Python中某些特征的正系数线性回归

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【中文标题】Python中某些特征的正系数线性回归【英文标题】:Linear regression with positive coefficients for SOME of the features in Python 【发布时间】:2019-05-22 04:34:55 【问题描述】:

我正在尝试找到一种方法来拟合线性回归。但是,我想强制 一些 驱动因素的系数为正。

据我了解,scipy.optimize.nnls 可以进行非负最小二乘,但适用于所有驱动程序。

有没有办法自动完成?

非常感谢。

【问题讨论】:

【参考方案1】:

这是一个图形拟合器,它在拟合函数中具有“砖墙”,强制拟合参数之一为正。请注意,在此示例中,拟合度非常差 - 如果您移除“砖墙”,示例拟合度会大大提高。本例使用默认的 scipy curve_fit() 初始参数估计全部为 1.0,并且不使用 scipy 的遗传算法来帮助寻找初始参数估计。使用这种技术时,初始参数估计必须在“砖墙”条件之外,以便非线性拟合器可以正常开始。

import numpy, scipy, matplotlib
import matplotlib.pyplot as plt
from scipy.optimize import curve_fit

xData = numpy.array([19.1647, 18.0189, 16.9550, 15.7683, 14.7044, 13.6269, 12.6040, 11.4309, 10.2987, 9.23465, 8.18440, 7.89789, 7.62498, 7.36571, 7.01106, 6.71094, 6.46548, 6.27436, 6.16543, 6.05569, 5.91904, 5.78247, 5.53661, 4.85425, 4.29468, 3.74888, 3.16206, 2.58882, 1.93371, 1.52426, 1.14211, 0.719035, 0.377708, 0.0226971, -0.223181, -0.537231, -0.878491, -1.27484, -1.45266, -1.57583, -1.61717])
yData = numpy.array([0.644557, 0.641059, 0.637555, 0.634059, 0.634135, 0.631825, 0.631899, 0.627209, 0.622516, 0.617818, 0.616103, 0.613736, 0.610175, 0.606613, 0.605445, 0.603676, 0.604887, 0.600127, 0.604909, 0.588207, 0.581056, 0.576292, 0.566761, 0.555472, 0.545367, 0.538842, 0.529336, 0.518635, 0.506747, 0.499018, 0.491885, 0.484754, 0.475230, 0.464514, 0.454387, 0.444861, 0.437128, 0.415076, 0.401363, 0.390034, 0.378698])


def func(x, a, b, offset): #exponential curve fitting function
    # force a to be positive by using "brick wall" that
    # returns a large value, and therefore a large error,
    # if parameter a is not positive
    if a <= 0.0:
        return 1.0E10
    return a * numpy.exp(-b*x) + offset


fittedParameters, pcov = curve_fit(func, xData, yData)

print(fittedParameters)
print()

modelPredictions = func(xData, *fittedParameters) 

absError = modelPredictions - yData

SE = numpy.square(absError) # squared errors
MSE = numpy.mean(SE) # mean squared errors
RMSE = numpy.sqrt(MSE) # Root Mean Squared Error, RMSE
Rsquared = 1.0 - (numpy.var(absError) / numpy.var(yData))

print()
print('RMSE:', RMSE)
print('R-squared:', Rsquared)

print()


##########################################################
# graphics output section
def ModelAndScatterPlot(graphWidth, graphHeight):
    f = plt.figure(figsize=(graphWidth/100.0, graphHeight/100.0), dpi=100)
    axes = f.add_subplot(111)

    # first the raw data as a scatter plot
    axes.plot(xData, yData,  'D')

    # create data for the fitted equation plot
    xModel = numpy.linspace(min(xData), max(xData))
    yModel = func(xModel, *fittedParameters)

    # now the model as a line plot
    axes.plot(xModel, yModel)

    axes.set_xlabel('X Data') # X axis data label
    axes.set_ylabel('Y Data') # Y axis data label

    plt.show()
    plt.close('all') # clean up after using pyplot

graphWidth = 800
graphHeight = 600
ModelAndScatterPlot(graphWidth, graphHeight)

【讨论】:

嗨@JamesPhillips,新年快乐!据我在您的示例中了解,仅使用一个驱动程序来预测目标。但是在多元回归的情况下,你如何应用它,其中一些变量被限制为正而不是其他?【参考方案2】:

