《机器学习_02_线性模型_Logistic回归》

import numpy as np
import os
os.chdir('../')
from ml_models import utils
import matplotlib.pyplot as plt
%matplotlib inline

一.简介

逻辑回归(LogisticRegression)简单来看就是在线性回归模型外面再套了一个\(Sigmoid\)函数：

\[\delta(t)=\frac{1}{1+e^{-t}}
\]

它的函数形状如下：

t=np.arange(-8,8,0.5)
d_t=1/(1+np.exp(-t))
plt.plot(t,d_t)

[<matplotlib.lines.Line2D at 0x233d3c47a58>]

而将\(t\)替换为线性回归模型\(w^Tx^*\)（这里\(x^*=[x^T,1]^T\)）即可得到逻辑回归模型：

\[f(x)=\delta(w^Tx^*)=\frac{1}{1+e^{-(w^Tx^*)}}
\]

我们可以发现：\(Sigmoid\)函数决定了模型的输出在\((0,1)\)区间，所以逻辑回归模型可以用作区间在\((0,1)\)的回归任务，也可以用作\(\{0,1\}\)的二分类任务；同样，由于模型的输出在\((0,1)\)区间，所以逻辑回归模型的输出也可以看作这样的“概率”模型：

\[P(y=1\mid x)=f(x)\\
P(y=0\mid x)=1-f(x)
\]

所以，逻辑回归的学习目标可以通过极大似然估计求解：\(\prod_{j=1}^n f(x_j)^{y_j}(1-f(x_j))^{(1-y_j)}\)，即使得观测到的当前所有样本的所属类别概率尽可能大；通过对该函数取负对数，即可得到交叉熵损失函数：

\[L(w)=-\sum_{j=1}^n y_j log(f(x_j))+(1-y_j)log(1-f(x_j))
\]

这里\(n\)表示样本量，\(x_j\in R^m\)，\(m\)表示特征量，\(y_j\in \{0,1\}\)，接下来的与之前推导一样，通过梯度下降求解\(w\)的更新公式即可：

\[\frac{\partial L}{\partial w}=-\sum_{i=1}^n (y_i-f(x_i))x_i^*
\]

所以\(w\)的更新公式：

\[w:=w-\eta \frac{\partial L}{\partial w}
\]

二.代码实现

同LinearRegression类似，这里也将\(L1,L2\)的正则化功能加入

class LogisticRegression(object):
    def __init__(self, fit_intercept=True, solver='sgd', if_standard=True, l1_ratio=None, l2_ratio=None, epochs=10,
                 eta=None, batch_size=16):

        self.w = None
        self.fit_intercept = fit_intercept
        self.solver = solver
        self.if_standard = if_standard
        if if_standard:
            self.feature_mean = None
            self.feature_std = None
        self.epochs = epochs
        self.eta = eta
        self.batch_size = batch_size
        self.l1_ratio = l1_ratio
        self.l2_ratio = l2_ratio
        # 注册sign函数
        self.sign_func = np.vectorize(utils.sign)
        # 记录losses
        self.losses = []

    def init_params(self, n_features):
        """
        初始化参数
        :return:
        """
        self.w = np.random.random(size=(n_features, 1))

    def _fit_closed_form_solution(self, x, y):
        """
        直接求闭式解
        :param x:
        :param y:
        :return:
        """
        self._fit_sgd(x, y)

    def _fit_sgd(self, x, y):
        """
        随机梯度下降求解
        :param x:
        :param y:
        :return:
        """
        x_y = np.c_[x, y]
        count = 0
        for _ in range(self.epochs):
            np.random.shuffle(x_y)
            for index in range(x_y.shape[0] // self.batch_size):
                count += 1
                batch_x_y = x_y[self.batch_size * index:self.batch_size * (index + 1)]
                batch_x = batch_x_y[:, :-1]
                batch_y = batch_x_y[:, -1:]

                dw = -1 * (batch_y - utils.sigmoid(batch_x.dot(self.w))).T.dot(batch_x) / self.batch_size
                dw = dw.T

                # 添加l1和l2的部分
                dw_reg = np.zeros(shape=(x.shape[1] - 1, 1))
                if self.l1_ratio is not None:
                    dw_reg += self.l1_ratio * self.sign_func(self.w[:-1]) / self.batch_size
                if self.l2_ratio is not None:
                    dw_reg += 2 * self.l2_ratio * self.w[:-1] / self.batch_size
                dw_reg = np.concatenate([dw_reg, np.asarray([[0]])], axis=0)

                dw += dw_reg
                self.w = self.w - self.eta * dw

            # 计算losses
            cost = -1 * np.sum(
                np.multiply(y, np.log(utils.sigmoid(x.dot(self.w)))) + np.multiply(1 - y, np.log(
                    1 - utils.sigmoid(x.dot(self.w)))))
            self.losses.append(cost)

    def fit(self, x, y):
        """
        :param x: ndarray格式数据: m x n
        :param y: ndarray格式数据: m x 1
        :return:
        """
        y = y.reshape(x.shape[0], 1)
        # 是否归一化feature
        if self.if_standard:
            self.feature_mean = np.mean(x, axis=0)
            self.feature_std = np.std(x, axis=0) + 1e-8
            x = (x - self.feature_mean) / self.feature_std
        # 是否训练bias
        if self.fit_intercept:
            x = np.c_[x, np.ones_like(y)]
        # 初始化参数
        self.init_params(x.shape[1])
        # 更新eta
        if self.eta is None:
            self.eta = self.batch_size / np.sqrt(x.shape[0])

        if self.solver == 'closed_form':
            self._fit_closed_form_solution(x, y)
        elif self.solver == 'sgd':
            self._fit_sgd(x, y)

