python类BayesianRidge()的实例源码

def __init__(self, num_features, training_window, training_interval):
        """
        num_features: the length of the feature vector
        training_window: the number of previous data points to train on
        training_interval: the number of data points between training periods
        """
        self.num_features = num_features
        self.training_interval = training_interval
        self.training_window = training_window

        # Init sample matrix, a deque of feature vectors
        self.samples = deque(maxlen=training_window)
        self.targets = deque(maxlen=training_window)

        #self.model = SVR(kernel='rbf', C=1000)
        self.model = BayesianRidge()
        self.severity = blr.Severity()
        self.alpha = 1.0
        self.parameters = 0     # Training parameters
        self.train_count = 0
        self.have_trained = False
        self.pred_range = [0.0, np.inf]   # upper and lower bounds for predictions

def train_bayesian_ridge():
    # Picking model
    return mp.ModelProperties(regression=True), linear_model.BayesianRidge()


# http://scikit-learn.org/stable/modules/generated/sklearn.svm.SVR.html

def get_models4ensamble(conf):
    models = []
    #models = [RFRModel(conf), DLModel(conf), LRModel(conf)]
    #models = [LRModel(conf)]
    # see http://scikit-learn.org/stable/modules/linear_model.html

    #0 was too big to run with depth set to 1, and 1 was overfitting a bit

    if conf.command == 1:
        xgb_params = {"objective": "reg:linear", "booster":"gbtree", "max_depth":3, "eta":0.1, "min_child_weight":5,
            "subsample":0.5, "nthread":4, "colsample_bytree":0.5, "num_parallel_tree":1, 'gamma':0}
    else:
        xgb_params = {"objective": "reg:linear", "booster":"gbtree", "max_depth":10, "eta":0.1, "min_child_weight":8,
            "subsample":0.5, "nthread":4, "colsample_bytree":0.5, "num_parallel_tree":1, 'gamma':0}

    #xgb_params = {"objective": "reg:linear", "booster":"gbtree", "max_depth":10, "eta":0.1, "min_child_weight":8,
    #    "subsample":0.5, "nthread":4, "colsample_bytree":0.5, "num_parallel_tree":1, 'gamma':0}

    models = [
                #DLModel(conf),

                #LRModel(conf, model=linear_model.BayesianRidge()),
                #LRModel(conf, model=linear_model.LassoLars(alpha=.1)),
                #LRModel(conf, model=linear_model.Lasso(alpha = 0.1)),
                #LRModel(conf, model=Pipeline([('poly', PolynomialFeatures(degree=3)),
                #LRModel(conf, model=linear_model.Ridge (alpha = .5))
                #   ('linear', LinearRegression(fit_intercept=False))])),
                XGBoostModel(conf, xgb_params, use_cv=True),
                LRModel(conf, model=linear_model.Lasso(alpha = 0.3)),
                RFRModel(conf, RandomForestRegressor(oob_score=True, n_jobs=4)),
                #LRModel(conf, model=linear_model.Lasso(alpha = 0.2)),
                ETRModel(conf, model=ExtraTreesRegressor(n_jobs=4)),
                #AdaBoostRModel(conf, model=AdaBoostRegressor(loss='square'))
              ]
    return models
    #return [XGBoostModel(conf, xgb_params, use_cv=True)]

def sklearn_train(X, y):
    model = BayesianRidge().fit(X, y)
    beta = model.alpha_     # model.alpha_ is the noise precision ('beta' in Bishop)
    alpha = model.lambda_   # model.lambda_ is the weights precision ('alpha' in Bishop)

    PhiT_Phi = X.T * X
    M = X.shape[1]
    S_N = np.linalg.pinv(alpha*np.eye(M) + beta*PhiT_Phi)
    m_N = beta * np.dot(S_N, np.dot(y, X).T)
    w_opt = m_N

    return (w_opt, alpha, beta, S_N)


