最小二乘法 python实现

#-*-coding:UTF-8-*-
# Created on 2015年10月20日
# @author: hanahimi
import numpy as np
import random
import matplotlib.pyplot as plt

def randData():
    # 生成曲线上各个点
    x = np.arange(-1,1,0.02)
    y = [2*a+3 for a in x]  # 直线
#     y = [((a*a-1)*(a*a-1)*(a*a-1)+0.5)*np.sin(a*2) for a in x]  # 曲线
    xa = []; ya = []
    # 对曲线上每个点进行随机偏移
    for i in range(len(x)):
        d = np.float(random.randint(90,120))/100
        ya.append(y[i]*d)
        xa.append(x[i]*d)
    return xa,ya

def hypfunc(x,A):
    # 输入：x 横坐标数值， A 多项式系数 [a0,a1,...,an-1]
    # 返回 y = hypfunc(x)
    return np.sum(A[i]*(x**i) for i in range(len(A)))

# 使用 θ = (X.T*X + λI)^-1 * X.T * y求解直线参数
# 该函数会在X的前面添加偏移位X0 = 1
def LS_line(X,Y, lam = 0.01):
    X = np.array(X)
    X = np.vstack((np.ones((len(X),)),X)) # 往上面添加X0
    X = np.mat(X).T     # (m,n)
    Y = np.mat(Y).T     # (m,1)
    M, N = X.shape
    I = np.eye(N, N)    # 单位矩阵

    theta = ((X.T * X + lam*I)**-1)*X.T*Y       # 核心公式
    theta = np.array(np.reshape(theta,len(theta)))[0]
    return theta    # 返回一个一维数组

# 使用随机梯度下降法求解最小二参数:
# alpha 迭代步长（固定步长），epslion 收敛标准
def LS_sgd(X,Y,alpha=0.1, epslion = 0.003):
    X = [[1,xi] for xi in X]        # 补上偏移量x0
    N = len(X[0])   # X的维度
    M = len(X)      # 样本个数
    theta = np.zeros((N,))   # 参数初始值
    last_theta = np.zeros(theta.shape)

    times = 10000
    while times > 0:
        times -= 1
        for i in range(M):
            last_theta[:] = theta[:]
            for j in range(N):
                theta[j] -= alpha * (np.dot(theta,X[i])-Y[i])*X[i][j]
        if np.sum((theta - last_theta)**2) <= epslion:  # 当前后参数的变化小于一定程度时可以终止迭代
            break
    return theta

# 根据输入值：X向量，即拟合阶数，计算对应的范德蒙矩阵
def vandermonde_matrix(X, Y, order=1):
    # 根据数据点构造X，Y的 范德蒙德矩阵
    m = len(Y)
    matX = np.array([[np.sum([X[i]**(k2+k1) for i in range(m)])
              for k2 in range(order+1)] for k1 in range(order+1)])
    matY = np.array([np.sum([(X[i]**k)*Y[i] for i in range(m)])
            for k in range(order+1)])
    theta = np.linalg.solve(matX, matY)
    return theta

if __name__=="__main__":
    pass
    X, Y = randData()
    theta = vandermonde_matrix(X, Y, order=1)
    theta = LS_sgd(X,Y)

    # 画出数据点与拟合曲线
    plt.figure()
    plt.plot(X,Y,linestyle='',marker='.')
    yhyp = [hypfunc(X[i],theta) for i in range(len(X))]
    plt.plot(X, yhyp,linestyle='-')
    plt.show()