batch = n / mini_batch_size; auto batches = MLPPUtilities::createMiniBatches(inputSet, outputSet, n_mini_batch); auto inputMiniBatches = std::get<0>(batches); auto outputMiniBatches = std::get<1>(batches); while (true) { for (int i = 0; i < n_mini_batch; i++) { std::vector y_hat = Evaluate(inputMiniBatches[i]); cost_prev = Cost(y_hat, outputMiniBatches[i]); std::vector error = alg.subtraction(y_hat, outputMiniBatches[i]); // Calculating the weight gradients weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate / outputMiniBatches[i].size(), alg.mat_vec_mult(alg.transpose(inputMiniBatches[i]), error))); weights = regularization.regWeights(weights, lambda, alpha, reg); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / outputMiniBatches[i].size(); y_hat = Evaluate(inputMiniBatches[i]); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputMiniBatches[i])); MLPPUtilities::UI(weights, bias); } } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::Momentum(real_t learning_rate, int max_epoch, int mini_batch_size, real_t gamma, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; // Creating the mini-batches int n_mini_batch = n / mini_batch_size; auto batches = MLPPUtilities::createMiniBatches(inputSet, outputSet, n_mini_batch); auto inputMiniBatches = std::get<0>(batches); auto outputMiniBatches = std::get<1>(batches); // Initializing necessary components for Momentum. std::vector v = alg.zerovec(weights.size()); while (true) { for (int i = 0; i < n_mini_batch; i++) { std::vector y_hat = Evaluate(inputMiniBatches[i]); cost_prev = Cost(y_hat, outputMiniBatches[i]); std::vector error = alg.subtraction(y_hat, outputMiniBatches[i]); // Calculating the weight gradients std::vector gradient = alg.scalarMultiply(1 / outputMiniBatches[i].size(), alg.mat_vec_mult(alg.transpose(inputMiniBatches[i]), error)); std::vector RegDerivTerm = regularization.regDerivTerm(weights, lambda, alpha, reg); std::vector weight_grad = alg.addition(gradient, RegDerivTerm); // Weight_grad_final v = alg.addition(alg.scalarMultiply(gamma, v), alg.scalarMultiply(learning_rate, weight_grad)); weights = alg.subtraction(weights, v); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / outputMiniBatches[i].size(); // As normal y_hat = Evaluate(inputMiniBatches[i]); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputMiniBatches[i])); MLPPUtilities::UI(weights, bias); } } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::NAG(real_t learning_rate, int max_epoch, int mini_batch_size, real_t gamma, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; // Creating the mini-batches int n_mini_batch = n / mini_batch_size; auto batches = MLPPUtilities::createMiniBatches(inputSet, outputSet, n_mini_batch); auto inputMiniBatches = std::get<0>(batches); auto outputMiniBatches = std::get<1>(batches); // Initializing necessary components for Momentum. std::vector v = alg.zerovec(weights.size()); while (true) { for (int i = 0; i < n_mini_batch; i++) { weights = alg.subtraction(weights, alg.scalarMultiply(gamma, v)); // "Aposterori" calculation std::vector y_hat = Evaluate(inputMiniBatches[i]); cost_prev = Cost(y_hat, outputMiniBatches[i]); std::vector error = alg.subtraction(y_hat, outputMiniBatches[i]); // Calculating the weight gradients std::vector gradient = alg.scalarMultiply(1 / outputMiniBatches[i].size(), alg.mat_vec_mult(alg.transpose(inputMiniBatches[i]), error)); std::vector RegDerivTerm = regularization.regDerivTerm(weights, lambda, alpha, reg); std::vector weight_grad = alg.addition(gradient, RegDerivTerm); // Weight_grad_final v = alg.addition(alg.scalarMultiply(gamma, v), alg.scalarMultiply(learning_rate, weight_grad)); weights = alg.subtraction(weights, v); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / outputMiniBatches[i].size(); // As normal y_hat = Evaluate(inputMiniBatches[i]); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputMiniBatches[i])); MLPPUtilities::UI(weights, bias); } } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::Adagrad(real_t learning_rate, int max_epoch, int mini_batch_size, real_t e, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; // Creating the mini-batches int n_mini_batch = n / mini_batch_size; auto batches = MLPPUtilities::createMiniBatches(inputSet, outputSet, n_mini_batch); auto inputMiniBatches = std::get<0>(batches); auto outputMiniBatches = std::get<1>(batches); // Initializing necessary components for Adagrad. std::vector v = alg.zerovec(weights.size()); while (true) { for (int i = 0; i < n_mini_batch; i++) { std::vector y_hat = Evaluate(inputMiniBatches[i]); cost_prev = Cost(y_hat, outputMiniBatches[i]); std::vector error = alg.subtraction(y_hat, outputMiniBatches[i]); // Calculating the weight gradients std::vector gradient = alg.scalarMultiply(1 / outputMiniBatches[i].size(), alg.mat_vec_mult(alg.transpose(inputMiniBatches[i]), error)); std::vector RegDerivTerm = regularization.regDerivTerm(weights, lambda, alpha, reg); std::vector weight_grad = alg.addition(gradient, RegDerivTerm); // Weight_grad_final v = alg.hadamard_product(weight_grad, weight_grad); weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate, alg.elementWiseDivision(weight_grad, alg.sqrt(alg.scalarAdd(e, v))))); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / outputMiniBatches[i].size(); // As normal y_hat = Evaluate(inputMiniBatches[i]); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputMiniBatches[i])); MLPPUtilities::UI(weights, bias); } } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::Adadelta(real_t learning_rate, int max_epoch, int mini_batch_size, real_t b1, real_t e, bool UI) { // Adagrad upgrade. Momentum is applied. MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; // Creating the mini-batches int n_mini_batch = n / mini_batch_size; auto batches = MLPPUtilities::createMiniBatches(inputSet, outputSet, n_mini_batch); auto inputMiniBatches = std::get<0>(batches); auto outputMiniBatches = std::get<1>(batches); // Initializing necessary components for Adagrad. std::vector v = alg.zerovec(weights.size()); while (true) { for (int i = 0; i < n_mini_batch; i++) { std::vector y_hat = Evaluate(inputMiniBatches[i]); cost_prev = Cost(y_hat, outputMiniBatches[i]); std::vector error = alg.subtraction(y_hat, outputMiniBatches[i]); // Calculating the weight gradients std::vector gradient = alg.scalarMultiply(1 / outputMiniBatches[i].size(), alg.mat_vec_mult(alg.transpose(inputMiniBatches[i]), error)); std::vector RegDerivTerm = regularization.regDerivTerm(weights, lambda, alpha, reg); std::vector weight_grad = alg.addition(gradient, RegDerivTerm); // Weight_grad_final v = alg.addition(alg.scalarMultiply(b1, v), alg.scalarMultiply(1 - b1, alg.hadamard_product(weight_grad, weight_grad))); weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate, alg.elementWiseDivision(weight_grad, alg.sqrt(alg.scalarAdd(e, v))))); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / outputMiniBatches[i].size(); // As normal y_hat = Evaluate(inputMiniBatches[i]); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputMiniBatches[i])); MLPPUtilities::UI(weights, bias); } } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::Adam(real_t learning_rate, int max_epoch, int mini_batch_size, real_t b1, real_t b2, real_t e, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; // Creating the mini-batches int n_mini_batch = n / mini_batch_size; auto batches = MLPPUtilities::createMiniBatches(inputSet, outputSet, n_mini_batch); auto