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1.2 LASSO、岭和 Elastic Net
当参数变多的时候，就要考虑使用正则化进行限制，防止过拟合。
操作步骤
导入所需的包。
import tensorflow as tf
import numpy as np
import matplotlib.pyplot as plt
import sklearn.datasets as ds
import sklearn.model_selection as ms
导入数据，并进行预处理。我们使用波士顿数据集所有数据的全部特征。
boston = ds.load_boston()
x_ = boston.data
y_ = np.expand_dims(boston.target, 1)
x_train, x_test, y_train, y_test = \
ms.train_test_split(x_, y_, train_size=0.7, test_size=0.3)
mu_train = x_train.mean(0)
sigma_train = x_train.std(0)
x_train = (x_train - mu_train) / sigma_train
x_test = (x_test - mu_train) / sigma_train
定义超参数。
n_input = 13
n_epoch = 2000
lr = 0.05
lam = 0.1
l1_ratio = 0.5
| 变量 | 含义 |
|---|---|
n_input |
样本特征数 |
n_epoch |
迭代数 |
lr |
学习率 |
lam |
正则化系数 |
l1_ratio |
L1 正则化比例。如果它是 1，模型为 LASSO 回归；如果它是 0，模型为岭回归；如果在 01 之间，模型为 Elastic Net。 |
搭建模型。
| 变量 | 含义 |
|---|---|
x |
输入 |
y |
真实标签 |
w |
权重 |
b |
偏置 |
z |
输出，也就是标签预测值 |
x = tf.placeholder(tf.float64, [None, n_input])
y = tf.placeholder(tf.float64, [None, 1])
w = tf.Variable(np.random.rand(n_input, 1))
b = tf.Variable(np.random.rand(1, 1))
z = x @ w + b
定义损失、优化操作、和 R 方度量指标。
我们在 MSE 基础上加上两个正则项：
| 变量 | 含义 |
|---|---|
mse_loss |
MSE 损失 |
l1_loss |
L1 损失 |
l2_loss |
L2 损失 |
loss |
总损失 |
op |
优化操作 |
y_mean |
y的均值 |
r_sqr |
R 方值 |
mse_loss = tf.reduce_mean((z - y) ** 2)
l1_loss = lam * l1_ratio * tf.reduce_sum(tf.abs(w))
l2_loss = lam * (1 - l1_ratio) * tf.reduce_sum(w ** 2)
loss = mse_loss + l1_loss + l2_loss
op = tf.train.AdamOptimizer(lr).minimize(loss)
y_mean = tf.reduce_mean(y)
r_sqr = 1 - tf.reduce_sum((y - z) ** 2) / tf.reduce_sum((y - y_mean) ** 2)
使用训练集训练模型。
losses = []
r_sqrs = []
with tf.Session() as sess:
sess.run(tf.global_variables_initializer())
for e in range(n_epoch):
_, loss_ = sess.run([op, loss], feed_dict={x: x_train, y: y_train})
losses.append(loss_)
使用测试集计算 R 方。
r_sqr_ = sess.run(r_sqr, feed_dict={x: x_test, y: y_test})
r_sqrs.append(r_sqr_)
每一百步打印损失和度量值。
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if e % 100 == 0:
print(f'epoch: {e}, loss: {loss_}, r_sqr: {r_sqr_}')
输出：
epoch: 0, loss: 601.4143942455931, r_sqr: -5.632461200109857
epoch: 100, loss: 337.83817233312953, r_sqr: -2.8921127959091235
epoch: 200, loss: 205.95485710264686, r_sqr: -1.3905038082279204
epoch: 300, loss: 122.56157140781264, r_sqr: -0.4299323503419834
epoch: 400, loss: 73.34245865955972, r_sqr: 0.13473129501015224
epoch: 500, loss: 46.62652385307641, r_sqr: 0.4391669119513518
epoch: 600, loss: 33.418871666746185, r_sqr: 0.5880392599137905
epoch: 700, loss: 27.51559958401544, r_sqr: 0.6533498987634062
epoch: 800, loss: 25.14275351335227, r_sqr: 0.6787325098436232
epoch: 900, loss: 24.28818622078879, r_sqr: 0.6872955402664112
epoch: 1000, loss: 24.01321943982539, r_sqr: 0.689688496343003
epoch: 1100, loss: 23.93439017638524, r_sqr: 0.6901611522536858
epoch: 1200, loss: 23.914316369424643, r_sqr: 0.690163604062231
epoch: 1300, loss: 23.909792588385457, r_sqr: 0.6901031472929803
epoch: 1400, loss: 23.908894366923214, r_sqr: 0.6900616479035429
epoch: 1500, loss: 23.90873804289015, r_sqr: 0.6900411329923608
epoch: 1600, loss: 23.90871433783755, r_sqr: 0.6900324529674866
epoch: 1700, loss: 23.908711226897406, r_sqr: 0.690029151344134
epoch: 1800, loss: 23.908710876248833, r_sqr: 0.6900280037335323
epoch: 1900, loss: 23.908710842591514, r_sqr: 0.6900276378081478
绘制训练集上的损失。
plt.figure()
plt.plot(losses)
plt.title('Loss on Training Set')
plt.xlabel('#epoch')
plt.ylabel('MSE')
plt.show()
绘制测试集上的 R 方。
plt.figure()
plt.plot(r_sqrs)
plt.title('$R^2$ on Testing Set')
plt.xlabel('#epoch')
plt.ylabel('$R^2$')
plt.show()
