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的最大似然估计 从上述模型中产生独立同分布观测样本 .的 python代码(不使用minize函数和optimistic包并且产生结果)
时间: 2024-01-22 07:17:33 浏览: 79
Python使用numpy产生正态分布随机数的向量或矩阵操作示例
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下面是实现上述模型的Python代码,其中使用了信赖域算法和局部线性近似来进行最大似然估计:
```python
import numpy as np
from scipy.optimize import minimize
# 生成服从p元正态分布的随机向量x
p = 10
mean = np.zeros(p)
cov = np.identity(p)
x = np.random.multivariate_normal(mean, cov)
# 定义回归系数b和条件y
b = np.random.randn(p)
y = np.random.binomial(1, norm.cdf(np.dot(b, x)))
# 定义似然函数
def likelihood(b):
log_likelihood = 0
for i in range(len(x)):
log_likelihood += np.log(norm.cdf(np.dot(b, x[i]))) if y[i] == 1 else np.log(1 - norm.cdf(np.dot(b, x[i])))
return -log_likelihood
# 定义信赖域算法和局部线性近似函数进行最大似然估计
def trust_region_hessian(x, grad, hess, delta):
p = -np.linalg.solve(hess, grad)
if np.linalg.norm(p) <= delta:
return p
else:
tau = 2
while True:
hess_delta = hess + tau * np.identity(len(x))
p = -np.linalg.solve(hess_delta, grad)
if np.linalg.norm(p) <= delta:
return p
elif tau >= 2 ** 10:
return p
else:
tau *= 2
def local_quadratic_approximation(x, f):
n = len(x)
eps = np.finfo(float).eps
grad = np.zeros(n)
hess = np.zeros((n, n))
f0 = f(x)
for i in range(n):
x_i = x[i]
x[i] += eps
grad[i] = (f(x) - f0) / eps
x[i] = x_i
for j in range(i, n):
x_i, x_j = x[i], x[j]
x[i], x[j] = x_i + eps, x_j + eps
f_ij = (f(x) - f(x - [eps if k == i else 0 for k in range(n)] - [eps if k == j else 0 for k in range(n)]) - f0 + f(x - [eps if k == i else 0 for k in range(n)]) - f(x - [eps if k == j else 0 for k in range(n)])) / eps ** 2
hess[i, j] = f_ij
hess[j, i] = f_ij
x[i], x[j] = x_i, x_j
return f0, grad, hess
def trust_region_newton(x0, f, delta=1):
x = x0
fx, grad, hess = local_quadratic_approximation(x, f)
p = trust_region_hessian(x, grad, hess, delta)
alpha = 1
while True:
x_new = x + alpha * p
fx_new = f(x_new)
rho = (fx - fx_new) / (-np.dot(grad, p) - 0.5 * np.dot(p, np.dot(hess, p)))
if rho > 0.25:
delta *= 2
else:
delta /= 2
if rho > 0:
x = x_new
fx = fx_new
fx, grad, hess = local_quadratic_approximation(x, f)
p = trust_region_hessian(x, grad, hess, delta)
if np.linalg.norm(grad) < eps or delta < eps:
break
return x
# 生成独立同分布观测样本
n = 1000
X = np.random.multivariate_normal(mean, cov, n)
Y = np.zeros(n)
for i in range(n):
Y[i] = np.random.binomial(1, norm.cdf(np.dot(b, X[i])))
# 进行最大似然估计
b_init = np.zeros(p)
b_mle = trust_region_newton(b_init, likelihood)
print("Maximum likelihood estimate of b:", b_mle)
```
注意,上述代码使用了SciPy库中的norm函数来计算正态分布的累积分布函数。如果没有安装SciPy库,可以使用以下命令进行安装:
```python
pip install scipy
```
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