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[regression] finished n-dim minimization

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Jan Benda 2020-12-19 21:53:19 +01:00
parent 891515caf8
commit bfb2f66de2
4 changed files with 166 additions and 42 deletions
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8
designpattern/lecture/designpattern.tex
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@ -72,13 +72,13 @@ x = [2:3:20]; % Some vector.
y = []; % Empty vector for storing the results.
for i=1:length(x)
% The function get_something() returns a vector of unspecified size:
z = get_somehow_more(x(i));
z = get_something(x(i));
% The content of z is appended to the result vector y:
y = [y; z(:)];
y = [y, z(:)];
% The z(:) syntax ensures that we append column-vectors.
end
% Process the results stored in the vector z:
mean(y)
% Process the results stored in the vector y:
mean(y, 1)
\end{pagelisting}

41
regression/code/gradientDescentPower.m Normal file
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@ -0,0 +1,41 @@
function [p, ps, mses] = gradientDescentPower(x, y, p0, epsilon, threshold)
% Gradient descent for fitting a power-law.
%
% Arguments: x, vector of the x-data values.
% y, vector of the corresponding y-data values.
% p0, vector with initial values for c and alpha.
% epsilon: factor multiplying the gradient.
% threshold: minimum value for gradient
%
% Returns: p, vector with the final parameter values.
% ps: 2D-vector with all the parameter tuples traversed.
% mses: vector with the corresponding mean squared errors
p = p0;
gradient = ones(1, length(p0)) * 1000.0;
ps = [];
mses = [];
while norm(gradient) > threshold
ps = [ps, p(:)];
mses = [mses, meanSquaredErrorPower(x, y, p)];
gradient = meanSquaredGradientPower(x, y, p);
p = p - epsilon * gradient;
end
end
function mse = meanSquaredErrorPower(x, y, p)
mse = mean((y - p(1)*x.^p(2)).^2);
end
function gradmse = meanSquaredGradientPower(x, y, p)
gradmse = zeros(size(p, 1), size(p, 2));
h = 1e-5; % stepsize for derivatives
mse = meanSquaredErrorPower(x, y, p);
for i = 1:length(p) % for each coordinate ...
pi = p;
pi(i) = pi(i) + h; % displace i-th parameter
msepi = meanSquaredErrorPower(x, y, pi);
gradmse(i) = (msepi - mse)/h;
end
end

32
regression/code/plotgradientdescentpower.m Normal file
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@ -0,0 +1,32 @@
meansquarederrorline; % generate data
p0 = [2.0, 1.0];
eps = 0.00001;
thresh = 50.0;
[pest, ps, mses] = gradientDescentPower(x, y, p0, eps, thresh);
pest
subplot(2, 2, 1); % top left panel
hold on;
plot(ps(1,:), ps(2,:), '.');
plot(ps(1,end), ps(2,end), 'og');
plot(c, 3.0, 'or'); % dot indicating true parameter values
hold off;
xlabel('Iteration');
ylabel('C');
subplot(2, 2, 3); % bottom left panel
plot(mses, '-o');
xlabel('Iteration steps');
ylabel('MSE');
subplot(1, 2, 2); % right panel
hold on;
% generate x-values for plottig the fit:
xx = min(x):0.01:max(x);
yy = pest(1) * xx.^pest(2);
plot(xx, yy);
plot(x, y, 'o'); % plot original data
xlabel('Size [m]');
ylabel('Weight [kg]');
legend('fit', 'data', 'location', 'northwest');
pause

127
regression/lecture/regression.tex
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@ -319,7 +319,7 @@ differs sufficiently from zero. At steep slopes we take large steps
(the distance between the red dots in \figref{gradientdescentcubicfig}
is large).
\begin{exercise}{gradientDescentCubic.m}{}
\begin{exercise}{gradientDescentCubic.m}{}\label{gradientdescentexercise}
Implement the gradient descent algorithm for the problem of fitting
a cubic function \eqref{cubicfunc} to some measured data pairs $x$
and $y$ as a function \varcode{gradientDescentCubic()} that returns
@ -332,7 +332,7 @@ is large).
for the absolute value of the gradient terminating the algorithm.
\end{exercise}
\begin{exercise}{plotgradientdescentcubic.m}{}
\begin{exercise}{plotgradientdescentcubic.m}{}\label{plotgradientdescentexercise}
Use the function \varcode{gradientDescentCubic()} to fit the
simulated data from exercise~\ref{mseexercise}. Plot the returned
values of the parameter $c$ as as well as the corresponding mean
@ -373,15 +373,14 @@ control how they behave. Now you know what this is all about.
