test_ridge_regression.py 文件源码

def test_ridge_regression_py(X, Y, _lambda):

    X = X.astype(np.float32)
    Y = Y.astype(np.float32)

    t1 = time.time()

    n, p = X.shape

    if n < p:
        tmp = np.dot(X, X.T)
        if _lambda:
            tmp += _lambda*n*np.eye(n)
        tmp = la.pinv(tmp)

        beta_out = np.dot(np.dot(X.T, tmp), Y.reshape(-1, 1))
    else:
        tmp = np.dot(X.T, X)
        if _lambda:
            tmp += _lambda*n*np.eye(p)
        tmp = la.pinv(tmp)

        beta_out = np.dot(tmp, np.dot(X.T, Y.reshape(-1, 1)))

    t2 = time.time()
    dt = t2-t1

    print("total time (Python): {}".format(dt))
    print(beta_out[:20,0])