随机向量 x服从 p 元正态分布 ,回归系数b , 给定 的条件下,y是0,1,y等于1的概率是标准正态分布到bx的积分(iv)用信赖域算法和局部线性近似 编程实现b的logit回归从上述模型中产生独立同分布观测样本 . python代码(不使用minize函数和optimistic包并且产生结果)
时间: 2024-02-16 18:04:19 浏览: 63
以下是一个可能的实现,使用了信赖域算法和局部线性近似方法,同时使用numpy和scipy库:
```
import numpy as np
from scipy.optimize import minimize_scalar
# 生成观测样本
p = 5
n = 1000
x = np.random.randn(n, p)
b_true = np.random.randn(p)
y_prob = 1 / (1 + np.exp(-np.dot(x, b_true)))
y = np.random.binomial(1, y_prob)
# 定义 logit 回归的目标函数和梯度
def logit_obj(b, x, y):
y_prob = 1 / (1 + np.exp(-np.dot(x, b)))
log_likelihood = np.sum(y * np.log(y_prob) + (1 - y) * np.log(1 - y_prob))
return -log_likelihood
def logit_grad(b, x, y):
y_prob = 1 / (1 + np.exp(-np.dot(x, b)))
grad = np.dot(x.T, y_prob - y)
return grad
# 定义信赖域算法的步长计算函数
def trust_region_step(x, g, B, delta):
p = len(x)
B_inv = np.linalg.inv(B)
if np.dot(g, np.dot(B_inv, g)) <= 0:
return np.zeros(p)
else:
s = -np.dot(B_inv, g)
s_norm = np.linalg.norm(s)
if s_norm > delta:
s = (delta / s_norm) * s
return s
# 定义局部线性近似的 Hessian 矩阵计算函数
def local_hessian(b, x, y, delta):
p = len(b)
hessian = np.zeros((p, p))
for i in range(n):
x_i = x[i]
y_i = y[i]
prob_i = 1 / (1 + np.exp(-np.dot(x_i, b)))
grad_i = np.outer(x_i, prob_i - y_i)
weight_i = np.exp(-np.dot(x_i - x_i, x_i - x_i) / (2 * delta ** 2))
hessian += weight_i * np.outer(grad_i, grad_i)
return hessian
# 初始化信赖域算法参数
b_init = np.zeros(p)
delta_init = 1
eta = 0.1
max_iter = 100
# 迭代优化
for k in range(max_iter):
# 计算梯度和 Hessian 矩阵
grad = logit_grad(b_init, x, y)
hessian = local_hessian(b_init, x, y, delta_init)
# 通过信赖域算法计算步长
step = trust_region_step(b_init, grad, hessian, delta_init)
# 计算实际和预测目标函数下降量的比值 rho
f_init = logit_obj(b_init, x, y)
f_prop = logit_obj(b_init + step, x, y)
q = f_init - f_prop
p = np.dot(grad, step) + 0.5 * np.dot(step, np.dot(hessian, step))
rho = q / p
# 根据 rho 调整步长和信赖域半径
if rho > 0:
b_init += step
if rho < 0.25:
delta_init /= 2
elif rho > 0.75 and np.abs(np.linalg.norm(step) - delta_init) < 1e-8:
delta_init = min(2 * delta_init, 100)
else:
delta_init /= 2
# 检查是否达到收敛条件
if np.linalg.norm(grad) < 1e-6:
break
# 打印结果
print('True regression coefficients:', b_true)
print('Estimated coefficients:', b_init)
```
请注意,这只是一个简单的实现示例,可能需要根据具体问题进行修改和调整。
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