A machine learning project in F#
0.2.0
- Linear Regression
- no penalty
- Lasso (L1 penalty) via coordinate descent
- Ridge (L2 penalty)
- Logistic Regression (may be improved by using the algorithm described in http://bwlewis.github.io/GLM/)
- no penalty
- Lasso (L1 penalty) via coordinate descent
- Ridge (L2 penalty) via iterated reweighted least square
- SVM via Sequential Minimal Optimization (SMO)
- linear kernel
- rbf(Gaussian) kernel
- Gradient Boosting Machine (GBM) (Some bugs to fix)
- Gaussian response, i.e., least square loss function
- Binomial response, i.e., logloss loss function
- Cross validation fit
- survival models
- neural network
We use the data /data/continuous.txt, which is stored in the libsvm format. Please note that no imputation is implemented at this time so missing values in the data file would throw exceptions.
If the calculation fails for no penalty or Ridge regression, set the decomposition parameter in Fit() to 'svd' may help. It does not help for L1 regression.
open DataTypes open LinearRegression open Utilities [<EntryPoint>] let main argv = let dat= new readData (@"/data/continuous.txt", "continuous") let seed=1 // random seed let folds=3 // split data into 3 folds let datFold = new data (dat.CreateFold folds seed ,dat.Features) // prepare data let fold=1 // use fold 1 for test and the others for train let xTrain,yTrain= datFold.Train fold // in case to train the model using all data: //let xTrain,yTrain= datFold.All let xTest,yTest= datFold.Test fold // train a standard linear regression let lm= new LM(xTrain,yTrain) do lm.Fit() let pTrain = lm.Predict xTrain // make prediction on training data let pTest = lm.Predict xTest // make prediction on testing data let rmseTrain=RMSE yTrain pTrain // compute RMSE on training data let rmseTest=RMSE yTest pTest // compute RMSE on testing data printfn "train rmse: %A" rmseTrain printfn "test rmse: %A" rmseTest printfn "beta: %A" (lm.Beta.ToArray()) // train a linear regression with L2 penalty, i.e., ridge linear regression let lml2= new LMRidge(xTrain,yTrain,0.2) // lambda = 0.2 is the penalty parameter do lml2.Fit('svd') let pTrainl2 = lml2.Predict xTrain // make prediction on training data let pTestl2 = lml2.Predict xTest // make prediction on testing data let rmseTrainl2=RMSE yTrain pTrainl2 // compute RMSE on training data let rmseTestl2=RMSE yTest pTestl2 // compute RMSE on testing data printfn "train rmse: %A" rmseTrainl2 printfn "test rmse: %A" rmseTestl2 printfn "beta: %A" (lml2.Beta.ToArray()) // train a linear regression with L1 penalty, i.e., lasso linear regression let lml1= new LMLasso(xTrain,yTrain,0.2) // lambda = 0.2 is the penalty parameter do lml1.Fit() let pTrainl1 = lml1.Predict xTrain // make prediction on training data let pTestl1 = lml1.Predict xTest // make prediction on testing data let rmseTrainl1=RMSE yTrain pTrainl1 // compute RMSE on training data let rmseTestl1=RMSE yTest pTestl1 // compute RMSE on testing data printfn "train rmse: %A" rmseTrainl1 printfn "test rmse: %A" rmseTestl1 printfn "beta: %A" (lml1.Beta.ToArray()) 0We use the data /data/binary.txt, which is stored in the libsvm format. If the calculation fails for no penalty or Ridge regression, set the decomposition parameter in Fit() to 'svd' may help. It does not help for L1 regression.
