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loss

Clase: RegressionLinear

Regression loss for linear regression models

Sintaxis

L = loss(Mdl,X,Y)
L = loss(___,Name,Value)

Description

ejemplo

L = loss(Mdl,X,Y) returns the mean squared error (MSE) for the linear regression model Mdl using predictor data in X and corresponding responses in Y. L contains an MSE for each regularization strength in Mdl.

ejemplo

L = loss(___,Name,Value) uses any of the previous syntaxes and additional options specified by one or more Name,Value pair arguments. For example, specify that columns in the predictor data correspond to observations or specify the regression loss function.

Argumentos de entrada

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Linear regression model, specified as a RegressionLinear model object. You can create a RegressionLinear model object using fitrlinear.

Predictor data, specified as an n-by-p full or sparse matrix. This orientation of X indicates that rows correspond to individual observations, and columns correspond to individual predictor variables.

Nota

If you orient your predictor matrix so that observations correspond to columns and specify 'ObservationsIn','columns', then you might experience a significant reduction in computation time.

The length of Y and the number of observations in X must be equal.

Tipos de datos: single | double

Response data, specified as an n-dimensional numeric vector. The length of Y and the number of observations in X must be equal.

Tipos de datos: single | double

Argumentos de par nombre-valor

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Loss function, specified as the comma-separated pair consisting of 'LossFun' and a built-in loss function name or function handle.

  • The following table lists the available loss functions. Specify one using its corresponding value. Also, in the table, f(x)=xβ+b.

    • β is a vector of p coefficients.

    • x is an observation from p predictor variables.

    • b is the scalar bias.

    ValueDescription
    'epsiloninsensitive'Epsilon-insensitive loss: [y,f(x)]=max[0,|yf(x)|ε]
    'mse'MSE: [y,f(x)]=[yf(x)]2

    'epsiloninsensitive' is appropriate for SVM learners only.

  • Specify your own function using function handle notation.

    Let n be the number of observations in X. Your function must have this signature

    lossvalue = lossfun(Y,Yhat,W)
    where:

    • The output argument lossvalue is a scalar.

    • You choose the function name (lossfun).

    • Y is an n-dimensional vector of observed responses. loss passes the input argument Y in for Y.

    • Yhat is an n-dimensional vector of predicted responses, which is similar to the output of predict.

    • W is an n-by-1 numeric vector of observation weights.

    Specify your function using 'LossFun',@lossfun.

Tipos de datos: char | string | function_handle

Predictor data observation dimension, specified as the comma-separated pair consisting of 'ObservationsIn' and 'columns' or 'rows'.

Nota

If you orient your predictor matrix so that observations correspond to columns and specify 'ObservationsIn','columns', then you might experience a significant reduction in optimization-execution time.

Observation weights, specified as the comma-separated pair consisting of 'Weights' and a numeric vector of positive values. If you supply weights, loss computes the weighted classification loss.

Let n be the number of observations in X.

  • numel(Weights) must be n.

  • By default, Weights is ones(n,1).

Tipos de datos: double | single

Output Arguments

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Regression losses, returned as a numeric scalar or row vector. The interpretation of L depends on Weights and LossFun.

L is the same size as Mdl.Lambda. L(j) is the regression loss of the linear regression model trained using the regularization strength Mdl.Lambda(j).

Nota

If Mdl.FittedLoss is 'mse', then the loss term in the objective function is half of the MSE. loss returns the MSE by default. Therefore, if you use loss to check the resubstitution (training) error, then there is a discrepancy between the MSE and optimization results that fitrlinear returns.

Ejemplos

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Simulate 10000 observations from this model

  • is a 10000-by-1000 sparse matrix with 10% nonzero standard normal elements.

  • e is random normal error with mean 0 and standard deviation 0.3.

rng(1) % For reproducibility
n = 1e4;
d = 1e3;
nz = 0.1;
X = sprandn(n,d,nz);
Y = X(:,100) + 2*X(:,200) + 0.3*randn(n,1);

Train a linear regression model. Reserve 30% of the observations as a holdout sample.

CVMdl = fitrlinear(X,Y,'Holdout',0.3);
Mdl = CVMdl.Trained{1}
Mdl = 
  RegressionLinear
         ResponseName: 'Y'
    ResponseTransform: 'none'
                 Beta: [1000x1 double]
                 Bias: -0.0066
               Lambda: 1.4286e-04
              Learner: 'svm'


  Properties, Methods

CVMdl is a RegressionPartitionedLinear model. It contains the property Trained, which is a 1-by-1 cell array holding a RegressionLinear model that the software trained using the training set.

Extract the training and test data from the partition definition.

trainIdx = training(CVMdl.Partition);
testIdx = test(CVMdl.Partition);

Estimate the training- and test-sample MSE.

mseTrain = loss(Mdl,X(trainIdx,:),Y(trainIdx))
mseTrain = 0.1496
mseTest = loss(Mdl,X(testIdx,:),Y(testIdx))
mseTest = 0.1798

Because there is one regularization strength in Mdl, mseTrain and mseTest are numeric scalars.

