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annotate linear_regression.py @ 469:4335309f4924

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author Joseph Turian <turian@iro.umontreal.ca>
date Tue, 21 Oct 2008 16:32:06 -0400
parents 8e4d2ebd816a
children 111e547ffa7b
rev   line source
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1 """
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2 Implementation of linear regression, with or without L2 regularization.
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3 This is one of the simplest example of L{learner}, and illustrates
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4 the use of theano.
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5 """
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7 from pylearn.learner import OfflineLearningAlgorithm,OnlineLearningAlgorithm
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8 from theano import tensor as T
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9 from nnet_ops import prepend_1_to_each_row
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10 from theano.scalar import as_scalar
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11 from common.autoname import AutoName
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12 import theano
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13 import numpy
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15 class LinearRegression(OfflineLearningAlgorithm):
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16 """
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17 Implement linear regression, with or without L2 regularization
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18 (the former is called Ridge Regression and the latter Ordinary Least Squares).
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19
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20 Usage:
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21
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22 linear_regressor=LinearRegression(L2_regularizer=0.1)
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23 linear_predictor=linear_regression(training_set)
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24 all_results_dataset=linear_predictor(test_set) # creates a dataset with "output" and "squared_error" field
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25 outputs = linear_predictor.compute_outputs(inputs) # inputs and outputs are numpy arrays
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26 outputs, errors = linear_predictor.compute_outputs_and_errors(inputs,targets)
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27 errors = linear_predictor.compute_errors(inputs,targets)
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28 mse = linear_predictor.compute_mse(inputs,targets)
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29
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31
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32 The training_set must have fields "input" and "target".
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33 The test_set must have field "input", and needs "target" if
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34 we want to compute the squared errors.
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35
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36 The predictor parameters are obtained analytically from the training set.
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37
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38 For each (input[t],output[t]) pair in a minibatch,::
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39
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40 output_t = b + W * input_t
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41
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42 where b and W are obtained by minimizing::
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43
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44 L2_regularizer sum_{ij} W_{ij}^2 + sum_t ||output_t - target_t||^2
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45
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46 Let X be the whole training set inputs matrix (one input example per row),
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47 with the first column full of 1's, and Let Y the whole training set
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48 targets matrix (one example's target vector per row).
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49 Let theta = the matrix with b in its first column and W in the others,
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50 then each theta[:,i] is the solution of the linear system::
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51
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52 XtX * theta[:,i] = XtY[:,i]
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53
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54 where XtX is a (n_inputs+1)x(n_inputs+1) matrix containing X'*X
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55 plus L2_regularizer on the diagonal except at (0,0),
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56 and XtY is a (n_inputs+1)*n_outputs matrix containing X'*Y.
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57
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58 The dataset fields expected and produced by the learning algorithm and the trained model
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59 are the following:
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61 - Input and output dataset fields (example-wise quantities):
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62
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63 - 'input' (always expected as an input_dataset field)
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64 - 'target' (always expected by the learning algorithm, optional for learned model)
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65 - 'output' (always produced by learned model)
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66 - 'squared_error' (optionally produced by learned model if 'target' is provided)
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67 = example-wise squared error
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68 """
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69 def __init__(self, L2_regularizer=0,minibatch_size=10000):
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70 self.L2_regularizer=L2_regularizer
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71 self.equations = LinearRegressionEquations()
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72 self.minibatch_size=minibatch_size
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74 def __call__(self,trainset):
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75 first_example = trainset[0]
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76 n_inputs = first_example['input'].size
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77 n_outputs = first_example['target'].size
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78 XtX = numpy.zeros((n_inputs+1,n_inputs+1))
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79 XtY = numpy.zeros((n_inputs+1,n_outputs))
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80 for i in xrange(n_inputs):
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81 XtX[i+1,i+1]=self.L2_regularizer
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82 mbs=min(self.minibatch_size,len(trainset))
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83 for inputs,targets in trainset.minibatches(["input","target"],minibatch_size=mbs):
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84 XtX,XtY=self.equations.update(XtX,XtY,numpy.array(inputs),numpy.array(targets))
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85 theta=numpy.linalg.solve(XtX,XtY)
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86 return LinearPredictor(theta)
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87
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88 class LinearPredictorEquations(AutoName):
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89 inputs = T.matrix() # minibatchsize x n_inputs
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90 targets = T.matrix() # minibatchsize x n_outputs
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91 theta = T.matrix() # (n_inputs+1) x n_outputs
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92 b = theta[0]
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93 Wt = theta[1:,:]
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94 outputs = T.dot(inputs,Wt) + b # minibatchsize x n_outputs
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95 squared_errors = T.sum(T.sqr(targets-outputs),axis=1)
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97 __compiled = False
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98 @classmethod