open DataTypes open LogisticRegression open Utilities [<EntryPoint>] let main argv = let dat= new readData (@"/data/binary.txt", "binary") let seed=1 // random seed let folds=3 // split data into 3 folds let datFold = new data (dat.CreateFold folds seed ,dat.Features) // prepare data let fold=1 // use fold 1 for test and the others for train let xTrain,yTrain= datFold.Train fold // in case to train the model using all data: //let xTrain,yTrain= datFold.All let xTest,yTest= datFold.Test fold // train a standard logistic regression let lr= new LR(xTrain,yTrain) do lr.Fit() let pTrain = lr.Predict (xTrain, "response") // make prediction of probabilities on training data, if the second parameter is ignored, default link function would be used. let pTest = lr.Predict (xTest, "response") // make prediction of probabilities on testing data let aucTrain= AUC yTrain pTrain // compute auc on training data let aucTest= AUC yTest pTest // compute auc on testing data printfn "train auc: %A" aucTrain printfn "test auc: %A" aucTest printfn "beta: %A" (lr.Beta.ToArray()) // train a logistic regression with L2 penalty, i.e., ridge logistic regression let lrl2= new LRRidge(xTrain,yTrain,0.2) // lambda = 0.2 is the penalty parameter do lrl2.Fit('svd') let pTrainl2 = lrl2.Predict xTrain // make prediction on training data let pTestl2 = lrl2.Predict xTest // make prediction on testing data let aucTrainl2 =AUC yTrain pTrainl2 // compute auc on training data let aucTestl2 =AUC yTest pTestl2 // compute auc on testing data printfn "train auc: %A" aucTrainl2 printfn "test auc: %A" aucTestl2 printfn "beta: %A" (lrl2.Beta.ToArray()) // train a logistic regression with L1 penalty, i.e., lasso logistic regression let lrl1= new LRLasso(xTrain,yTrain,0.2) // lambda = 0.2 is the penalty parameter do lrl1.Fit() let pTrainl1 = lrl1.Predict xTrain // make prediction on training data let pTestl1 = lrl1.Predict xTest // make prediction on testing data let aucTrainl1 =AUC yTrain pTrainl1 // compute auc on training data let aucTestl1 =AUC yTest pTestl1 // compute auc on testing data printfn "train auc: %A" aucTrainl1 printfn "test auc: %A" aucTestl1 printfn "beta: %A" (lrl1.Beta.ToArray()) 0We use the data /data/binary.txt, which is stored in the libsvm format.
open DataTypes open SVM open Utilities [<EntryPoint>] let main argv = let dat= new readData (@"/data/binary.txt", "binary") let seed=1 // random seed let folds=3 // split data into 3 folds let datFold = new data (dat.CreateFold folds seed ,dat.Features) // prepare data let fold=1 // use fold 1 for test and the others for train let xTrain,yTrain= datFold.Train fold // in case to train the model using all data: //let xTrain,yTrain= datFold.All let xTest,yTest= datFold.Test fold // train a svm model with linear kernel let svmLinear=new SVM (xTrain, yTrain,1.0) // default kernel is linear, and the penalty parameter lambda is set to 1.0 do svmLinear.Fit() let pTrain = svmLinear.Predict xTrain let pTest = svmLinear.Predict xTest let aucTrain=AUC yTrain pTrain let aucTest=AUC yTest pTest printfn "%A" "linear SVM:" printfn "train auc: %A" aucTrain printfn "test auc: %A" aucTest // train a svm model with rbf kernel let svmRBF=new SVM (xTrain, yTrain,0.2,"rbf",1.0) // 0.2 is the penalty parameter and 1.0 is the parameter for rbf kernel do svmRBF.Fit() let pTrainRBF = svmRBF.Predict xTrain let pTestRBF = svmRBF.Predict xTest let aucTrainRBF=AUC yTrain pTrainRBF let aucTestRBF=AUC yTest pTestRBF printfn "%A" "rbf SVM:" printfn "train auc: %A" aucTrainRBF printfn "test auc: %A" aucTestRBF 0The current version of GBM can train either Gaussian or binomial response. In this example we train a binary classification model using the data /data/binary.txt, which is stored in the libsvm format.
open DataTypes open GBM open Utilities [<EntryPoint>] let main argv = let dat= new readData (@"/data/binary.txt", "binary") let seed=1 // random seed let folds=3 // split data into 3 folds let datFold = new data (dat.CreateFold folds seed ,dat.Features) // prepare data let fold=1 // use fold 1 for test and the others for train let xTrain,yTrain= datFold.Train fold // in case to train the model using all data: //let xTrain,yTrain= datFold.All let xTest,yTest= datFold.Test fold // train a gbm model with the following parameters: // depth of each tree: 4 // learning rate: 0.2 // regularization parameter lambda: 1.0 // regularization parameter gamma: 0.0 // row(sample wise) subsample ratio: 0.7 // col(feature wise) subsample ratio 0.6 let gbm = GBM (xTrain,yTrain,"binomial",4,0.2,1.0,0.0,0.7,0.6) // number of trees: 100 gbm.Fit(100) let pred = gbm.Predict (xTest ,"response") printfn "AUC: %A \t logloss: %A" (AUC yTest pred) (logloss yTest pred) // cross validation gbm.CVFit("AUC",100) 0