写一个适用于高维特征的spline regression,带有l2惩罚项,要求给出所有的权重,只能使用numpy库,并且写一个示例代码,输入为13维的特征
时间: 2024-06-06 12:10:36 浏览: 16
Spline Regression with L2 Regularization
Spline regression is a popular method for modelling non-linear relationships between an independent variable and a dependent variable. In this method, the independent variable is divided into intervals, and a polynomial equation is fitted to each interval. The polynomials are then joined together smoothly at the interval boundaries to create a continuous function.
L2 regularization, also known as Ridge regression, is a technique for preventing overfitting in regression models. It adds a penalty term to the loss function that favors smaller weights, effectively shrinking the coefficients towards zero.
To implement spline regression with L2 regularization in high-dimensional feature space, we can use a basis function approach. We first define a set of basis functions that span the feature space, such as cubic splines or B-splines. We then fit a linear regression model using these basis functions as predictors, and add an L2 penalty term to the loss function.
The weight vector w can be found by minimizing the following objective function:
minimize ||y - Xw||^2 + alpha * ||w||^2
where y is the target variable, X is the design matrix with basis functions as columns, w is the weight vector, and alpha is the regularization parameter.
To solve for w, we can use the closed-form solution:
w = (X^T X + alpha * I)^-1 X^T y
where I is the identity matrix.
Example code:
import numpy as np
# generate random data with 13 features
np.random.seed(0)
X = np.random.randn(100, 13)
y = np.random.randn(100)
# define basis functions
def cubic_spline(x):
return np.hstack([x**3, x**2, x, np.ones_like(x)])
# create design matrix with cubic spline basis functions
X_basis = np.hstack([cubic_spline(X[:, i]) for i in range(X.shape[1])])
# set regularization parameter
alpha = 0.1
# solve for weight vector using closed-form solution
w = np.linalg.inv(X_basis.T.dot(X_basis) + alpha * np.eye(X_basis.shape[1])).dot(X_basis.T).dot(y)
# print weight vector
print(w)
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