Simulate 10000 observations from this model

  • is a 10000-by-1000 sparse matrix with 10% nonzero standard normal elements.

  • e is random normal error with mean 0 and standard deviation 0.3.

rng(1) % For reproducibility
n = 1e4;
d = 1e3;
nz = 0.1;
X = sprandn(n,d,nz); 
Y = X(:,100) + 2*X(:,200) + 0.3*randn(n,1);
X = X'; % Put observations in columns for faster training

Train a linear regression model. Reserve 30% of the observations as a holdout sample.

CVMdl = fitrlinear(X,Y,'Holdout',0.3,'ObservationsIn','columns'); 
Mdl = CVMdl.Trained{1}
Mdl = 
  RegressionLinear
         ResponseName: 'Y'
    ResponseTransform: 'none'
                 Beta: [1000x1 double]
                 Bias: -0.0066
               Lambda: 1.4286e-04
              Learner: 'svm'


  Properties, Methods

CVMdl is a RegressionPartitionedLinear model. It contains the property Trained, which is a 1-by-1 cell array holding a RegressionLinear model that the software trained using the training set.

Extract the training and test data from the partition definition.

trainIdx = training(CVMdl.Partition);
testIdx = test(CVMdl.Partition);

Create an anonymous function that measures Huber loss ( = 1), that is,

where

is the residual for observation j. Custom loss functions must be written in a particular form. For rules on writing a custom loss function, see the 'LossFun' name-value pair argument.

huberloss = @(Y,Yhat,W)sum(W.*((0.5*(abs(Y-Yhat)<=1).*(Y-Yhat).^2) + ...
    ((abs(Y-Yhat)>1).*abs(Y-Yhat)-0.5)))/sum(W);

Estimate the training set and test set regression loss using the Huber loss function.

eTrain = loss(Mdl,X(:,trainIdx),Y(trainIdx),'LossFun',huberloss,...
    'ObservationsIn','columns')
eTrain = -0.4186
eTest = loss(Mdl,X(:,testIdx),Y(testIdx),'LossFun',huberloss,...
    'ObservationsIn','columns')
eTest = -0.4010

Simulate 10000 observations from this model

  • is a 10000-by-1000 sparse matrix with 10% nonzero standard normal elements.

  • e is random normal error with mean 0 and standard deviation 0.3.

rng(1) % For reproducibility
n = 1e4;
d = 1e3;
nz = 0.1;
X = sprandn(n,d,nz);
Y = X(:,100) + 2*X(:,200) + 0.3*randn(n,1);

Create a set of 15 logarithmically-spaced regularization strengths from through .

Lambda = logspace(-4,-1,15);

Hold out 30% of the data for testing. Identify the test-sample indices.

cvp = cvpartition(numel(Y),'Holdout',0.30);
idxTest = test(cvp);

Train a linear regression model using lasso penalties with the strengths in Lambda. Specify the regularization strengths, optimizing the objective function using SpaRSA, and the data partition. To increase execution speed, transpose the predictor data and specify that the observations are in columns.

X = X'; 
CVMdl = fitrlinear(X,Y,'ObservationsIn','columns','Lambda',Lambda,...
    'Solver','sparsa','Regularization','lasso','CVPartition',cvp);
Mdl1 = CVMdl.Trained{1};
numel(Mdl1.Lambda)
ans = 15

Mdl1 is a RegressionLinear model. Because Lambda is a 15-dimensional vector of regularization strengths, you can think of Mdl1 as 15 trained models, one for each regularization strength.

Estimate the test-sample mean squared error for each regularized model.

mse = loss(Mdl1,X(:,idxTest),Y(idxTest),'ObservationsIn','columns');

Higher values of Lambda lead to predictor variable sparsity, which is a good quality of a regression model. Retrain the model using the entire data set and all options used previously, except the data-partition specification. Determine the number of nonzero coefficients per model.

Mdl = fitrlinear(X,Y,'ObservationsIn','columns','Lambda',Lambda,...
    'Solver','sparsa','Regularization','lasso');
numNZCoeff = sum(Mdl.Beta~=0);

In the same figure, plot the MSE and frequency of nonzero coefficients for each regularization strength. Plot all variables on the log scale.

figure;
[h,hL1,hL2] = plotyy(log10(Lambda),log10(mse),...
    log10(Lambda),log10(numNZCoeff)); 
hL1.Marker = 'o';
hL2.Marker = 'o';
ylabel(h(1),'log_{10} MSE')
ylabel(h(2),'log_{10} nonzero-coefficient frequency')
xlabel('log_{10} Lambda')
hold off

Select the index or indices of Lambda that balance minimal classification error and predictor-variable sparsity (for example, Lambda(11)).

idx = 11;
MdlFinal = selectModels(Mdl,idx);

MdlFinal is a trained RegressionLinear model object that uses Lambda(11) as a regularization strength.

Capacidades ampliadas

Consulte también

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Introducido en R2016a