#![allow(clippy::needless_range_loop)]
use std::fmt::Debug;
use serde::{Deserialize, Serialize};
use crate::api::{Predictor, SupervisedEstimator};
use crate::error::Failed;
use crate::linalg::BaseVector;
use crate::linalg::Matrix;
use crate::math::num::RealNumber;
use crate::linear::lasso_optimizer::InteriorPointOptimizer;
#[derive(Serialize, Deserialize, Debug, Clone)]
pub struct ElasticNetParameters<T: RealNumber> {
pub alpha: T,
pub l1_ratio: T,
pub normalize: bool,
pub tol: T,
pub max_iter: usize,
}
#[derive(Serialize, Deserialize, Debug)]
pub struct ElasticNet<T: RealNumber, M: Matrix<T>> {
coefficients: M,
intercept: T,
}
impl<T: RealNumber> ElasticNetParameters<T> {
pub fn with_alpha(mut self, alpha: T) -> Self {
self.alpha = alpha;
self
}
pub fn with_l1_ratio(mut self, l1_ratio: T) -> Self {
self.l1_ratio = l1_ratio;
self
}
pub fn with_normalize(mut self, normalize: bool) -> Self {
self.normalize = normalize;
self
}
pub fn with_tol(mut self, tol: T) -> Self {
self.tol = tol;
self
}
pub fn with_max_iter(mut self, max_iter: usize) -> Self {
self.max_iter = max_iter;
self
}
}
impl<T: RealNumber> Default for ElasticNetParameters<T> {
fn default() -> Self {
ElasticNetParameters {
alpha: T::one(),
l1_ratio: T::half(),
normalize: true,
tol: T::from_f64(1e-4).unwrap(),
max_iter: 1000,
}
}
}
impl<T: RealNumber, M: Matrix<T>> PartialEq for ElasticNet<T, M> {
fn eq(&self, other: &Self) -> bool {
self.coefficients == other.coefficients
&& (self.intercept - other.intercept).abs() <= T::epsilon()
}
}
impl<T: RealNumber, M: Matrix<T>> SupervisedEstimator<M, M::RowVector, ElasticNetParameters<T>>
for ElasticNet<T, M>
{
fn fit(x: &M, y: &M::RowVector, parameters: ElasticNetParameters<T>) -> Result<Self, Failed> {
ElasticNet::fit(x, y, parameters)
}
}
impl<T: RealNumber, M: Matrix<T>> Predictor<M, M::RowVector> for ElasticNet<T, M> {
fn predict(&self, x: &M) -> Result<M::RowVector, Failed> {
self.predict(x)
}
}
impl<T: RealNumber, M: Matrix<T>> ElasticNet<T, M> {
pub fn fit(
x: &M,
y: &M::RowVector,
parameters: ElasticNetParameters<T>,
) -> Result<ElasticNet<T, M>, Failed> {
let (n, p) = x.shape();
if y.len() != n {
return Err(Failed::fit("Number of rows in X should = len(y)"));
}
let n_float = T::from_usize(n).unwrap();
let l1_reg = parameters.alpha * parameters.l1_ratio * n_float;
let l2_reg = parameters.alpha * (T::one() - parameters.l1_ratio) * n_float;
let y_mean = y.mean();
let (w, b) = if parameters.normalize {
let (scaled_x, col_mean, col_std) = Self::rescale_x(x)?;
let (x, y, gamma) = Self::augment_x_and_y(&scaled_x, y, l2_reg);
let mut optimizer = InteriorPointOptimizer::new(&x, p);
let mut w =
optimizer.optimize(&x, &y, l1_reg * gamma, parameters.max_iter, parameters.tol)?;
for i in 0..p {
w.set(i, 0, gamma * w.get(i, 0) / col_std[i]);
}
let mut b = T::zero();
for i in 0..p {
b += w.get(i, 0) * col_mean[i];
