# frozen_string_literal: true require 'rumale/linear_model/base_linear_model' require 'rumale/base/classifier' module Rumale module LinearModel # LogisticRegression is a class that implements Logistic Regression # with mini-batch stochastic gradient descent optimization. # For multiclass classification problem, it uses one-vs-the-rest strategy. # # Rumale::SVM provides Logistic Regression based on LIBLINEAR. # If you prefer execution speed, you should use Rumale::SVM::LogisticRegression. # https://github.com/yoshoku/rumale-svm # # @example # estimator = # Rumale::LinearModel::LogisticRegression.new(reg_param: 1.0, max_iter: 1000, batch_size: 20, random_seed: 1) # estimator.fit(training_samples, traininig_labels) # results = estimator.predict(testing_samples) # # *Reference* # - S. Shalev-Shwartz, Y. Singer, N. Srebro, and A. Cotter, "Pegasos: Primal Estimated sub-GrAdient SOlver for SVM," Mathematical Programming, vol. 127 (1), pp. 3--30, 2011. class LogisticRegression < BaseLinearModel include Base::Classifier # Return the weight vector for Logistic Regression. # @return [Numo::DFloat] (shape: [n_classes, n_features]) attr_reader :weight_vec # Return the bias term (a.k.a. intercept) for Logistic Regression. # @return [Numo::DFloat] (shape: [n_classes]) attr_reader :bias_term # Return the class labels. # @return [Numo::Int32] (shape: [n_classes]) attr_reader :classes # Return the random generator for performing random sampling. # @return [Random] attr_reader :rng # Create a new classifier with Logisitc Regression by the SGD optimization. # # @param reg_param [Float] The regularization parameter. # @param fit_bias [Boolean] The flag indicating whether to fit the bias term. # @param bias_scale [Float] The scale of the bias term. # If fit_bias is true, the feature vector v becoms [v; bias_scale]. # @param max_iter [Integer] The maximum number of iterations. # @param batch_size [Integer] The size of the mini batches. # @param optimizer [Optimizer] The optimizer to calculate adaptive learning rate. # If nil is given, Nadam is used. # @param n_jobs [Integer] The number of jobs for running the fit and predict methods in parallel. # If nil is given, the methods do not execute in parallel. # If zero or less is given, it becomes equal to the number of processors. # This parameter is ignored if the Parallel gem is not loaded. # @param random_seed [Integer] The seed value using to initialize the random generator. def initialize(reg_param: 1.0, fit_bias: false, bias_scale: 1.0, max_iter: 1000, batch_size: 20, optimizer: nil, n_jobs: nil, random_seed: nil) check_params_float(reg_param: reg_param, bias_scale: bias_scale) check_params_integer(max_iter: max_iter, batch_size: batch_size) check_params_boolean(fit_bias: fit_bias) check_params_type_or_nil(Integer, n_jobs: n_jobs, random_seed: random_seed) check_params_positive(reg_param: reg_param, bias_scale: bias_scale, max_iter: max_iter, batch_size: batch_size) super @classes = nil end # Fit the model with given training data. # # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The training data to be used for fitting the model. # @param y [Numo::Int32] (shape: [n_samples]) The labels to be used for fitting the model. # @return [LogisticRegression] The learned classifier itself. def fit(x, y) check_sample_array(x) check_label_array(y) check_sample_label_size(x, y) @classes = Numo::Int32[*y.to_a.uniq.sort] n_classes = @classes.size n_features = x.shape[1] if n_classes > 2 @weight_vec = Numo::DFloat.zeros(n_classes, n_features) @bias_term = Numo::DFloat.zeros(n_classes) if enable_parallel? # :nocov: models = parallel_map(n_classes) do |n| bin_y = Numo::Int32.cast(y.eq(@classes[n])) * 2 - 1 partial_fit(x, bin_y) end # :nocov: n_classes.times { |n| @weight_vec[n, true], @bias_term[n] = models[n] } else n_classes.times do |n| bin_y = Numo::Int32.cast(y.eq(@classes[n])) * 2 - 1 @weight_vec[n, true], @bias_term[n] = partial_fit(x, bin_y) end end else negative_label = y.to_a.uniq.min bin_y = Numo::Int32.cast(y.ne(negative_label)) * 2 - 1 @weight_vec, @bias_term = partial_fit(x, bin_y) end self end # Calculate confidence scores for samples. # # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to compute the scores. # @return [Numo::DFloat] (shape: [n_samples, n_classes]) Confidence score per sample. def decision_function(x) check_sample_array(x) x.dot(@weight_vec.transpose) + @bias_term end # Predict class labels for samples. # # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the labels. # @return [Numo::Int32] (shape: [n_samples]) Predicted class label per sample. def predict(x) check_sample_array(x) return Numo::Int32.cast(predict_proba(x)[true, 1].ge(0.5)) * 2 - 1 if @classes.size <= 2 n_samples, = x.shape decision_values = predict_proba(x) predicted = if enable_parallel? parallel_map(n_samples) { |n| @classes[decision_values[n, true].max_index] } else Array.new(n_samples) { |n| @classes[decision_values[n, true].max_index] } end Numo::Int32.asarray(predicted) end # Predict probability for samples. # # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the probailities. # @return [Numo::DFloat] (shape: [n_samples, n_classes]) Predicted probability of each class per sample. def predict_proba(x) check_sample_array(x) proba = 1.0 / (Numo::NMath.exp(-decision_function(x)) + 1.0) return (proba.transpose / proba.sum(axis: 1)).transpose if @classes.size > 2 n_samples, = x.shape probs = Numo::DFloat.zeros(n_samples, 2) probs[true, 1] = proba probs[true, 0] = 1.0 - proba probs end # Dump marshal data. # @return [Hash] The marshal data about LogisticRegression. def marshal_dump { params: @params, weight_vec: @weight_vec, bias_term: @bias_term, classes: @classes, rng: @rng } end # Load marshal data. # @return [nil] def marshal_load(obj) @params = obj[:params] @weight_vec = obj[:weight_vec] @bias_term = obj[:bias_term] @classes = obj[:classes] @rng = obj[:rng] nil end private def calc_loss_gradient(x, y, weight) y / (Numo::NMath.exp(-y * x.dot(weight)) + 1.0) - y end end end end