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April 14, 2020 02:08
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import numpy as np | |
import tensorflow as tf | |
nobs = 100 | |
alpha = 1.0 | |
beta = np.array([0.0, 0.5, 0.25]) | |
L = np.array([[1.0, 0.0, 0.0], [0.25, 1.1, 0.0], [0.2, 0.2, 1.25]]) | |
X = np.random.randn(nobs, 3) @ L | |
y = alpha + X@beta | |
class GroupedInterceptLinearCoeffs(tf.keras.layers.Layer): | |
""" | |
""" | |
def __init__(self, ngroup=1, **kwargs): | |
super(GroupedInterceptLinearCoeffs, self).__init__() | |
self.ngroup = ngroup | |
def build(self, input_shape): | |
self.a = self.add_weight( | |
shape=(), dtype="float32", | |
initializer="random_normal", trainable=True | |
) | |
self.b = self.add_weight( | |
shape=(input_shape[-1],), dtype="float32", | |
initializer="random_normal", trainable=True | |
) | |
@tf.function() | |
def call(self, inputs): | |
out = self.a + tf.linalg.matvec(inputs, self.b) | |
return out | |
class OLS(tf.keras.Model): | |
""" | |
""" | |
def __init__(self, ngroups=1, name="ols", **kwargs): | |
super(OLS, self).__init__(name=name, **kwargs) | |
self.lm = GroupedInterceptLinearCoeffs(ngroups) | |
def call(self, inputs): | |
out = self.lm(inputs) | |
return out | |
olsmodel = OLS(ngroups=1) | |
optimizer = tf.keras.optimizers.Adam(learning_rate=1e-2) | |
olsmodel.compile(optimizer, loss=tf.keras.losses.MeanSquaredError()) | |
olsmodel.fit( | |
X.astype(np.float32), y.astype(np.float32), epochs=25, batch_size=25, shuffle=True, verbose=False | |
) | |
# Show converged | |
olsmodel.fit(X.astype(np.float32), y.astype(np.float32), epochs=1, batch_size=25, shuffle=True) | |
class GroupedInterceptLinearCoeffs_gather(tf.keras.layers.Layer): | |
""" | |
""" | |
def __init__(self, ngroup=1, **kwargs): | |
super(GroupedInterceptLinearCoeffs_gather, self).__init__() | |
self.ngroup = ngroup | |
def build(self, input_shape): | |
self.a = self.add_weight( | |
shape=(self.ngroup,), dtype="float32", | |
initializer="random_normal", trainable=True | |
) | |
self.b = self.add_weight( | |
shape=(input_shape[1][-1],), dtype="float32", | |
initializer="random_normal", trainable=True | |
) | |
@tf.function() | |
def call(self, inputs): | |
out = tf.gather(self.a, inputs[0], axis=0, batch_dims=0) + tf.linalg.matvec(inputs[1], self.b) | |
return out | |
class OLS_gather(tf.keras.Model): | |
""" | |
""" | |
def __init__(self, ngroups=1, name="ols", **kwargs): | |
super(OLS_gather, self).__init__(name=name, **kwargs) | |
self.lm = GroupedInterceptLinearCoeffs_gather(ngroups) | |
def call(self, inputs): | |
out = self.lm(inputs) | |
return out | |
olsmodel_g = OLS_gather(ngroups=1) | |
optimizer_g = tf.keras.optimizers.Adam(learning_rate=1e-2) | |
olsmodel_g.compile(optimizer_g, loss=tf.keras.losses.MeanSquaredError()) | |
olsmodel_g.fit([np.zeros( | |
(X.shape[0],), dtype=np.int32), X.astype(np.float32)], y.astype(np.float32), | |
epochs=25, batch_size=25, verbose=False | |
) | |
olsmodel_g.fit( | |
[np.zeros((X.shape[0],), dtype=np.int32), X.astype(np.float32)], y.astype(np.float32), | |
epochs=1, batch_size=25 | |
) |
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