#==================== CLASSES ====================#

def function(self):
        params = {'n_iter': self.numOfIterationsSpinBox.value(),
                  'tol': self.toleranceDoubleSpinBox.value(),
                  'alpha_1': self.alpha1DoubleSpinBox.value(),
                  'alpha_2': self.alpha2DoubleSpinBox.value(),
                  'lambda_1': self.lambdaDoubleSpinBox.value(),
                  'lambda_2': self.lambdaDoubleSpinBox.value(),
                  'compute_score': self.computerScoreCheckBox.isChecked(),
                  'fit_intercept': self.fitInterceptCheckBox.isChecked(),
                  'normalize': self.normalizeCheckBox.isChecked(),
                  'copy_X': self.copyXCheckBox.isChecked(),
                  'verbose': self.verboseCheckBox.isChecked()}

        return params, self.getChangedValues(params, BayesianRidge())

def getModels():
    result = []
    result.append("LinearRegression")
    result.append("BayesianRidge")
    result.append("ARDRegression")
    result.append("ElasticNet")
    result.append("HuberRegressor")
    result.append("Lasso")
    result.append("LassoLars")
    result.append("Rigid")
    result.append("SGDRegressor")
    result.append("SVR")
    result.append("MLPClassifier")
    result.append("KNeighborsClassifier")
    result.append("SVC")
    result.append("GaussianProcessClassifier")
    result.append("DecisionTreeClassifier")
    result.append("RandomForestClassifier")
    result.append("AdaBoostClassifier")
    result.append("GaussianNB")
    result.append("LogisticRegression")
    result.append("QuadraticDiscriminantAnalysis")
    return result

def build_model(self):
            # Direct passing model parameters can be used
            return linear_model.BayesianRidge(normalize=True, verbose=True, compute_score=True)



# ----- END first stage stacking model -----

# ----- Second stage stacking model -----

def _get_learner(self):
        # xgboost
        if self.learner_name in ["reg_xgb_linear", "reg_xgb_tree", "reg_xgb_tree_best_single_model"]:
            return XGBRegressor(**self.param_dict)
        if self.learner_name in ["clf_xgb_linear", "clf_xgb_tree"]:
            return XGBClassifier(**self.param_dict)
        # sklearn
        if self.learner_name == "reg_skl_lasso":
            return Lasso(**self.param_dict)
        if self.learner_name == "reg_skl_ridge":
            return Ridge(**self.param_dict)
        if self.learner_name == "reg_skl_random_ridge":
            return RandomRidge(**self.param_dict)
        if self.learner_name == "reg_skl_bayesian_ridge":
            return BayesianRidge(**self.param_dict)
        if self.learner_name == "reg_skl_svr":
            return SVR(**self.param_dict)
        if self.learner_name == "reg_skl_lsvr":
            return LinearSVR(**self.param_dict)
        if self.learner_name == "reg_skl_knn":
            return KNNRegressor(**self.param_dict)
        if self.learner_name == "reg_skl_etr":
            return ExtraTreesRegressor(**self.param_dict)
        if self.learner_name == "reg_skl_rf":
            return RandomForestRegressor(**self.param_dict)
        if self.learner_name == "reg_skl_gbm":
            return GradientBoostingRegressor(**self.param_dict)
        if self.learner_name == "reg_skl_adaboost":
            return AdaBoostRegressor(**self.param_dict)
        # keras
        if self.learner_name == "reg_keras_dnn":
            try:
                return KerasDNNRegressor(**self.param_dict)
            except:
                return None
        # rgf
        if self.learner_name == "reg_rgf":
            return RGFRegressor(**self.param_dict)
        # ensemble
        if self.learner_name == "reg_ensemble":
            return EnsembleLearner(**self.param_dict)

        return None

def greedy_select_features(self):
        print('initial shapes:', self.train_.shape, self.test_.shape)
        saved = None if self.debug_ else self.load('chosen_features')

        if saved == None:
            g_best_score = 1e9
            g_best_features = []
            current = set()
            finished = False
        else:
            g_best_features, g_best_score, finished = saved
            current = set(g_best_features)
            print('SFS REUSE:', g_best_score, len(current), sorted(g_best_features), self.now())