    def get_params(self):
        """
        输出原始的系数
        :return: w,b
        """
        if self.fit_intercept:
            w = self.w[:-1]
            b = self.w[-1]
        else:
            w = self.w
            b = 0
        if self.if_standard:
            w = w / self.feature_std.reshape(-1, 1)
            b = b - w.T.dot(self.feature_mean.reshape(-1, 1))
        return w.reshape(-1), b

    def predict_proba(self, x):
        """
        预测为y=1的概率
        :param x:ndarray格式数据: m x n
        :return: m x 1
        """
        if self.if_standard:
            x = (x - self.feature_mean) / self.feature_std
        if self.fit_intercept:
            x = np.c_[x, np.ones(x.shape[0])]
        return utils.sigmoid(x.dot(self.w))

    def predict(self, x):
        """
        预测类别，默认大于0.5的为1，小于0.5的为0
        :param x:
        :return:
        """
        proba = self.predict_proba(x)
        return (proba > 0.5).astype(int)

    def plot_decision_boundary(self, x, y):
        """
        绘制前两个维度的决策边界
        :param x:
        :param y:
        :return:
        """
        y = y.reshape(-1)
        weights, bias = self.get_params()
        w1 = weights[0]
        w2 = weights[1]
        bias = bias[0][0]
        x1 = np.arange(np.min(x), np.max(x), 0.1)
        x2 = -w1 / w2 * x1 - bias / w2
        plt.scatter(x[:, 0], x[:, 1], c=y, s=50)
        plt.plot(x1, x2, 'r')
        plt.show()

    def plot_losses(self):
        plt.plot(range(0, len(self.losses)), self.losses)
        plt.show()

三.校验

我们构造一批伪分类数据并可视化

from sklearn.datasets import make_classification
data,target=make_classification(n_samples=100, n_features=2,n_classes=2,n_informative=1,n_redundant=0,n_repeated=0,n_clusters_per_class=1)

data.shape,target.shape

((100, 2), (100,))

plt.scatter(data[:, 0], data[:, 1], c=target,s=50)

<matplotlib.collections.PathCollection at 0x233d4c86748>

训练模型

lr = LogisticRegression(l1_ratio=0.01,l2_ratio=0.01)
lr.fit(data, target)

查看loss值变化

交叉熵损失

lr.plot_losses()

绘制决策边界：

令\(w_1x_1+w_2x_2+b=0\)，可得\(x_2=-\frac{w_1}{w_2}x_1-\frac{b}{w_2}\)

lr.plot_decision_boundary(data,target)

#计算F1
from sklearn.metrics import f1_score
f1_score(target,lr.predict(data))

0.96

与sklearn对比

from sklearn.linear_model import LogisticRegression

lr = LogisticRegression()
lr.fit(data, target)

D:\app\Anaconda3\lib\site-packages\sklearn\linear_model\logistic.py:432: FutureWarning: Default solver will be changed to 'lbfgs' in 0.22. Specify a solver to silence this warning.
  FutureWarning)

LogisticRegression(C=1.0, class_weight=None, dual=False, fit_intercept=True,
                   intercept_scaling=1, l1_ratio=None, max_iter=100,
                   multi_class='warn', n_jobs=None, penalty='l2',
                   random_state=None, solver='warn', tol=0.0001, verbose=0,
                   warm_start=False)

w1=lr.coef_[0][0]
w2=lr.coef_[0][1]
bias=lr.intercept_[0]
w1,w2,bias

(3.119650945418208, 0.38515595805512637, -0.478776183999758)

x1=np.arange(np.min(data),np.max(data),0.1)
x2=-w1/w2*x1-bias/w2

plt.scatter(data[:, 0], data[:, 1], c=target,s=50)
plt.plot(x1,x2,'r')

[<matplotlib.lines.Line2D at 0x233d5f84cf8>]

#计算F1
f1_score(target,lr.predict(data))

0.96

四.问题讨论：损失函数为何不用mse?

上面我们基本完成了二分类LogisticRegression代码的封装工作，并将其放到liner_model模块方便后续使用，接下来我们讨论一下模型中损失函数选择的问题；在前面线性回归模型中我们使用了mse作为损失函数，并取得了不错的效果，而逻辑回归中使用的确是交叉熵损失函数；这是因为如果使用mse作为损失函数,梯度下降将会比较困难，在\(f(x^i)\)与\(y^i\)相差较大或者较小时梯度值都会很小，下面推导一下：

我们令：

\[L(w)=\frac{1}{2}\sum_{i=1}^n(y^i-f(x^i))^2
\]

则有：

\[\frac{\partial L}{\partial w}=\sum_{i=1}^n(f(x^i)-y^i)f(x^i)(1-f(x^i))x^i
\]

我们简单看两个极端的情况：

（1）\(y^i=0,f(x^i)=1\)时，\(\frac{\partial L}{\partial w}=0\)；

（2）\(y^i=1,f(x^i)=0\)时，\(\frac{\partial L}{\partial w}=0\)

接下来，我们绘图对比一下两者梯度变化的情况，假设在\(y=1,x\in(-10,10),w=1,b=0\)的情况下

y=1
x0=np.arange(-10,10,0.5)
#交叉熵
x1=np.multiply(utils.sigmoid(x0)-y,x0)

#mse
x2=np.multiply(utils.sigmoid(x0)-y,utils.sigmoid(x0))
x2=np.multiply(x2,1-utils.sigmoid(x0))
x2=np.multiply(x2,x0)

plt.plot(x0,x1)
plt.plot(x0,x2)

[<matplotlib.lines.Line2D at 0x233d6046048>]

可见在错分的那一部分（x<0）,mse的梯度值基本停留在0附近，而交叉熵会让越“错”情况具有越大的梯度值