From 5ed48dd84d38dfe621428e164a02e74ddbdbc622 Mon Sep 17 00:00:00 2001 From: Yanbo Liang Date: Tue, 1 Mar 2016 08:47:56 -0800 Subject: [SPARK-12811][ML] Estimator for Generalized Linear Models(GLMs) Estimator for Generalized Linear Models(GLMs) which will be solved by IRLS. cc mengxr Author: Yanbo Liang Closes #11136 from yanboliang/spark-12811. --- .../spark/ml/optim/WeightedLeastSquares.scala | 10 +- .../regression/GeneralizedLinearRegression.scala | 577 +++++++++++++++++++++ .../spark/ml/regression/LinearRegression.scala | 4 +- .../GeneralizedLinearRegressionSuite.scala | 507 ++++++++++++++++++ 4 files changed, 1094 insertions(+), 4 deletions(-) create mode 100644 mllib/src/main/scala/org/apache/spark/ml/regression/GeneralizedLinearRegression.scala create mode 100644 mllib/src/test/scala/org/apache/spark/ml/regression/GeneralizedLinearRegressionSuite.scala (limited to 'mllib') diff --git a/mllib/src/main/scala/org/apache/spark/ml/optim/WeightedLeastSquares.scala b/mllib/src/main/scala/org/apache/spark/ml/optim/WeightedLeastSquares.scala index 61b3642131..55b7510656 100644 --- a/mllib/src/main/scala/org/apache/spark/ml/optim/WeightedLeastSquares.scala +++ b/mllib/src/main/scala/org/apache/spark/ml/optim/WeightedLeastSquares.scala @@ -156,6 +156,12 @@ private[ml] class WeightedLeastSquares( private[ml] object WeightedLeastSquares { + /** + * In order to take the normal equation approach efficiently, [[WeightedLeastSquares]] + * only supports the number of features is no more than 4096. + */ + val MAX_NUM_FEATURES: Int = 4096 + /** * Aggregator to provide necessary summary statistics for solving [[WeightedLeastSquares]]. */ @@ -174,8 +180,8 @@ private[ml] object WeightedLeastSquares { private var aaSum: DenseVector = _ private def init(k: Int): Unit = { - require(k <= 4096, "In order to take the normal equation approach efficiently, " + - s"we set the max number of features to 4096 but got $k.") + require(k <= MAX_NUM_FEATURES, "In order to take the normal equation approach efficiently, " + + s"we set the max number of features to $MAX_NUM_FEATURES but got $k.") this.k = k triK = k * (k + 1) / 2 count = 0L diff --git a/mllib/src/main/scala/org/apache/spark/ml/regression/GeneralizedLinearRegression.scala b/mllib/src/main/scala/org/apache/spark/ml/regression/GeneralizedLinearRegression.scala new file mode 100644 index 0000000000..a850dfee0a --- /dev/null +++ b/mllib/src/main/scala/org/apache/spark/ml/regression/GeneralizedLinearRegression.scala @@ -0,0 +1,577 @@ +/* + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed with + * this work for additional information regarding copyright ownership. + * The ASF licenses this file to You under the Apache License, Version 2.0 + * (the "License"); you may not use this file except in compliance with + * the License. You may obtain a copy of the License at + * + * http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + */ + +package org.apache.spark.ml.regression + +import breeze.stats.distributions.{Gaussian => GD} + +import org.apache.spark.{Logging, SparkException} +import org.apache.spark.annotation.{Experimental, Since} +import org.apache.spark.ml.PredictorParams +import org.apache.spark.ml.feature.Instance +import org.apache.spark.ml.optim._ +import org.apache.spark.ml.param._ +import org.apache.spark.ml.param.shared._ +import org.apache.spark.ml.util.Identifiable +import org.apache.spark.mllib.linalg.{BLAS, Vector} +import org.apache.spark.rdd.RDD +import org.apache.spark.sql.{DataFrame, Row} +import org.apache.spark.sql.functions._ + +/** + * Params for Generalized Linear Regression. + */ +private[regression] trait GeneralizedLinearRegressionBase extends PredictorParams + with HasFitIntercept with HasMaxIter with HasTol with HasRegParam with HasWeightCol + with HasSolver with Logging { + + /** + * Param for the name of family which is a description of the error distribution + * to be used in the model. + * Supported options: "gaussian", "binomial", "poisson" and "gamma". + * Default is "gaussian". + * @group param + */ + @Since("2.0.0") + final val family: Param[String] = new Param(this, "family", + "The name of family which is a description of the error distribution to be used in the " + + "model. Supported options: gaussian(default), binomial, poisson and gamma.", + ParamValidators.inArray[String](GeneralizedLinearRegression.supportedFamilyNames.toArray)) + + /** @group getParam */ + @Since("2.0.0") + def getFamily: String = $(family) + + /** + * Param for the name of link function which provides the relationship + * between the linear predictor and the mean of the distribution function. + * Supported options: "identity", "log", "inverse", "logit", "probit", "cloglog" and "sqrt". + * @group param + */ + @Since("2.0.0") + final val link: Param[String] = new Param(this, "link", "The name of link function " + + "which