        if not finished:
            col_names = self.train_.columns
            y = self.y_.ravel()
            scorer = metrics.make_scorer(metrics.log_loss)
            loop_count = len(col_names) - len(g_best_features)
            for _ in range(loop_count):
                avail = set(col_names).difference(current)
                best_score = 1e9
                best_features = None
                for f in avail:
                    newf = list(current | {f})
                    score, _ = self.ccv(linear_model.BayesianRidge(), self.train_[newf], y, scorer)
                    if best_score > score:
                        best_score = score
                        best_features = newf
                current = set(best_features)
                if g_best_score > best_score:
                    g_best_score = best_score
                    g_best_features = best_features
                    print('new best:', g_best_score, sorted(g_best_features), self.now())
                else:
                    print('no luck', len(current), self.now())
                if len(best_features) - len(g_best_features) >= 5:
                    break
                self.save('chosen_features', (g_best_features, g_best_score, False))
            # now
            self.save('chosen_features', (g_best_features, g_best_score, True))

        print('feature selection complete.', self.now())
        self.train_ = self.train_[g_best_features]
        self.test_ = self.test_[g_best_features]

def greedy_select_features(self):
        saved = None if self.debug_ else self.load('chosen_features')
        if saved == None:
            print('initial shapes:', self.train_.shape, self.test_.shape)
            num_columns = self.train_.shape[1]
            col_names = [str(c) for c in range(num_columns)]
            self.train_.columns = col_names
            self.test_.columns = col_names

            g_best_score = 1e9
            g_best_features = None

            y = self.y_.ravel()
            current = set()
            scorer = metrics.make_scorer(metrics.log_loss)
            for _ in enumerate(col_names):
                avail = set(col_names).difference(current)
                best_score = 1e9
                best_features = None
                for f in avail:
                    newf = list(current | {f})
                    cv = model_selection.cross_val_score(linear_model.BayesianRidge(),
                                                         self.train_[newf], y,
                                                         cv=self.n_fold_, n_jobs=-2,
                                                         scoring = scorer)
                    score = np.mean(cv)
                    if best_score > score:
                        best_score = score
                        best_features = newf
                current = set(best_features)
                if g_best_score > best_score:
                    g_best_score = best_score
                    g_best_features = best_features
                    print('new best:', g_best_score, g_best_features, self.now())
                if len(best_features) - len(g_best_features) > 15:
                    break
            self.save('chosen_features', (g_best_features, None))
        else:
            g_best_features, _ = saved

        print('feature selection complete.', self.now())
        self.train_ = self.train_[g_best_features]
        self.test_ = self.test_[g_best_features]

def greedy_select_features(self):
        print('initial shapes:', self.train_.shape, self.test_.shape)
        saved = None if self.debug_ else self.load('chosen_features')

        if saved == None:
            g_best_score = 1e9
            g_best_features = []
            current = set()
            finished = False
        else:
            g_best_features, g_best_score, finished = saved
            current = set(g_best_features)
            print('SFS REUSE:', g_best_score, g_best_features, self.now())

        num_columns = self.train_.shape[1]
        col_names = [str(c) for c in range(num_columns)]
        self.train_.columns = col_names
        self.test_.columns = col_names

        if not finished:
            y = self.y_.ravel()
            scorer = metrics.make_scorer(metrics.log_loss)
            loop_count = len(col_names) - len(g_best_features)
            for _ in range(loop_count):
                avail = set(col_names).difference(current)
                best_score = 1e9
                best_features = None
                for f in avail:
                    newf = list(current | {f})
                    score, _ = self.ccv(linear_model.BayesianRidge(), self.train_[newf], y, scorer)
                    if best_score > score:
                        best_score = score
                        best_features = newf
                current = set(best_features)
                if g_best_score > best_score:
                    g_best_score = best_score
                    g_best_features = best_features
                    print('new best:', g_best_score, g_best_features, self.now())
                if len(best_features) - len(g_best_features) > 5:
                    break
                self.save('chosen_features', (g_best_features, g_best_score, False))
            # now
            self.save('chosen_features', (g_best_features, g_best_score, True))