inputMiniBatches = std::get<0>(batches); auto outputMiniBatches = std::get<1>(batches); // Initializing necessary components for Adam. std::vector m = alg.zerovec(weights.size()); std::vector v = alg.zerovec(weights.size()); while (true) { for (int i = 0; i < n_mini_batch; i++) { std::vector y_hat = Evaluate(inputMiniBatches[i]); cost_prev = Cost(y_hat, outputMiniBatches[i]); std::vector error = alg.subtraction(y_hat, outputMiniBatches[i]); // Calculating the weight gradients std::vector gradient = alg.scalarMultiply(1 / outputMiniBatches[i].size(), alg.mat_vec_mult(alg.transpose(inputMiniBatches[i]), error)); std::vector RegDerivTerm = regularization.regDerivTerm(weights, lambda, alpha, reg); std::vector weight_grad = alg.addition(gradient, RegDerivTerm); // Weight_grad_final m = alg.addition(alg.scalarMultiply(b1, m), alg.scalarMultiply(1 - b1, weight_grad)); v = alg.addition(alg.scalarMultiply(b2, v), alg.scalarMultiply(1 - b2, alg.exponentiate(weight_grad, 2))); std::vector m_hat = alg.scalarMultiply(1 / (1 - pow(b1, epoch)), m); std::vector v_hat = alg.scalarMultiply(1 / (1 - pow(b2, epoch)), v); weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate, alg.elementWiseDivision(m_hat, alg.scalarAdd(e, alg.sqrt(v_hat))))); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / outputMiniBatches[i].size(); // As normal y_hat = Evaluate(inputMiniBatches[i]); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputMiniBatches[i])); MLPPUtilities::UI(weights, bias); } } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::Adamax(real_t learning_rate, int max_epoch, int mini_batch_size, real_t b1, real_t b2, real_t e, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; // Creating the mini-batches int n_mini_batch = n / mini_batch_size; auto batches = MLPPUtilities::createMiniBatches(inputSet, outputSet, n_mini_batch); auto inputMiniBatches = std::get<0>(batches); auto outputMiniBatches = std::get<1>(batches); std::vector m = alg.zerovec(weights.size()); std::vector u = alg.zerovec(weights.size()); while (true) { for (int i = 0; i < n_mini_batch; i++) { std::vector y_hat = Evaluate(inputMiniBatches[i]); cost_prev = Cost(y_hat, outputMiniBatches[i]); std::vector error = alg.subtraction(y_hat, outputMiniBatches[i]); // Calculating the weight gradients std::vector gradient = alg.scalarMultiply(1 / outputMiniBatches[i].size(), alg.mat_vec_mult(alg.transpose(inputMiniBatches[i]), error)); std::vector RegDerivTerm = regularization.regDerivTerm(weights, lambda, alpha, reg); std::vector weight_grad = alg.addition(gradient, RegDerivTerm); // Weight_grad_final m = alg.addition(alg.scalarMultiply(b1, m), alg.scalarMultiply(1 - b1, weight_grad)); u = alg.max(alg.scalarMultiply(b2, u), alg.abs(weight_grad)); std::vector m_hat = alg.scalarMultiply(1 / (1 - pow(b1, epoch)), m); weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate, alg.elementWiseDivision(m_hat, u))); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / outputMiniBatches[i].size(); // As normal y_hat = Evaluate(inputMiniBatches[i]); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputMiniBatches[i])); MLPPUtilities::UI(weights, bias); } } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::Nadam(real_t learning_rate, int max_epoch, int mini_batch_size, real_t b1, real_t b2, real_t e, bool UI) { MLPPLinAlgOld alg; MLPPRegOld regularization; real_t cost_prev = 0; int epoch = 1; // Creating the mini-batches int n_mini_batch = n / mini_batch_size; auto batches = MLPPUtilities::createMiniBatches(inputSet, outputSet, n_mini_batch); auto inputMiniBatches = std::get<0>(batches); auto outputMiniBatches = std::get<1>(batches); // Initializing necessary components for Adam. std::vector