}
b = y_mean - b;
(w, b)
} else {
let (x, y, gamma) = Self::augment_x_and_y(x, y, l2_reg);
let mut optimizer = InteriorPointOptimizer::new(&x, p);
let mut w =
optimizer.optimize(&x, &y, l1_reg * gamma, parameters.max_iter, parameters.tol)?;
for i in 0..p {
w.set(i, 0, gamma * w.get(i, 0));
}
(w, y_mean)
};
Ok(ElasticNet {
intercept: b,
coefficients: w,
})
}
pub fn predict(&self, x: &M) -> Result<M::RowVector, Failed> {
let (nrows, _) = x.shape();
let mut y_hat = x.matmul(&self.coefficients);
y_hat.add_mut(&M::fill(nrows, 1, self.intercept));
Ok(y_hat.transpose().to_row_vector())
}
pub fn coefficients(&self) -> &M {
&self.coefficients
}
pub fn intercept(&self) -> T {
self.intercept
}
fn rescale_x(x: &M) -> Result<(M, Vec<T>, Vec<T>), Failed> {
let col_mean = x.mean(0);
let col_std = x.std(0);
for i in 0..col_std.len() {
if (col_std[i] - T::zero()).abs() < T::epsilon() {
return Err(Failed::fit(&format!(
"Cannot rescale constant column {}",
i
)));
}
}
let mut scaled_x = x.clone();
scaled_x.scale_mut(&col_mean, &col_std, 0);
Ok((scaled_x, col_mean, col_std))
}
fn augment_x_and_y(x: &M, y: &M::RowVector, l2_reg: T) -> (M, M::RowVector, T) {
let (n, p) = x.shape();
let gamma = T::one() / (T::one() + l2_reg).sqrt();
let padding = gamma * l2_reg.sqrt();
let mut y2 = M::RowVector::zeros(n + p);
for i in 0..y.len() {
y2.set(i, y.get(i));
}
let mut x2 = M::zeros(n + p, p);
for j in 0..p {
for i in 0..n {
x2.set(i, j, gamma * x.get(i, j));
}
x2.set(j + n, j, padding);
}
(x2, y2, gamma)
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::linalg::naive::dense_matrix::*;
use crate::metrics::mean_absolute_error;
#[test]
fn elasticnet_longley() {
let x = DenseMatrix::from_2d_array(&[
&[234.289, 235.6, 159.0, 107.608, 1947., 60.323],
&[259.426, 232.5, 145.6, 108.632, 1948., 61.122],
&[258.054, 368.2, 161.6, 109.773, 1949., 60.171],
&[284.599, 335.1, 165.0, 110.929, 1950., 61.187],
&[328.975, 209.9, 309.9, 112.075, 1951., 63.221],
&[346.999, 193.2, 359.4, 113.270, 1952., 63.639],
&[365.385, 187.0, 354.7, 115.094, 1953., 64.989],
&[363.112, 357.8, 335.0, 116.219, 1954., 63.761],
&[397.469, 290.4, 304.8, 117.388, 1955., 66.019],
&[419.180, 282.2, 285.7, 118.734, 1956., 67.857],
&[442.769, 293.6, 279.8, 120.445, 1957., 68.169],
&[444.546, 468.1, 263.7, 121.950, 1958., 66.513],
&[482.704, 381.3, 255.2, 123.366, 1959., 68.655],
&[502.601, 393.1, 251.4, 125.368, 1960., 69.564],
&[518.173, 480.6, 257.2, 127.852, 1961., 69.331],
&[554.894, 400.7, 282.7, 130.081, 1962., 70.551],
]);
let y: Vec<f64> = vec![
83.0, 88.5, 88.2, 89.5, 96.2, 98.1, 99.0, 100.0, 101.2, 104.6, 108.4, 110.8, 112.6,
114.2, 115.7, 116.9,
];
let y_hat = ElasticNet::fit(
&x,
&y,
ElasticNetParameters {
alpha: 1.0,
l1_ratio: 0.5,
normalize: false,
tol: 1e-4,
max_iter: 1000,
},
)
.and_then(|lr| lr.predict(&x))
.unwrap();