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99 def compile(cls,linker='c|py'):
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100 if cls.__compiled:
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101 return
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102 def fn(input_vars,output_vars):
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103 return staticmethod(theano.function(input_vars,output_vars, linker=linker))
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104
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105 cls.compute_outputs = fn([cls.inputs,cls.theta],[cls.outputs])
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106 cls.compute_errors = fn([cls.outputs,cls.targets],[cls.squared_errors])
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107
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108 cls.__compiled = True
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109
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110 def __init__(self):
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111 self.compile()
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112
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113 class LinearRegressionEquations(LinearPredictorEquations):
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114 P = LinearPredictorEquations
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115 XtX = T.matrix() # (n_inputs+1) x (n_inputs+1)
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116 XtY = T.matrix() # (n_inputs+1) x n_outputs
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117 extended_input = prepend_1_to_each_row(P.inputs)
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118 new_XtX = T.add_inplace(XtX,T.dot(extended_input.T,extended_input))
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119 new_XtY = T.add_inplace(XtY,T.dot(extended_input.T,P.targets))
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120
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121 __compiled = False
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122
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123 @classmethod
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124 def compile(cls,linker='c|py'):
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125 if cls.__compiled:
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126 return
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127 def fn(input_vars,output_vars):
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128 return staticmethod(theano.function(input_vars,output_vars, linker=linker))
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129
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130 cls.update = fn([cls.XtX,cls.XtY,cls.P.inputs,cls.P.targets],[cls.new_XtX,cls.new_XtY])
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131
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132 cls.__compiled = True
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133
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134 def __init__(self):
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135 self.compile()
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136
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137 class LinearPredictor(object):
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138 """
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139 A linear predictor has parameters theta (a bias vector and a weight matrix)
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140 it can use to make a linear prediction (according to the LinearPredictorEquations).
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141 It can compute its output (bias + weight * input) and a squared error (||output - target||^2).
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142 """
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143 def __init__(self, theta):
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144 self.theta=theta
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145 self.n_inputs=theta.shape[0]-1
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146 self.n_outputs=theta.shape[1]
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147 self.equations = LinearPredictorEquations()
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148
376
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149 def compute_outputs(self,inputs):
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150 return self.equations.compute_outputs(inputs,self.theta)
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151 def compute_errors(self,inputs,targets):
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152 return self.equations.compute_errors(self.compute_outputs(inputs),targets)
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153 def compute_outputs_and_errors(self,inputs,targets):
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154 outputs = self.compute_outputs(inputs)
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155 return [outputs,self.equations.compute_errors(outputs,targets)]
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156 def compute_mse(self,inputs,targets):
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157 errors = self.compute_errors(inputs,targets)
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158 return numpy.sum(errors)/errors.size
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159
376
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160 def __call__(self,dataset,output_fieldnames=None,cached_output_dataset=False):
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161 assert dataset.hasFields(["input"])
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162 if output_fieldnames is None:
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163 if dataset.hasFields(["target"]):
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164 output_fieldnames = ["output","squared_error"]
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165 else:
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166 output_fieldnames = ["output"]
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167 output_fieldnames.sort()
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168 if output_fieldnames == ["squared_error"]:
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169 f = self.compute_errors
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170 elif output_fieldnames == ["output"]:
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171 f = self.compute_outputs
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172 elif output_fieldnames == ["output","squared_error"]:
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173 f = self.compute_outputs_and_errors
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174 else:
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175 raise ValueError("unknown field(s) in output_fieldnames: "+str(output_fieldnames))
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176
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177 ds=ApplyFunctionDataSet(dataset,f,output_fieldnames)
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178 if cached_output_dataset:
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179 return CachedDataSet(ds)
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180 else:
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181 return ds
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182
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183
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184 def linear_predictor(inputs,params,*otherargs):
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185 p = LinearPredictor(params)
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186 return p.compute_outputs(inputs)
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187
427
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188 #TODO : an online version
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189 class OnlineLinearRegression(OnlineLearningAlgorithm):
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190 """
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191 Training can proceed sequentially (with multiple calls to update with
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192 different disjoint subsets of the training sets). After each call to
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193 update the predictor is ready to be used (and optimized for the union
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194 of all the training sets passed to update since construction or since
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195 the last call to forget).
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196 """
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197 pass
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198
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199
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200
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201