m = alg.zerovec(weights.size()); std::vector v = alg.zerovec(weights.size()); std::vector m_final = alg.zerovec(weights.size()); while (true) { for (int i = 0; i < n_mini_batch; i++) { std::vector y_hat = Evaluate(inputMiniBatches[i]); cost_prev = Cost(y_hat, outputMiniBatches[i]); std::vector error = alg.subtraction(y_hat, outputMiniBatches[i]); // Calculating the weight gradients std::vector gradient = alg.scalarMultiply(1 / outputMiniBatches[i].size(), alg.mat_vec_mult(alg.transpose(inputMiniBatches[i]), error)); std::vector RegDerivTerm = regularization.regDerivTerm(weights, lambda, alpha, reg); std::vector weight_grad = alg.addition(gradient, RegDerivTerm); // Weight_grad_final m = alg.addition(alg.scalarMultiply(b1, m), alg.scalarMultiply(1 - b1, weight_grad)); v = alg.addition(alg.scalarMultiply(b2, v), alg.scalarMultiply(1 - b2, alg.exponentiate(weight_grad, 2))); m_final = alg.addition(alg.scalarMultiply(b1, m), alg.scalarMultiply((1 - b1) / (1 - pow(b1, epoch)), weight_grad)); std::vector m_hat = alg.scalarMultiply(1 / (1 - pow(b1, epoch)), m); std::vector v_hat = alg.scalarMultiply(1 / (1 - pow(b2, epoch)), v); weights = alg.subtraction(weights, alg.scalarMultiply(learning_rate, alg.elementWiseDivision(m_final, alg.scalarAdd(e, alg.sqrt(v_hat))))); // Calculating the bias gradients bias -= learning_rate * alg.sum_elements(error) / outputMiniBatches[i].size(); // As normal y_hat = Evaluate(inputMiniBatches[i]); if (UI) { MLPPUtilities::CostInfo(epoch, cost_prev, Cost(y_hat, outputMiniBatches[i])); MLPPUtilities::UI(weights, bias); } } epoch++; if (epoch > max_epoch) { break; } } forwardPass(); } void MLPPLinRegOld::normalEquation() { MLPPLinAlgOld alg; MLPPStatOld stat; std::vector x_means; std::vector> inputSetT = alg.transpose(inputSet); x_means.resize(inputSetT.size()); for (uint32_t i = 0; i < inputSetT.size(); i++) { x_means[i] = (stat.mean(inputSetT[i])); } //try { std::vector temp; temp.resize(k); temp = alg.mat_vec_mult(alg.inverse(alg.matmult(alg.transpose(inputSet), inputSet)), alg.mat_vec_mult(alg.transpose(inputSet), outputSet)); if (std::isnan(temp[0])) { //throw 99; //TODO ERR_FAIL_COND std::cout << "ERR: Resulting matrix was noninvertible/degenerate, and so the normal equation could not be performed. Try utilizing gradient descent." << std::endl; return; } else { if (reg == "Ridge") { weights = alg.mat_vec_mult(alg.inverse(alg.addition(alg.matmult(alg.transpose(inputSet), inputSet), alg.scalarMultiply(lambda, alg.identity(k)))), alg.mat_vec_mult(alg.transpose(inputSet), outputSet)); } else { weights = alg.mat_vec_mult(alg.inverse(alg.matmult(alg.transpose(inputSet), inputSet)), alg.mat_vec_mult(alg.transpose(inputSet), outputSet)); } bias = stat.mean(outputSet) - alg.dot(weights, x_means); forwardPass(); } //} catch (int err_num) { // std::cout << "ERR " << err_num << ": Resulting matrix was noninvertible/degenerate, and so the normal equation could not be performed. Try utilizing gradient descent." << std::endl; //} } real_t MLPPLinRegOld::score() { MLPPUtilities util; return util.performance(y_hat, outputSet); } void MLPPLinRegOld::save(std::string fileName) { MLPPUtilities util; util.saveParameters(fileName, weights, bias); } real_t MLPPLinRegOld::Cost(std::vector y_hat, std::vector y) { MLPPRegOld regularization; class MLPPCostOld cost; return cost.MSE(y_hat, y) + regularization.regTerm(weights, lambda, alpha, reg); } std::vector MLPPLinRegOld::Evaluate(std::vector> X) { MLPPLinAlgOld alg; return alg.scalarAdd(bias, alg.mat_vec_mult(X, weights)); } real_t MLPPLinRegOld::Evaluate(std::vector x) { MLPPLinAlgOld alg; return alg.dot(weights, x) + bias; } // wTx + b void MLPPLinRegOld::forwardPass() { y_hat = Evaluate(inputSet); }