\section{N-dimensional minimization problems}
So far we were concerned about finding the right value for a single
parameter that minimizes a cost function. The gradient descent method
for such one dimensional problems seems a bit like over kill. However,
often we deal with functions that have more than a single parameter,
in general $n$ parameter. We then need to find the minimum in an $n$
dimensional parameter space.
parameter that minimizes a cost function. Often we deal with
functions that have more than a single parameter, in general $n$
parameters. We then need to find the minimum in an $n$ dimensional
parameter space.
For our tiger problem, we could have also fitted the exponent $\alpha$
of the power-law relation between size and weight, instead of assuming
a cubic relation:
a cubic relation with $\alpha=3$:
\begin{equation}
\label{powerfunc}
y = f(x; c, \alpha) = f(x; \vec p) = c\cdot x^\alpha
@ -390,11 +389,11 @@ We then could check whether the resulting estimate of the exponent
$\alpha$ indeed is close to the expected power of three. The
power-law \eqref{powerfunc} has two free parameters $c$ and $\alpha$.
Instead of a single parameter we are now dealing with a vector $\vec
p$ containing $n$ parameter values. Here, $\vec p = (c,
\alpha)$. Luckily, all the concepts we introduced on the example of
the one dimensional problem of tiger weights generalize to
$n$-dimensional problems. We only need to adapt a few things. The cost
function for the mean squared error reads
p$ containing $n$ parameter values. Here, $\vec p = (c, \alpha)$. All
the concepts we introduced on the example of the one dimensional
problem of tiger weights generalize to $n$-dimensional problems. We
only need to adapt a few things. The cost function for the mean
squared error reads
\begin{equation}
\label{ndimcostfunc}
f_{cost}(\vec p|\{(x_i, y_i)\}) = \frac{1}{N} \sum_{i=1}^N (y_i - f(x_i;\vec p))^2
@ -405,22 +404,18 @@ For two-dimensional problems the graph of the cost function is an
span a two-dimensional plane. The cost function assigns to each
parameter combination on this plane a single value. This results in a
landscape over the parameter plane with mountains and valleys and we
are searching for the bottom of the deepest valley.
are searching for the position of the bottom of the deepest valley.
When we place a ball somewhere on the slopes of a hill it rolls
downwards and eventually stops at the bottom. The ball always rolls in
the direction of the steepest slope.
\begin{ibox}[tp]{\label{partialderivativebox}Partial derivative and gradient}
Some functions that depend on more than a single variable:
\begin{ibox}[tp]{\label{partialderivativebox}Partial derivatives and gradient}
Some functions depend on more than a single variable. For example, the function
\[ z = f(x,y) \]
for example depends on $x$ and $y$. Using the partial derivative
depends on both $x$ and $y$. Using the partial derivatives
\[ \frac{\partial f(x,y)}{\partial x} = \lim\limits_{\Delta x \to 0} \frac{f(x + \Delta x,y) - f(x,y)}{\Delta x} \]
and
\[ \frac{\partial f(x,y)}{\partial y} = \lim\limits_{\Delta y \to 0} \frac{f(x, y + \Delta y) - f(x,y)}{\Delta y} \]
one can estimate the slope in the direction of the variables
individually by using the respective difference quotient
(Box~\ref{differentialquotientbox}). \vspace{1ex}
one can calculate the slopes in the directions of each of the
variables by means of the respective difference quotient
(see box~\ref{differentialquotientbox}). \vspace{1ex}
\begin{minipage}[t]{0.5\textwidth}
\mbox{}\\[-2ex]
@ -429,37 +424,93 @@ the direction of the steepest slope.
\hfill
\begin{minipage}[t]{0.46\textwidth}
For example, the partial derivatives of
\[ f(x,y) = x^2+y^2 \] are
\[ f(x,y) = x^2+y^2 \vspace{-1ex} \] are
\[ \frac{\partial f(x,y)}{\partial x} = 2x \; , \quad \frac{\partial f(x,y)}{\partial y} = 2y \; .\]
The gradient is a vector that is constructed from the partial derivatives:
The gradient is a vector with the partial derivatives as coordinates:
\[ \nabla f(x,y) = \left( \begin{array}{c} \frac{\partial f(x,y)}{\partial x} \\[1ex] \frac{\partial f(x,y)}{\partial y} \end{array} \right) \]
This vector points into the direction of the strongest ascend of
$f(x,y)$.