        print('feature selection complete.', self.now())
        self.train_ = self.train_[g_best_features]
        self.test_ = self.test_[g_best_features]

def getSKLearnModel(modelName):
    if modelName == 'LinearRegression':
        model = linear_model.LinearRegression()
    elif modelName == 'BayesianRidge':
        model = linear_model.BayesianRidge()
    elif modelName == 'ARDRegression':
        model = linear_model.ARDRegression()
    elif modelName == 'ElasticNet':
        model = linear_model.ElasticNet()
    elif modelName == 'HuberRegressor':
        model = linear_model.HuberRegressor()
    elif modelName == 'Lasso':
        model = linear_model.Lasso()
    elif modelName == 'LassoLars':
        model = linear_model.LassoLars()
    elif modelName == 'Rigid':
        model = linear_model.Ridge()
    elif modelName == 'SGDRegressor':
        model = linear_model.SGDRegressor()
    elif modelName == 'SVR':
        model = SVR()
    elif modelName=='MLPClassifier':
        model = MLPClassifier()
    elif modelName=='KNeighborsClassifier':
        model = KNeighborsClassifier()
    elif modelName=='SVC':
        model = SVC()
    elif modelName=='GaussianProcessClassifier':
        model = GaussianProcessClassifier()
    elif modelName=='DecisionTreeClassifier':
        model = DecisionTreeClassifier()
    elif modelName=='RandomForestClassifier':
        model = RandomForestClassifier()
    elif modelName=='AdaBoostClassifier':
        model = AdaBoostClassifier()
    elif modelName=='GaussianNB':
        model = GaussianNB()
    elif modelName=='LogisticRegression':
        model = linear_model.LogisticRegression()
    elif modelName=='QuadraticDiscriminantAnalysis':
        model = QuadraticDiscriminantAnalysis()

    return model

def get_model_list(task_name):

    model_list, name_list = [], []

    model_list.append(linear_model.LinearRegression())
    name_list.append('LR')
    #
    model_list.append(linear_model.SGDRegressor())
    name_list.append('LR_SGD')

    model_list.append(linear_model.Lasso(alpha = 1.0))
    name_list.append('Lasso')

    model_list.append(linear_model.Ridge (alpha = 1.0))
    name_list.append('Ridge')

    model_list.append(linear_model.LassoLars(alpha=.1))
    name_list.append('LassoLars')

    model_list.append(linear_model.BayesianRidge())
    name_list.append('BayesianRidge')

    model_list.append(KernelRidge(alpha=1.0))
    name_list.append('KernelRidge')

    model_list.append(gaussian_process.GaussianProcess(theta0=1e-2, thetaL=1e-4, thetaU=1e-1))
    name_list.append('GaussianProcess')

    model_list.append(KNeighborsRegressor(weights = 'uniform',n_neighbors=3))
    name_list.append('KNN_unif')

    model_list.append(KNeighborsRegressor(weights = 'distance',n_neighbors=3))
    name_list.append('KNN_dist')

    model_list.append(SVR(kernel = 'linear', C = 1, gamma = 'auto', coef0 = 0, degree = 2))
    name_list.append('SVM_linear')

    model_list.append(SVR(kernel = 'poly', C = 1, gamma = 'auto', coef0 = 0, degree = 2))
    name_list.append('SVM_poly')

    model_list.append(SVR(kernel = 'rbf', C = 1, gamma = 'auto', coef0 = 0, degree = 2))
    name_list.append('SVM_rbf')

    model_list.append(DecisionTreeRegressor())
    name_list.append('DT')

    model_list.append(RandomForestRegressor(n_estimators=100, max_depth=None,min_samples_split=2, random_state=0))
    name_list.append('RF')

    model_list.append(ExtraTreesRegressor(n_estimators=100, max_depth=None, max_features='auto', min_samples_split=2, random_state=0))
    name_list.append('ET')

    return model_list, name_list