根据有关约束多元回归的评论,这是一个图形 3D 表面拟合器,它也有一个“砖墙”来强制拟合参数之一为正。可以使用受约束或不受约束的函数版本调用 curve_fit 以进行比较。

import numpy, scipy, scipy.optimize
import matplotlib
from mpl_toolkits.mplot3d import  Axes3D
from matplotlib import cm # to colormap 3D surfaces from blue to red
import matplotlib.pyplot as plt

graphWidth = 800 # units are pixels
graphHeight = 600 # units are pixels

# 3D contour plot lines
numberOfContourLines = 16


def SurfacePlot(func, data, fittedParameters):
    f = plt.figure(figsize=(graphWidth/100.0, graphHeight/100.0), dpi=100)

    matplotlib.pyplot.grid(True)
    axes = Axes3D(f)

    x_data = data[0]
    y_data = data[1]
    z_data = data[2]

    xModel = numpy.linspace(min(x_data), max(x_data), 20)
    yModel = numpy.linspace(min(y_data), max(y_data), 20)
    X, Y = numpy.meshgrid(xModel, yModel)

    Z = func(numpy.array([X, Y]), *fittedParameters)

    axes.plot_surface(X, Y, Z, rstride=1, cstride=1, cmap=cm.coolwarm, linewidth=1, antialiased=True)

    axes.scatter(x_data, y_data, z_data) # show data along with plotted surface

    axes.set_title('Surface Plot (click-drag with mouse)') # add a title for surface plot
    axes.set_xlabel('X Data') # X axis data label
    axes.set_ylabel('Y Data') # Y axis data label
    axes.set_zlabel('Z Data') # Z axis data label

    plt.show()
    plt.close('all') # clean up after using pyplot or else thaere can be memory and process problems


def ContourPlot(func, data, fittedParameters):
    f = plt.figure(figsize=(graphWidth/100.0, graphHeight/100.0), dpi=100)
    axes = f.add_subplot(111)

    x_data = data[0]
    y_data = data[1]
    z_data = data[2]

    xModel = numpy.linspace(min(x_data), max(x_data), 20)
    yModel = numpy.linspace(min(y_data), max(y_data), 20)
    X, Y = numpy.meshgrid(xModel, yModel)

    Z = func(numpy.array([X, Y]), *fittedParameters)

    axes.plot(x_data, y_data, 'o')

    axes.set_title('Contour Plot') # add a title for contour plot
    axes.set_xlabel('X Data') # X axis data label
    axes.set_ylabel('Y Data') # Y axis data label

    CS = matplotlib.pyplot.contour(X, Y, Z, numberOfContourLines, colors='k')
    matplotlib.pyplot.clabel(CS, inline=1, fontsize=10) # labels for contours

    plt.show()
    plt.close('all') # clean up after using pyplot or else thaere can be memory and process problems


def ScatterPlot(data):
    f = plt.figure(figsize=(graphWidth/100.0, graphHeight/100.0), dpi=100)

    matplotlib.pyplot.grid(True)
    axes = Axes3D(f)
    x_data = data[0]
    y_data = data[1]
    z_data = data[2]

    axes.scatter(x_data, y_data, z_data)

    axes.set_title('Scatter Plot (click-drag with mouse)')
    axes.set_xlabel('X Data')
    axes.set_ylabel('Y Data')
    axes.set_zlabel('Z Data')

    plt.show()
    plt.close('all') # clean up after using pyplot or else thaere can be memory and process problems


def func(data, a, b, c):
    # extract the individual data arrays used in the equation
    x = data[0]
    y = data[1]

    return a*x + b*y + c


def constrainedFunction(data, a, b, c):
    # use a "brick wall" to ensure parameter c is positive
    # return a large value and therefor large error
    if c <= 0.0:
        return 1.0E10
    else:
        return func(data, a, b, c) # call the unconstrained function


if __name__ == "__main__":
    xData = numpy.array([-10.0, 1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0])
    yData = numpy.array([-10.0, 11.0, 12.1, 13.0, 14.1, 15.0, 16.1, 17.0, 18.1, 19.0])
    zData = numpy.array([-30.0, 1.1, 2.2, 3.3, 4.4, 5.5, 6.6, 7.7, 8.0, 9.9])

    data = [xData, yData, zData]

    initialParameters = [1.0, 1.0, 1.0] # these are the same as scipy default values in this example

    # here a non-linear surface fit is made with scipy's curve_fit()
    fittedParameters, pcov = scipy.optimize.curve_fit(constrainedFunction, [xData, yData], zData, p0 = initialParameters)

    ScatterPlot(data)
    SurfacePlot(func, data, fittedParameters)
    ContourPlot(func, data, fittedParameters)

    print('fitted prameters', fittedParameters)

【讨论】:

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