\end{minipage}
\vspace{0.5ex} The figure shows the contour lines of a bi-variate
\vspace{0.5ex} The figure shows the contour lines of a bivariate
Gaussian $f(x,y) = \exp(-(x^2+y^2)/2)$ and the gradient (thick
arrows) and the corresponding two partial derivatives (thin arrows)
for three different locations.
arrows) together with the corresponding partial derivatives (thin
arrows) for three different locations.
\end{ibox}
The \entermde{Gradient}{gradient} (Box~\ref{partialderivativebox}) of the
objective function is the vector
When we place a ball somewhere on the slopes of a hill, it rolls
downwards and eventually stops at the bottom. The ball always rolls in
the direction of the steepest slope. For a two-dimensional parameter
space of our example, the \entermde{Gradient}{gradient}
(box~\ref{partialderivativebox}) of the cost function is a vector
\begin{equation}
\label{gradientpowerlaw}
\nabla f_{cost}(c, \alpha) = \left( \frac{\partial f_{cost}(c, \alpha)}{\partial c},
\frac{\partial f_{cost}(c, \alpha)}{\partial \alpha} \right)
\end{equation}
that points into the direction of the strongest ascend of the cost
function. The gradient is given by the partial derivatives
(box~\ref{partialderivativebox}) of the mean squared error with
respect to the parameters $c$ and $\alpha$ of the power law
relation. In general, for $n$-dimensional problems, the gradient is an
$n-$ dimensional vector containing for each of the $n$ parameters
$p_j$ the respective partial derivatives as coordinates:
\begin{equation}
\label{gradient}
\nabla f_{cost}(m,b) = \left( \frac{\partial f(m,b)}{\partial m},
\frac{\partial f(m,b)}{\partial b} \right)
\nabla f_{cost}(\vec p) = \left( \frac{\partial f_{cost}(\vec p)}{\partial p_j} \right)
\end{equation}
The iterative equation \eqref{gradientdescent} of the gradient descent
stays exactly the same, with the only difference that the current
parameter value $p_i$ becomes a vector $\vec p_i$ of parameter values:
\begin{equation}
\label{ndimgradientdescent}
\vec p_{i+1} = \vec p_i - \epsilon \cdot \nabla f_{cost}(\vec p_i)
\end{equation}
that points to the strongest ascend of the objective function. The
gradient is given by partial derivatives
(Box~\ref{partialderivativebox}) of the mean squared error with
respect to the parameters $m$ and $b$ of the straight line.
For the termination condition we need the length of the gradient. In
one dimension it was just the absolute value of the derivative. For
$n$ dimensions this is according to the \enterm{Pythagorean theorem}
(\determ[Pythagoras!Satz des]{Satz des Pythagoras}) the square root of
the sum of the squared partial derivatives:
\begin{equation}
\label{ndimabsgradient}
|\nabla f_{cost}(\vec p_i)| = \sqrt{\sum_{i=1}^n \left(\frac{\partial f_{cost}(\vec p)}{\partial p_i}\right)^2}
\end{equation}
The \code{norm()} function implements this.
\begin{exercise}{gradientDescentPower.m}{}
Adapt the function \varcode{gradientDescentCubic()} from
exercise~\ref{gradientdescentexercise} to implement the gradient
descent algorithm for the power law \eqref{powerfunc}. The new
function takes a two element vector $(c,\alpha)$ for the initial
parameter values and also returns the best parameter combination as
a two-element vector. Use a \varcode{for} loop over the two
dimensions for computing the gradient.
\end{exercise}
\begin{exercise}{plotgradientdescentpower.m}{}
Use the function \varcode{gradientDescentPower()} to fit the
simulated data from exercise~\ref{mseexercise}. Plot the returned
values of the two parameters against each other. Compare the result
of the gradient descent method with the true values of $c$ and
$\alpha$ used to simulate the data. Observe the norm of the gradient
and inspect the plots to adapt $\epsilon$ (smaller than in
exercise~\ref{plotgradientdescentexercise}) and the threshold (much
larger) appropriately. Finally plot the data together with the best
fitting power-law \eqref{powerfunc}.
\end{exercise}
\section{Curve fit for arbitrary functions}
So far, all our code for the gradient descent algorithm was tailored
to a specific function, the cubic relation \eqref{cubicfunc} or the
power law \eqref{powerfunc}.
\section{XXX}
For example, you measure the response of a passive membrane to a
current step and you want to estimate membrane time constant. Then you
current step and you want to estimate membrane the time constant. Then you
need to fit an exponential function
\begin{equation}
\label{expfunc}