https://github.com/tensorly/tensorly
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Tip revision: 1bb217a077d6fa1d507f963a60da81adfd099d79 authored by Jean Kossaifi on 14 July 2017, 03:03:33 UTC
Merge pull request #7 from chubei/master
Tip revision: 1bb217a
tucker_regression.py
import numpy as np
from ..base import unfold, vec_to_tensor
from ..base import partial_tensor_to_vec, partial_unfold
from ..tenalg import kronecker
from ..tucker_tensor import tucker_to_tensor, tucker_to_vec
from .. import backend as T

# Author: Jean Kossaifi

# License: BSD 3 clause


class TuckerRegressor:
    """Tucker tensor regression

        Learns a low rank Tucker weight for the regression

    Parameters
    ----------
    weight_ranks : int list
        dimension of each mode of the core Tucker weight
    tol : float
        convergence value
    reg_W : int, optional, default is 1
        regularisation on the weights
    n_iter_max : int, optional, default is 100
        maximum number of iteration
    random_state : None, int or RandomState, optional, default is None
    verbose : int, default is 1
        level of verbosity
    """

    def __init__(
        self,
        weight_ranks,
        tol=10e-7,
        reg_W=1,
        n_iter_max=100,
        random_state=None,
        verbose=1,
    ):
        self.weight_ranks = weight_ranks
        self.tol = tol
        self.reg_W = reg_W
        self.n_iter_max = n_iter_max
        self.random_state = random_state
        self.verbose = verbose

    def get_params(self, **kwargs):
        """Returns a dictionary of parameters"""
        params = [
            "weight_ranks",
            "tol",
            "reg_W",
            "n_iter_max",
            "random_state",
            "verbose",
        ]
        return {param_name: getattr(self, param_name) for param_name in params}

    def set_params(self, **parameters):
        """Sets the value of the provided parameters"""
        for parameter, value in parameters.items():
            setattr(self, parameter, value)
        return self

    def fit(self, X, y):
        """Fits the model to the data (X, y)

        Parameters
        ----------
        X : ndarray of shape (n_samples, N1, ..., NS)
            tensor data
        y : array of shape (n_samples)
            labels associated with each sample

        Returns
        -------
        self
        """
        rng = T.check_random_state(self.random_state)

        # Initialise randomly the weights
        G = T.tensor(rng.randn(*self.weight_ranks), **T.context(X))
        W = []
        for i in range(1, T.ndim(X)):  # First dimension of X = number of samples
            W.append(T.tensor(rng.randn(X.shape[i], G.shape[i - 1]), **T.context(X)))

        # Norm of the weight tensor at each iteration
        norm_W = []

        for iteration in range(self.n_iter_max):
            # Optimise modes of W
            for i in range(len(W)):
                phi = partial_tensor_to_vec(
                    T.dot(
                        partial_unfold(X, i),
                        T.dot(kronecker(W, skip_matrix=i), T.transpose(unfold(G, i))),
                    )
                )
                # Regress phi on y: we could call a package here, e.g. scikit-learn
                inv_term = T.dot(T.transpose(phi), phi) + self.reg_W * T.tensor(
                    np.eye(phi.shape[1]), **T.context(X)
                )
                W_i = vec_to_tensor(
                    T.solve(inv_term, T.dot(T.transpose(phi), y)),
                    (X.shape[i + 1], G.shape[i]),
                )
                W[i] = W_i

            phi = T.dot(partial_tensor_to_vec(X), kronecker(W))
            G = vec_to_tensor(
                T.solve(
                    T.dot(T.transpose(phi), phi)
                    + self.reg_W * T.tensor(np.eye(phi.shape[1]), **T.context(X)),
                    T.dot(T.transpose(phi), y),
                ),
                G.shape,
            )

            weight_tensor_ = tucker_to_tensor((G, W))
            norm_W.append(T.norm(weight_tensor_, 2))

            # Convergence check
            if iteration > 1:
                weight_evolution = abs(norm_W[-1] - norm_W[-2]) / norm_W[-1]

                if weight_evolution <= self.tol:
                    if self.verbose:
                        print(f"\nConverged in {iteration} iterations")
                    break

        self.weight_tensor_ = weight_tensor_
        self.tucker_weight_ = (G, W)
        self.vec_W_ = tucker_to_vec((G, W))
        self.n_iterations_ = iteration + 1
        self.norm_W_ = norm_W

        return self

    def predict(self, X):
        """Returns the predicted labels for a new data tensor

        Parameters
        ----------
        X : ndarray
            tensor data of shape (n_samples, N1, ..., NS)
        """
        return T.dot(partial_tensor_to_vec(X), self.vec_W_)
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