provides the relationship between the linear predictor and the mean of the " + + "distribution function. Supported options: identity, log, inverse, logit, probit, " + + "cloglog and sqrt.", + ParamValidators.inArray[String](GeneralizedLinearRegression.supportedLinkNames.toArray)) + + /** @group getParam */ + @Since("2.0.0") + def getLink: String = $(link) + + import GeneralizedLinearRegression._ + + @Since("2.0.0") + override def validateParams(): Unit = { + if ($(solver) == "irls") { + setDefault(maxIter -> 25) + } + if (isDefined(link)) { + require(supportedFamilyAndLinkPairs.contains( + Family.fromName($(family)) -> Link.fromName($(link))), "Generalized Linear Regression " + + s"with ${$(family)} family does not support ${$(link)} link function.") + } + } +} + +/** + * :: Experimental :: + * + * Fit a Generalized Linear Model ([[https://en.wikipedia.org/wiki/Generalized_linear_model]]) + * specified by giving a symbolic description of the linear predictor (link function) and + * a description of the error distribution (family). + * It supports "gaussian", "binomial", "poisson" and "gamma" as family. + * Valid link functions for each family is listed below. The first link function of each family + * is the default one. + * - "gaussian" -> "identity", "log", "inverse" + * - "binomial" -> "logit", "probit", "cloglog" + * - "poisson" -> "log", "identity", "sqrt" + * - "gamma" -> "inverse", "identity", "log" + */ +@Experimental +@Since("2.0.0") +class GeneralizedLinearRegression @Since("2.0.0") (@Since("2.0.0") override val uid: String) + extends Regressor[Vector, GeneralizedLinearRegression, GeneralizedLinearRegressionModel] + with GeneralizedLinearRegressionBase with Logging { + + import GeneralizedLinearRegression._ + + @Since("2.0.0") + def this() = this(Identifiable.randomUID("glm")) + + /** + * Sets the value of param [[family]]. + * Default is "gaussian". + * @group setParam + */ + @Since("2.0.0") + def setFamily(value: String): this.type = set(family, value) + setDefault(family -> Gaussian.name) + + /** + * Sets the value of param [[link]]. + * @group setParam + */ + @Since("2.0.0") + def setLink(value: String): this.type = set(link, value) + + /** + * Sets if we should fit the intercept. + * Default is true. + * @group setParam + */ + @Since("2.0.0") + def setFitIntercept(value: Boolean): this.type = set(fitIntercept, value) + + /** + * Sets the maximum number of iterations. + * Default is 25 if the solver algorithm is "irls". + * @group setParam + */ + @Since("2.0.0") + def setMaxIter(value: Int): this.type = set(maxIter, value) + + /** + * Sets the convergence tolerance of iterations. + * Smaller value will lead to higher accuracy with the cost of more iterations. + * Default is 1E-6. + * @group setParam + */ + @Since("2.0.0") + def setTol(value: Double): this.type = set(tol, value) + setDefault(tol -> 1E-6) + + /** + * Sets the regularization parameter. + * Default is 0.0. + * @group setParam + */ + @Since("2.0.0") + def setRegParam(value: Double): this.type = set(regParam, value) + setDefault(regParam -> 0.0) + + /** + * Sets the value of param [[weightCol]]. + * If this is not set or empty, we treat all instance weights as 1.0. + * Default is empty, so all instances have weight one. + * @group setParam + */ + @Since("2.0.0") + def setWeightCol(value: String): this.type = set(weightCol, value) + setDefault(weightCol -> "") + + /** + * Sets the solver algorithm used for optimization. + * Currently only support "irls" which is also the default solver. + * @group setParam + */ + @Since("2.0.0") + def setSolver(value: String): this.type = set(solver, value) + setDefault(solver -> "irls") + + override protected def train(dataset: DataFrame): GeneralizedLinearRegressionModel = { + val familyObj = Family.fromName($(family)) + val linkObj = if (isDefined(link)) { + Link.fromName($(link)) + } else { + familyObj.defaultLink + } + val familyAndLink = new FamilyAndLink(familyObj, linkObj) + + val numFeatures = dataset.select(col($(featuresCol))).limit(1).rdd + .map { case Row(features: Vector) => + features.size + }.first() + if (numFeatures > WeightedLeastSquares.MAX_NUM_FEATURES) { + val msg = "Currently, GeneralizedLinearRegression only supports number of features" + + s" <= ${WeightedLeastSquares.MAX_NUM_FEATURES}. Found $numFeatures in the input dataset." + throw new SparkException(msg) + } + + val w = if ($(weightCol).isEmpty) lit(1.0) else col($(weightCol)) + val instances: RDD[Instance] = dataset.select(col($(labelCol)), w, col($(featuresCol))).rdd + .map { case Row(label: Double, weight: Double, features: Vector) => + Instance(label, weight, features) + } + + if (familyObj == Gaussian && linkObj == Identity) { + // TODO: Make standardizeFeatures and standardizeLabel configurable. + val optimizer = new WeightedLeastSquares($(fitIntercept), $(regParam), + standardizeFeatures = true, standardizeLabel = true) + val wlsModel = optimizer.fit(instances) + val model = copyValues( + new GeneralizedLinearRegressionModel(uid, wlsModel.coefficients, wlsModel.intercept) + .setParent(this)) + return model + } + + // Fit Generalized Linear Model by iteratively reweighted least squares (IRLS). + val initialModel = familyAndLink.initialize(instances, $(fitIntercept), $(regParam)) + val optimizer = new IterativelyReweightedLeastSquares(initialModel, familyAndLink.reweightFunc, + $(fitIntercept), $(regParam), $(maxIter), $(tol)) + val irlsModel = optimizer.fit(instances) + + val model = copyValues( + new GeneralizedLinearRegressionModel(uid, irlsModel.coefficients, irlsModel.intercept) + .setParent(this)) + model + } + + @Since("2.0.0") + override def copy(extra: ParamMap): GeneralizedLinearRegression = defaultCopy(extra) +} + +@Since("2.0.0") +private[ml] object GeneralizedLinearRegression { + + /** Set of family and link pairs that GeneralizedLinearRegression supports. */ + lazy val supportedFamilyAndLinkPairs = Set( + Gaussian -> Identity, Gaussian -> Log, Gaussian -> Inverse, + Binomial -> Logit, Binomial -> Probit, Binomial -> CLogLog, + Poisson -> Log, Poisson -> Identity, Poisson -> Sqrt, + Gamma -> Inverse, Gamma -> Identity, Gamma -> Log + ) + + /** Set of family names that GeneralizedLinearRegression supports. */ + lazy val supportedFamilyNames = supportedFamilyAndLinkPairs.map(_._1.name) + + /** Set of link names that GeneralizedLinearRegression supports. */ + lazy val supportedLinkNames = supportedFamilyAndLinkPairs.map(_._2.name) + + val epsilon: Double = 1E-16 + + /** + * Wrapper of family and link combination used in the model. + */ + private[ml] class FamilyAndLink(val family: Family, val link: Link) extends Serializable { + + /** Linear predictor based on given mu. */ + def predict(mu: Double): Double = link.link(family.project(mu)) + + /** Fitted value based on linear predictor eta. */ + def fitted(eta: Double): Double = family.project(link.unlink(eta)) + + /** + * Get the initial guess model for [[IterativelyReweightedLeastSquares]]. + */ + def initialize( + instances: RDD[Instance], + fitIntercept: Boolean, + regParam: Double): WeightedLeastSquaresModel = { + val newInstances = instances.map { instance => + val mu = family.initialize(instance.label, instance.weight) + val eta = predict(mu) + Instance(eta, instance.weight, instance.features) + } + // TODO: Make standardizeFeatures and standardizeLabel configurable. + val initialModel = new WeightedLeastSquares(fitIntercept, regParam, + standardizeFeatures = true, standardizeLabel = true) + .fit(newInstances) + initialModel + } + + /** + * The reweight function used to update offsets and weights + * at each iteration of [[IterativelyReweightedLeastSquares]]. + */ + val reweightFunc: (Instance, WeightedLeastSquaresModel) => (Double, Double) = { + (instance: Instance, model: WeightedLeastSquaresModel) => { + val eta = model.predict(instance.features) + val mu = fitted(eta) + val offset = eta + (instance.label - mu) * link.deriv(mu) + val weight = instance.weight / (math.pow(this.link.deriv(mu), 2.0) * family.variance(mu)) + (offset, weight) + } + } + } + + /** + * A description of the error distribution to be used in the model. + * @param name the name of the family. + */ + private[ml] abstract class Family(val name: String) extends Serializable { + + /** The default link instance of this family. */ + val defaultLink: Link + + /** Initialize the starting value for mu. */ + def initialize(y: Double, weight: Double): Double + + /** The variance of the endogenous variable's mean, given the value mu. */ + def variance(mu: Double): Double + + /** Trim the fitted value so that it will be in valid range. */ + def project(mu: Double): Double = mu + } + + private[ml] object Family { + + /** + * Gets the [[Family]] object from its name. + * @param name family name: "gaussian", "binomial", "poisson" or "gamma". + */ + def fromName(name: String): Family = { + name match { + case Gaussian.name => Gaussian + case Binomial.name => Binomial + case Poisson.name => Poisson + case Gamma.name => Gamma + } + } + } + + /** + * Gaussian exponential family distribution. + * The default link for the Gaussian family is the identity link. + */ + private[ml] object Gaussian extends Family("gaussian") { + + val defaultLink: Link = Identity + + override def initialize(y: Double, weight: Double): Double = y + + def variance(mu: Double): Double = 1.0 + + override def project(mu: Double): Double = { + if (mu.isNegInfinity) { + Double.MinValue + } else if (mu.isPosInfinity) { + Double.MaxValue + } else { + mu + } + } + } + + /** + * Binomial exponential family distribution. + * The default link for the Binomial family is the logit link. + */ + private[ml] object Binomial extends Family("binomial") { + + val defaultLink: Link = Logit + + override def initialize(y: Double, weight: Double): Double = { + val mu = (weight * y + 0.5) / (weight + 1.0) + require(mu > 0.0 && mu < 1.0, "The response variable of Binomial family" + + s"should be in range (0, 1), but got $mu") + mu + } + + override def variance(mu: Double): Double = mu * (1.0 - mu) + + override def project(mu: Double): Double = { + if (mu < epsilon) { + epsilon + } else if (mu > 1.0 - epsilon) { + 1.0 - epsilon + } else { + mu + } + } + } + + /** + * Poisson exponential family distribution. + * The default link for the Poisson family is the log link. + */ + private[ml] object Poisson extends Family("poisson") { + + val defaultLink: Link = Log + + override def initialize(y: Double, weight: Double): Double = { + require(y > 0.0, "The response variable of Poisson family " + + s"should be positive, but got $y") + y + } + + override def variance(mu: Double): Double = mu + + override def project(mu: Double): Double = { + if (mu < epsilon) { + epsilon + } else if (mu.isInfinity) { + Double.MaxValue + } else { + mu + } + } + } + + /** + * Gamma exponential family distribution. + * The default link for the Gamma family is the inverse link. + */ + private[ml] object Gamma extends Family("gamma") { + + val defaultLink: Link = Inverse + + override def initialize(y: Double, weight: Double): Double = { + require(y > 0.0, "The response variable of Gamma family " + + s"should be positive, but got $y") + y + } + + override def variance(mu: Double): Double = math.pow(mu, 2.0) + + override def project(mu: Double): Double = { + if (mu < epsilon) { + epsilon + } else if (mu.isInfinity) { + Double.MaxValue + } else { + mu + } + } + } + + /** + * A description of the link function to be used in the model. + * The link function provides the relationship between the linear predictor + * and the mean of the distribution function. + * @param name the name of link function. + */ + private[ml] abstract class Link(val name: String) extends Serializable { + + /** The link function. */ + def link(mu: Double): Double + + /** Derivative of the link function. */ + def deriv(mu: Double): Double + + /** The inverse link function. */ + def unlink(eta: Double): Double + } + + private[ml] object Link { + + /** + * Gets the [[Link]] object from its name. + * @param name link name: "identity", "logit", "log", + * "inverse", "probit", "cloglog" or "sqrt". + */ + def fromName(name: String): Link = { + name match { + case Identity.name => Identity + case Logit.name => Logit + case Log.name => Log + case Inverse.name => Inverse + case Probit.name => Probit + case CLogLog.name => CLogLog + case Sqrt.name => Sqrt + } + } + } + + private[ml] object Identity extends Link("identity") { + + override def link(mu: Double): Double = mu + + override def deriv(mu: Double): Double = 1.0 + + override def unlink(eta: Double): Double = eta + } + + private[ml] object Logit extends Link("logit") { + + override def link(mu: Double): Double = math.log(mu / (1.0 - mu)) + + override def deriv(mu: Double): Double = 1.0 / (mu * (1.0 - mu)) + + override def unlink(eta: Double): Double = 1.0 / (1.0 + math.exp(-1.0 * eta)) + } + + private[ml] object Log extends Link("log") { + + override def link(mu: Double): Double = math.log(mu) + + override def deriv(mu: Double): Double = 1.0 / mu + + override def unlink(eta: Double): Double = math.exp(eta) + } + + private[ml] object Inverse extends Link("inverse") { + + override def link(mu: Double): Double = 1.0 / mu + + override def deriv(mu: Double): Double = -1.0 * math.pow(mu, -2.0) + + override def unlink(eta: Double): Double = 1.0 / eta + } + + private[ml] object Probit extends Link("probit") { + + override def link(mu: Double): Double = GD(0.0, 1.0).icdf(mu) + + override def deriv(mu: Double): Double = 1.0 / GD(0.0, 1.0).pdf(GD(0.0, 1.0).icdf(mu)) + + override def unlink(eta: Double): Double = GD(0.0, 1.0).cdf(eta) + } + + private[ml] object CLogLog extends Link("cloglog") { + + override def link(mu: Double): Double = math.log(-1.0 * math.log(1 - mu)) + + override def deriv(mu: Double): Double = 1.0 / ((mu - 1.0) * math.log(1.0 - mu)) + + override def unlink(eta: Double): Double = 1.0 - math.exp(-1.0 * math.exp(eta)) + } + + private[ml] object Sqrt extends Link("sqrt") { + + override def link(mu: Double): Double = math.sqrt(mu) + + override def deriv(mu: Double): Double = 1.0 / (2.0 * math.sqrt(mu)) + + override def unlink(eta: Double): Double = math.pow(eta, 2.0) + } +} + +/** + * :: Experimental :: + * Model produced by [[GeneralizedLinearRegression]]. + */ +@Experimental +@Since("2.0.0") +class GeneralizedLinearRegressionModel private[ml] ( + @Since("2.0.0") override val uid: String, + @Since("2.0.0") val coefficients: Vector, + @Since("2.0.0") val intercept: Double) + extends RegressionModel[Vector, GeneralizedLinearRegressionModel] + with GeneralizedLinearRegressionBase { + + import GeneralizedLinearRegression._ + + lazy val familyObj = Family.fromName($(family)) + lazy val linkObj = if (isDefined(link)) { + Link.fromName($(link)) + } else { + familyObj.defaultLink + } + lazy val familyAndLink = new FamilyAndLink(familyObj, linkObj) + + override protected def predict(features: Vector): Double = { + val eta = BLAS.dot(features, coefficients) + intercept + familyAndLink.fitted(eta) + } + + @Since("2.0.0") + override def copy(extra: ParamMap): GeneralizedLinearRegressionModel = { + copyValues(new GeneralizedLinearRegressionModel(uid, coefficients, intercept), extra) + .setParent(parent) + } +} diff --git a/mllib/src/main/scala/org/apache/spark/ml/regression/LinearRegression.scala b/mllib/src/main/scala/org/apache/spark/ml/regression/LinearRegression.scala index 8f78fd122f..b4f17b8e28 100644 --- a/mllib/src/main/scala/org/apache/spark/ml/regression/LinearRegression.scala +++ b/mllib/src/main/scala/org/apache/spark/ml/regression/LinearRegression.scala @@ -163,8 +163,8 @@ class LinearRegression @Since("1.3.0") (@Since("1.3.0") override val uid: String }.first() val w = if ($(weightCol).isEmpty) lit(1.0) else col($(weightCol)) - if (($(solver) == "auto" && $(elasticNetParam) == 0.0 && numFeatures <= 4096) || - $(solver) == "normal") { + if (($(solver) == "auto" && $(elasticNetParam) == 0.0 && + numFeatures <= WeightedLeastSquares.MAX_NUM_FEATURES) || $(solver) == "normal") { require($(elasticNetParam) == 0.0, "Only L2 regularization can be used when normal " + "solver is used.'") // For low dimensional data, WeightedLeastSquares is more efficiently since the diff --git a/mllib/src/test/scala/org/apache/spark/ml/regression/GeneralizedLinearRegressionSuite.scala b/mllib/src/test/scala/org/apache/spark/ml/regression/GeneralizedLinearRegressionSuite.scala new file mode 100644 index 0000000000..8bfa9855ce --- /dev/null +++ b/mllib/src/test/scala/org/apache/spark/ml/regression/GeneralizedLinearRegressionSuite.scala @@ -0,0 +1,507 @@ +/* + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed with + * this work for additional information regarding copyright ownership. + * The ASF licenses this file to You under the Apache License, Version 2.0 + * (the "License"); you may not use this file except in compliance with + * the License. You may obtain a copy of the License at + * + * http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + */ + +package org.apache.spark.ml.regression + +import scala.util.Random + +import org.apache.spark.SparkFunSuite +import org.apache.spark.ml.param.ParamsSuite +import org.apache.spark.ml.util.MLTestingUtils +import org.apache.spark.mllib.classification.LogisticRegressionSuite._ +import org.apache.spark.mllib.linalg.{BLAS, DenseVector, Vectors} +import org.apache.spark.mllib.random._ +import org.apache.spark.mllib.regression.LabeledPoint +import org.apache.spark.mllib.util.MLlibTestSparkContext +import org.apache.spark.mllib.util.TestingUtils._ +import org.apache.spark.sql.{DataFrame, Row} + +class GeneralizedLinearRegressionSuite extends SparkFunSuite with MLlibTestSparkContext { + + private val seed: Int = 42 + @transient var datasetGaussianIdentity: DataFrame = _ + @transient var datasetGaussianLog: DataFrame = _ + @transient var datasetGaussianInverse: DataFrame = _ + @transient var datasetBinomial: DataFrame = _ + @transient var datasetPoissonLog: DataFrame = _ + @transient var datasetPoissonIdentity: DataFrame = _ + @transient var datasetPoissonSqrt: DataFrame = _ + @transient var datasetGammaInverse: DataFrame = _ + @transient var datasetGammaIdentity: DataFrame = _ + @transient var datasetGammaLog: DataFrame = _ + + override def beforeAll(): Unit = { + super.beforeAll() + + import GeneralizedLinearRegressionSuite._ + + datasetGaussianIdentity = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 2.5, coefficients = Array(2.2, 0.6), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "gaussian", link = "identity"), 2)) + + datasetGaussianLog = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 0.25, coefficients = Array(0.22, 0.06), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "gaussian", link = "log"), 2)) + + datasetGaussianInverse = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 2.5, coefficients = Array(2.2, 0.6), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "gaussian", link = "inverse"), 2)) + + datasetBinomial = { + val nPoints = 10000 + val coefficients = Array(-0.57997, 0.912083, -0.371077, -0.819866, 2.688191) + val xMean = Array(5.843, 3.057, 3.758, 1.199) + val xVariance = Array(0.6856, 0.1899, 3.116, 0.581) + + val testData = + generateMultinomialLogisticInput(coefficients, xMean, xVariance, + addIntercept = true, nPoints, seed) + + sqlContext.createDataFrame(sc.parallelize(testData, 2)) + } + + datasetPoissonLog = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 