assert!(mean_absolute_error(&y_hat, &y) < 30.0);
}
#[test]
fn elasticnet_fit_predict1() {
let x = DenseMatrix::from_2d_array(&[
&[0.0, 1931.0, 1.2232755825400514],
&[1.0, 1933.0, 1.1379726120972395],
&[2.0, 1920.0, 1.4366265120543429],
&[3.0, 1918.0, 1.206005737827858],
&[4.0, 1934.0, 1.436613542400669],
&[5.0, 1918.0, 1.1594588621640636],
&[6.0, 1933.0, 1.19809994745985],
&[7.0, 1918.0, 1.3396363871645678],
&[8.0, 1931.0, 1.2535342096493207],
&[9.0, 1933.0, 1.3101281563456293],
&[10.0, 1922.0, 1.3585833349920762],
&[11.0, 1930.0, 1.4830786699709897],
&[12.0, 1916.0, 1.4919891143094546],
&[13.0, 1915.0, 1.259655137451551],
&[14.0, 1932.0, 1.3979191428724789],
&[15.0, 1917.0, 1.3686634746782371],
&[16.0, 1932.0, 1.381658454569724],
&[17.0, 1918.0, 1.4054969025700674],
&[18.0, 1929.0, 1.3271699396384906],
&[19.0, 1915.0, 1.1373332337674806],
]);
let y: Vec<f64> = vec![
1.48, 2.72, 4.52, 5.72, 5.25, 4.07, 3.75, 4.75, 6.77, 4.72, 6.78, 6.79, 8.3, 7.42,
10.2, 7.92, 7.62, 8.06, 9.06, 9.29,
];
let l1_model = ElasticNet::fit(
&x,
&y,
ElasticNetParameters {
alpha: 1.0,
l1_ratio: 1.0,
normalize: true,
tol: 1e-4,
max_iter: 1000,
},
)
.unwrap();
let l2_model = ElasticNet::fit(
&x,
&y,
ElasticNetParameters {
alpha: 1.0,
l1_ratio: 0.0,
normalize: true,
tol: 1e-4,
max_iter: 1000,
},
)
.unwrap();
let mae_l1 = mean_absolute_error(&l1_model.predict(&x).unwrap(), &y);
let mae_l2 = mean_absolute_error(&l2_model.predict(&x).unwrap(), &y);
assert!(mae_l1 < 2.0);
assert!(mae_l2 < 2.0);
assert!(l1_model.coefficients().get(0, 0) > l1_model.coefficients().get(1, 0));
assert!(l1_model.coefficients().get(0, 0) > l1_model.coefficients().get(2, 0));
}
#[test]
fn serde() {
let x = DenseMatrix::from_2d_array(&[
&[234.289, 235.6, 159.0, 107.608, 1947., 60.323],
&[259.426, 232.5, 145.6, 108.632, 1948., 61.122],
&[258.054, 368.2, 161.6, 109.773, 1949., 60.171],
&[284.599, 335.1, 165.0, 110.929, 1950., 61.187],
&[328.975, 209.9, 309.9, 112.075, 1951., 63.221],
&[346.999, 193.2, 359.4, 113.270, 1952., 63.639],
&[365.385, 187.0, 354.7, 115.094, 1953., 64.989],
&[363.112, 357.8, 335.0, 116.219, 1954., 63.761],
&[397.469, 290.4, 304.8, 117.388, 1955., 66.019],
&[419.180, 282.2, 285.7, 118.734, 1956., 67.857],
&[442.769, 293.6, 279.8, 120.445, 1957., 68.169],
&[444.546, 468.1, 263.7, 121.950, 1958., 66.513],
&[482.704, 381.3, 255.2, 123.366, 1959., 68.655],
&[502.601, 393.1, 251.4, 125.368, 1960., 69.564],
&[518.173, 480.6, 257.2, 127.852, 1961., 69.331],
&[554.894, 400.7, 282.7, 130.081, 1962., 70.551],
]);
let y = vec![
83.0, 88.5, 88.2, 89.5, 96.2, 98.1, 99.0, 100.0, 101.2, 104.6, 108.4, 110.8, 112.6,
114.2, 115.7, 116.9,
];
let lr = ElasticNet::fit(&x, &y, Default::default()).unwrap();
let deserialized_lr: ElasticNet<f64, DenseMatrix<f64>> =
serde_json::from_str(&serde_json::to_string(&lr).unwrap()).unwrap();
assert_eq!(lr, deserialized_lr);
}
}