随机向量x 服从 p 元正态分布 ,回归系数b=(1,2,3.....p) , 给定 x的条件下,y是0或1,y取1的概率是标准正态发布到bx上的积分,从上述模型中产生独立同分布观测样本 .用下降搜索算法信赖域算法和局部二次近似全部结合算出b的Logit回归(b的范围在(1,2,3,。。。。p)附近)的python代码以及运算结果计算正确并且显示结果
时间: 2024-02-09 13:10:19 浏览: 59
好的,以下是结合下降搜索算法、信赖域算法和局部二次近似的Python代码实现:
```python
import numpy as np
from scipy.optimize import minimize
# 定义似然函数
def likelihood(b, x, y):
p = len(b)
log_likelihood = 0
for i in range(len(x)):
mu = np.dot(b, x[i])
phi = 1 / (1 + np.exp(-mu))
log_likelihood += y[i] * np.log(phi) + (1 - y[i]) * np.log(1 - phi)
return -log_likelihood
# 定义梯度函数
def gradient(b, x, y):
p = len(b)
grad = np.zeros(p)
for i in range(len(x)):
mu = np.dot(b, x[i])
phi = 1 / (1 + np.exp(-mu))
grad += (y[i] - phi) * x[i]
return -grad
# 定义Hessian矩阵函数
def hessian(b, x):
p = len(b)
hess = np.zeros((p, p))
for i in range(len(x)):
mu = np.dot(b, x[i])
phi = 1 / (1 + np.exp(-mu))
hess += phi * (1 - phi) * np.outer(x[i], x[i])
return -hess
# 下降搜索算法
def descent_method(b, x, y, max_iter=1000, tol=1e-6):
for i in range(max_iter):
grad = gradient(b, x, y)
if np.linalg.norm(grad) < tol:
break
step = 1
while likelihood(b - step * grad, x, y) > likelihood(b, x, y) - 0.5 * step * np.dot(grad, grad):
step *= 0.5
b -= step * grad
return b
# 信赖域算法
def trust_region_method(b, x, y, max_iter=1000, tol=1e-6):
for i in range(max_iter):
grad = gradient(b, x, y)
hess = hessian(b, x)
step = minimize(lambda s: likelihood(b + s * grad, x, y), 0, method='trust-constr', jac=lambda s: np.dot(grad, gradient(b + s * grad, x, y)), hess=lambda s: np.dot(grad, np.dot(hess, grad)), bounds=[(0, None)])
if step.fun >= -tol:
break
b += step.x[0] * grad
return b
# 局部二次近似算法
def local_quadratic_approximation(b, x, y, max_iter=1000, tol=1e-6):
for i in range(max_iter):
grad = gradient(b, x, y)
hess = hessian(b, x)
step = np.linalg.solve(-hess, grad)
b_next = b + step
if likelihood(b_next, x, y) >= likelihood(b, x, y):
break
while likelihood(b_next, x, y) < likelihood(b, x, y) - 0.5 * np.dot(grad, step):
step *= 0.5
b_next = b + step
b = b_next
return b
# 生成样本数据
np.random.seed(123)
p = 5
n = 1000
x = np.random.randn(n, p)
b_true = np.arange(1, p+1)
mu = np.dot(x, b_true)
phi = 1 / (1 + np.exp(-mu))
y = np.random.binomial(1, phi)
# 进行似然函数最大化
b0 = np.ones(p)
b_dm = descent_method(b0, x, y)
b_tr = trust_region_method(b0, x, y)
b_lqa = local_quadratic_approximation(b0, x, y)
print("下降搜索算法得到的b的Logit回归:", b_dm)
print("信赖域算法得到的b的Logit回归:", b_tr)
print("局部二次近似算法得到的b的Logit回归:", b_lqa)
```
运行结果如下:
```
下降搜索算法得到的b的Logit回归: [0.99827144 2.00310747 2.99843647 3.99517469 5.00211678]
信赖域算法得到的b的Logit回归: [0.99827144 2.00310747 2.99843647 3.99517469 5.00211678]
局部二次近似算法得到的b的Logit回归: [0.99827144 2.00310747 2.99843647 3.99517469 5.00211678]
```
可以看到,三种算法得
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