0.25, coefficients = Array(0.22, 0.06), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "poisson", link = "log"), 2)) + + datasetPoissonIdentity = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 2.5, coefficients = Array(2.2, 0.6), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "poisson", link = "identity"), 2)) + + datasetPoissonSqrt = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 2.5, coefficients = Array(2.2, 0.6), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "poisson", link = "sqrt"), 2)) + + datasetGammaInverse = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 2.5, coefficients = Array(2.2, 0.6), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "gamma", link = "inverse"), 2)) + + datasetGammaIdentity = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 2.5, coefficients = Array(2.2, 0.6), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "gamma", link = "identity"), 2)) + + datasetGammaLog = sqlContext.createDataFrame( + sc.parallelize(generateGeneralizedLinearRegressionInput( + intercept = 0.25, coefficients = Array(0.22, 0.06), xMean = Array(2.9, 10.5), + xVariance = Array(0.7, 1.2), nPoints = 10000, seed, noiseLevel = 0.01, + family = "gamma", link = "log"), 2)) + } + + test("params") { + ParamsSuite.checkParams(new GeneralizedLinearRegression) + val model = new GeneralizedLinearRegressionModel("genLinReg", Vectors.dense(0.0), 0.0) + ParamsSuite.checkParams(model) + } + + test("generalized linear regression: default params") { + val glr = new GeneralizedLinearRegression + assert(glr.getLabelCol === "label") + assert(glr.getFeaturesCol === "features") + assert(glr.getPredictionCol === "prediction") + assert(glr.getFitIntercept) + assert(glr.getTol === 1E-6) + assert(glr.getWeightCol === "") + assert(glr.getRegParam === 0.0) + assert(glr.getSolver == "irls") + // TODO: Construct model directly instead of via fitting. + val model = glr.setFamily("gaussian").setLink("identity") + .fit(datasetGaussianIdentity) + + // copied model must have the same parent. + MLTestingUtils.checkCopy(model) + + assert(model.getFeaturesCol === "features") + assert(model.getPredictionCol === "prediction") + assert(model.intercept !== 0.0) + assert(model.hasParent) + assert(model.getFamily === "gaussian") + assert(model.getLink === "identity") + } + + test("generalized linear regression: gaussian family against glm") { + /* + R code: + f1 <- data$V1 ~ data$V2 + data$V3 - 1 + f2 <- data$V1 ~ data$V2 + data$V3 + + data <- read.csv("path", header=FALSE) + for (formula in c(f1, f2)) { + model <- glm(formula, family="gaussian", data=data) + print(as.vector(coef(model))) + } + + [1] 2.2960999 0.8087933 + [1] 2.5002642 2.2000403 0.5999485 + + data <- read.csv("path", header=FALSE) + model1 <- glm(f1, family=gaussian(link=log), data=data, start=c(0,0)) + model2 <- glm(f2, family=gaussian(link=log), data=data, start=c(0,0,0)) + print(as.vector(coef(model1))) + print(as.vector(coef(model2))) + + [1] 0.23069326 0.07993778 + [1] 0.25001858 0.22002452 0.05998789 + + data <- read.csv("path", header=FALSE) + for (formula in c(f1, f2)) { + model <- glm(formula, family=gaussian(link=inverse), data=data) + print(as.vector(coef(model))) + } + + [1] 2.3010179 0.8198976 + [1] 2.4108902 2.2130248 0.6086152 + */ + + val expected = Seq( + Vectors.dense(0.0, 2.2960999, 0.8087933), + Vectors.dense(2.5002642, 2.2000403, 0.5999485), + Vectors.dense(0.0, 0.23069326, 0.07993778), + Vectors.dense(0.25001858, 0.22002452, 0.05998789), + Vectors.dense(0.0, 2.3010179, 0.8198976), + Vectors.dense(2.4108902, 2.2130248, 0.6086152)) + + import GeneralizedLinearRegression._ + + var idx = 0 + for ((link, dataset) <- Seq(("identity", datasetGaussianIdentity), ("log", datasetGaussianLog), + ("inverse", datasetGaussianInverse))) { + for (fitIntercept <- Seq(false, true)) { + val trainer = new GeneralizedLinearRegression().setFamily("gaussian").setLink(link) + .setFitIntercept(fitIntercept) + val model = trainer.fit(dataset) + val actual = Vectors.dense(model.intercept, model.coefficients(0), model.coefficients(1)) + assert(actual ~= expected(idx) absTol 1e-4, "Model mismatch: GLM with gaussian family, " + + s"$link link and fitIntercept = $fitIntercept.") + + val familyLink = new FamilyAndLink(Gaussian, Link.fromName(link)) + model.transform(dataset).select("features", "prediction").collect().foreach { + case Row(features: DenseVector, prediction1: Double) => + val eta = BLAS.dot(features, model.coefficients) + model.intercept + val prediction2 = familyLink.fitted(eta) + assert(prediction1 ~= prediction2 relTol 1E-5, "Prediction mismatch: GLM with " + + s"gaussian family, $link link and fitIntercept = $fitIntercept.") + } + + idx += 1 + } + } + } + + test("generalized linear regression: gaussian family against glmnet") { + /* + R code: + library(glmnet) + data <- read.csv("path", header=FALSE) + label = data$V1 + features = as.matrix(data.frame(data$V2, data$V3)) + for (intercept in c(FALSE, TRUE)) { + for (lambda in c(0.0, 0.1, 1.0)) { + model <- glmnet(features, label, family="gaussian", intercept=intercept, + lambda=lambda, alpha=0, thresh=1E-14) + print(as.vector(coef(model))) + } + } + + [1] 0.0000000 2.2961005 0.8087932 + [1] 0.0000000 2.2130368 0.8309556 + [1] 0.0000000 1.7176137 0.9610657 + [1] 2.5002642 2.2000403 0.5999485 + [1] 3.1106389 2.0935142 0.5712711 + [1] 6.7597127 1.4581054 0.3994266 + */ + + val expected = Seq( + Vectors.dense(0.0, 2.2961005, 0.8087932), + Vectors.dense(0.0, 2.2130368, 0.8309556), + Vectors.dense(0.0, 1.7176137, 0.9610657), + Vectors.dense(2.5002642, 2.2000403, 0.5999485), + Vectors.dense(3.1106389, 2.0935142, 0.5712711), + Vectors.dense(6.7597127, 1.4581054, 0.3994266)) + + var idx = 0 + for (fitIntercept <- Seq(false, true); + regParam <- Seq(0.0, 0.1, 1.0)) { + val trainer = new GeneralizedLinearRegression().setFamily("gaussian") + .setFitIntercept(fitIntercept).setRegParam(regParam) + val model = trainer.fit(datasetGaussianIdentity) + val actual = Vectors.dense(model.intercept, model.coefficients(0), model.coefficients(1)) + assert(actual ~= expected(idx) absTol 1e-4, "Model mismatch: GLM with gaussian family, " + + s"fitIntercept = $fitIntercept and regParam = $regParam.") + + idx += 1 + } + } + + test("generalized linear regression: binomial family against glm") { + /* + R code: + f1 <- data$V1 ~ data$V2 + data$V3 + data$V4 + data$V5 - 1 + f2 <- data$V1 ~ data$V2 + data$V3 + data$V4 + data$V5 + data <- read.csv("path", header=FALSE) + + for (formula in c(f1, f2)) { + model <- glm(formula, family="binomial", data=data) + print(as.vector(coef(model))) + } + + [1] -0.3560284 1.3010002 -0.3570805 -0.7406762 + [1] 2.8367406 -0.5896187 0.8931655 -0.3925169 -0.7996989 + + for (formula in c(f1, f2)) { + model <- glm(formula, family=binomial(link=probit), data=data) + print(as.vector(coef(model))) + } + + [1] -0.2134390 0.7800646 -0.2144267 -0.4438358 + [1] 1.6995366 -0.3524694 0.5332651 -0.2352985 -0.4780850 + + for (formula in c(f1, f2)) { + model <- glm(formula, family=binomial(link=cloglog), data=data) + print(as.vector(coef(model))) + } + + [1] -0.2832198 0.8434144 -0.2524727 -0.5293452 + [1] 1.5063590 -0.4038015 0.6133664 -0.2687882 -0.5541758 + */ + val expected = Seq( + Vectors.dense(0.0, -0.3560284, 1.3010002, -0.3570805, -0.7406762), + Vectors.dense(2.8367406, -0.5896187, 0.8931655, -0.3925169, -0.7996989), + Vectors.dense(0.0, -0.2134390, 0.7800646, -0.2144267, -0.4438358), + Vectors.dense(1.6995366, -0.3524694, 0.5332651, -0.2352985, -0.4780850), + Vectors.dense(0.0, -0.2832198, 0.8434144, -0.2524727, -0.5293452), + Vectors.dense(1.5063590, -0.4038015, 0.6133664, -0.2687882, -0.5541758)) + + import GeneralizedLinearRegression._ + + var idx = 0 + for ((link, dataset) <- Seq(("logit", datasetBinomial), ("probit", datasetBinomial), + ("cloglog", datasetBinomial))) { + for (fitIntercept <- Seq(false, true)) { + val trainer = new GeneralizedLinearRegression().setFamily("binomial").setLink(link) + .setFitIntercept(fitIntercept) + val model = trainer.fit(dataset) + val actual = Vectors.dense(model.intercept, model.coefficients(0), model.coefficients(1), + model.coefficients(2), model.coefficients(3)) + assert(actual ~= expected(idx) absTol 1e-4, "Model mismatch: GLM with binomial family, " + + s"$link link and fitIntercept = $fitIntercept.") + + val familyLink = new FamilyAndLink(Binomial, Link.fromName(link)) + model.transform(dataset).select("features", "prediction").collect().foreach { + case Row(features: DenseVector, prediction1: Double) => + val eta = BLAS.dot(features, model.coefficients) + model.intercept + val prediction2 = familyLink.fitted(eta) + assert(prediction1 ~= prediction2 relTol 1E-5, "Prediction mismatch: GLM with " + + s"binomial family, $link link and fitIntercept = $fitIntercept.") + } + + idx += 1 + } + } + } + + test("generalized linear regression: poisson family against glm") { + /* + R code: + f1 <- data$V1 ~ data$V2 + data$V3 - 1 + f2 <- data$V1 ~ data$V2 + data$V3 + + data <- read.csv("path", header=FALSE) + for (formula in c(f1, f2)) { + model <- glm(formula, family="poisson", data=data) + print(as.vector(coef(model))) + } + + [1] 0.22999393 0.08047088 + [1] 0.25022353 0.21998599 0.05998621 + + data <- read.csv("path", header=FALSE) + for (formula in c(f1, f2)) { + model <- glm(formula, family=poisson(link=identity), data=data) + print(as.vector(coef(model))) + } + + [1] 2.2929501 0.8119415 + [1] 2.5012730 2.1999407 0.5999107 + + data <- read.csv("path", header=FALSE) + for (formula in c(f1, f2)) { + model <- glm(formula, family=poisson(link=sqrt), data=data) + print(as.vector(coef(model))) + } + + [1] 2.2958947 0.8090515 + [1] 2.5000480 2.1999972 0.5999968 + */ + val expected = Seq( + Vectors.dense(0.0, 0.22999393, 0.08047088), + Vectors.dense(0.25022353, 0.21998599, 0.05998621), + Vectors.dense(0.0, 2.2929501, 0.8119415), + Vectors.dense(2.5012730, 2.1999407, 0.5999107), + Vectors.dense(0.0, 2.2958947, 0.8090515), + Vectors.dense(2.5000480, 2.1999972, 0.5999968)) + + import GeneralizedLinearRegression._ + + var idx = 0 + for ((link, dataset) <- Seq(("log", datasetPoissonLog), ("identity", datasetPoissonIdentity), + ("sqrt", datasetPoissonSqrt))) { + for (fitIntercept <- Seq(false, true)) { + val trainer = new GeneralizedLinearRegression().setFamily("poisson").setLink(link) + .setFitIntercept(fitIntercept) + val model = trainer.fit(dataset) + val actual = Vectors.dense(model.intercept, model.coefficients(0), model.coefficients(1)) + assert(actual ~= expected(idx) absTol 1e-4, "Model mismatch: GLM with poisson family, " + + s"$link link and fitIntercept = $fitIntercept.") + + val familyLink = new FamilyAndLink(Poisson, Link.fromName(link)) + model.transform(dataset).select("features", "prediction").collect().foreach { + case Row(features: DenseVector, prediction1: Double) => + val eta = BLAS.dot(features, model.coefficients) + model.intercept + val prediction2 = familyLink.fitted(eta) + assert(prediction1 ~= prediction2 relTol 1E-5, "Prediction mismatch: GLM with " + + s"poisson family, $link link and fitIntercept = $fitIntercept.") + } + + idx += 1 + } + } + } + + test("generalized linear regression: gamma family against glm") { + /* + R code: + f1 <- data$V1 ~ data$V2 + data$V3 - 1 + f2 <- data$V1 ~ data$V2 + data$V3 + + data <- read.csv("path", header=FALSE) + for (formula in c(f1, f2)) { + model <- glm(formula, family="Gamma", data=data) + print(as.vector(coef(model))) + } + + [1] 2.3392419 0.8058058 + [1] 2.3507700 2.2533574 0.6042991 + + data <- read.csv("path", header=FALSE) + for (formula in c(f1, f2)) { + model <- glm(formula, family=Gamma(link=identity), data=data) + print(as.vector(coef(model))) + } + + [1] 2.2908883 0.8147796 + [1] 2.5002406 2.1998346 0.6000059 + + data <- read.csv("path", header=FALSE) + for (formula in c(f1, f2)) { + model <- glm(formula, family=Gamma(link=log), data=data) + print(as.vector(coef(model))) + } + + [1] 0.22958970 0.08091066 + [1] 0.25003210 0.21996957 0.06000215 + */ + val expected = Seq( + Vectors.dense(0.0, 2.3392419, 0.8058058), + Vectors.dense(2.3507700, 2.2533574, 0.6042991), + Vectors.dense(0.0, 2.2908883, 0.8147796), + Vectors.dense(2.5002406, 2.1998346, 0.6000059), + Vectors.dense(0.0, 0.22958970, 0.08091066), + Vectors.dense(0.25003210, 0.21996957, 0.06000215)) + + import GeneralizedLinearRegression._ + + var idx = 0 + for ((link, dataset) <- Seq(("inverse", datasetGammaInverse), + ("identity", datasetGammaIdentity), ("log", datasetGammaLog))) { + for (fitIntercept <- Seq(false, true)) { + val trainer = new GeneralizedLinearRegression().setFamily("gamma").setLink(link) + .setFitIntercept(fitIntercept) + val model = trainer.fit(dataset) + val actual = Vectors.dense(model.intercept, model.coefficients(0), model.coefficients(1)) + assert(actual ~= expected(idx) absTol 1e-4, "Model mismatch: GLM with gamma family, " + + s"$link link and fitIntercept = $fitIntercept.") + + val familyLink = new FamilyAndLink(Gamma, Link.fromName(link)) + model.transform(dataset).select("features", "prediction").collect().foreach { + case Row(features: DenseVector, prediction1: Double) => + val eta = BLAS.dot(features, model.coefficients) + model.intercept + val prediction2 = familyLink.fitted(eta) + assert(prediction1 ~= prediction2 relTol 1E-5, "Prediction mismatch: GLM with " + + s"gamma family, $link link and fitIntercept = $fitIntercept.") + } + + idx += 1 + } + } + } +} + +object GeneralizedLinearRegressionSuite { + + def generateGeneralizedLinearRegressionInput( + intercept: Double, + coefficients: Array[Double], + xMean: Array[Double], + xVariance: Array[Double], + nPoints: Int, + seed: Int, + noiseLevel: Double, + family: String, + link: String): Seq[LabeledPoint] = { + + val rnd = new Random(seed) + def rndElement(i: Int) = { + (rnd.nextDouble() - 0.5) * math.sqrt(12.0 * xVariance(i)) + xMean(i) + } + val (generator, mean) = family match { + case "gaussian" => (new StandardNormalGenerator, 0.0) + case "poisson" => (new PoissonGenerator(1.0), 1.0) + case "gamma" => (new GammaGenerator(1.0, 1.0), 1.0) + } + generator.setSeed(seed) + + (0 until nPoints).map { _ => + val features = Vectors.dense(coefficients.indices.map { rndElement(_) }.toArray) + val eta = BLAS.dot(Vectors.dense(coefficients), features) + intercept + val mu = link match { + case "identity" => eta + case "log" => math.exp(eta) + case "sqrt" => math.pow(eta, 2.0) + case "inverse" => 1.0 / eta + } + val label = mu + noiseLevel * (generator.nextValue() - mean) + // Return LabeledPoints with DenseVector + LabeledPoint(label, features) + } + } +} -- cgit v1.2.3