Lightstar/venv/Lib/site-packages/sklearn/linear_model/_linear_loss.py

"""
Loss functions for linear models with raw_prediction = X @ coef
"""
import numpy as np
from scipy import sparse

from ..utils.extmath import squared_norm


class LinearModelLoss:
    """General class for loss functions with raw_prediction = X @ coef + intercept.

    Note that raw_prediction is also known as linear predictor.

    The loss is the sum of per sample losses and includes a term for L2
    regularization::

        loss = sum_i s_i loss(y_i, X_i @ coef + intercept)
               + 1/2 * l2_reg_strength * ||coef||_2^2

    with sample weights s_i=1 if sample_weight=None.

    Gradient and hessian, for simplicity without intercept, are::

        gradient = X.T @ loss.gradient + l2_reg_strength * coef
        hessian = X.T @ diag(loss.hessian) @ X + l2_reg_strength * identity

    Conventions:
        if fit_intercept:
            n_dof =  n_features + 1
        else:
            n_dof = n_features

        if base_loss.is_multiclass:
            coef.shape = (n_classes, n_dof) or ravelled (n_classes * n_dof,)
        else:
            coef.shape = (n_dof,)

        The intercept term is at the end of the coef array:
        if base_loss.is_multiclass:
            if coef.shape (n_classes, n_dof):
                intercept = coef[:, -1]
            if coef.shape (n_classes * n_dof,)
                intercept = coef[n_features::n_dof] = coef[(n_dof-1)::n_dof]
            intercept.shape = (n_classes,)
        else:
            intercept = coef[-1]

    Note: If coef has shape (n_classes * n_dof,), the 2d-array can be reconstructed as

        coef.reshape((n_classes, -1), order="F")

    The option order="F" makes coef[:, i] contiguous. This, in turn, makes the
    coefficients without intercept, coef[:, :-1], contiguous and speeds up
    matrix-vector computations.

    Note: If the average loss per sample is wanted instead of the sum of the loss per
    sample, one can simply use a rescaled sample_weight such that
    sum(sample_weight) = 1.

    Parameters
    ----------
    base_loss : instance of class BaseLoss from sklearn._loss.
    fit_intercept : bool
    """

    def __init__(self, base_loss, fit_intercept):
        self.base_loss = base_loss
        self.fit_intercept = fit_intercept

    def init_zero_coef(self, X, dtype=None):
        """Allocate coef of correct shape with zeros.

        Parameters:
        -----------
        X : {array-like, sparse matrix} of shape (n_samples, n_features)
            Training data.
        dtype : data-type, default=None
            Overrides the data type of coef. With dtype=None, coef will have the same
            dtype as X.

        Returns
        -------
        coef : ndarray of shape (n_dof,) or (n_classes, n_dof)
            Coefficients of a linear model.
        """
        n_features = X.shape[1]
        n_classes = self.base_loss.n_classes
        if self.fit_intercept:
            n_dof = n_features + 1
        else:
            n_dof = n_features
        if self.base_loss.is_multiclass:
            coef = np.zeros_like(X, shape=(n_classes, n_dof), dtype=dtype, order="F")
        else:
            coef = np.zeros_like(X, shape=n_dof, dtype=dtype)
        return coef

    def weight_intercept(self, coef):
        """Helper function to get coefficients and intercept.

        Parameters
        ----------
        coef : ndarray of shape (n_dof,), (n_classes, n_dof) or (n_classes * n_dof,)
            Coefficients of a linear model.
            If shape (n_classes * n_dof,), the classes of one feature are contiguous,
            i.e. one reconstructs the 2d-array via
            coef.reshape((n_classes, -1), order="F").

        Returns
        -------
        weights : ndarray of shape (n_features,) or (n_classes, n_features)
            Coefficients without intercept term.
        intercept : float or ndarray of shape (n_classes,)
            Intercept terms.
        """
        if not self.base_loss.is_multiclass:
            if self.fit_intercept:
                intercept = coef[-1]
                weights = coef[:-1]
            else:
                intercept = 0.0
                weights = coef
        else:
            # reshape to (n_classes, n_dof)
            if coef.ndim == 1:
                weights = coef.reshape((self.base_loss.n_classes, -1), order="F")
            else:
                weights = coef
            if self.fit_intercept:
                intercept = weights[:, -1]
                weights = weights[:, :-1]
            else:
                intercept = 0.0

        return weights, intercept

    def weight_intercept_raw(self, coef, X):
        """Helper function to get coefficients, intercept and raw_prediction.

        Parameters
        ----------
        coef : ndarray of shape (n_dof,), (n_classes, n_dof) or (n_classes * n_dof,)
            Coefficients of a linear model.
            If shape (n_classes * n_dof,), the classes of one feature are contiguous,
            i.e. one reconstructs the 2d-array via
            coef.reshape((n_classes, -1), order="F").
        X : {array-like, sparse matrix} of shape (n_samples, n_features)
            Training data.

        Returns
        -------
        weights : ndarray of shape (n_features,) or (n_classes, n_features)
            Coefficients without intercept term.
        intercept : float or ndarray of shape (n_classes,)
            Intercept terms.
        raw_prediction : ndarray of shape (n_samples,) or \
            (n_samples, n_classes)
        """
        weights, intercept = self.weight_intercept(coef)

        if not self.base_loss.is_multiclass:
            raw_prediction = X @ weights + intercept
        else:
            # weights has shape (n_classes, n_dof)
            raw_prediction = X @ weights.T + intercept  # ndarray, likely C-contiguous

        return weights, intercept, raw_prediction

    def l2_penalty(self, weights, l2_reg_strength):
        """Compute L2 penalty term l2_reg_strength/2 *||w||_2^2."""
        norm2_w = weights @ weights if weights.ndim == 1 else squared_norm(weights)
        return 0.5 * l2_reg_strength * norm2_w

    def loss(
        self,
        coef,
        X,
        y,
        sample_weight=None,
        l2_reg_strength=0.0,
        n_threads=1,
        raw_prediction=None,
    ):
        """Compute the loss as sum over point-wise losses.

        Parameters
        ----------
        coef : ndarray of shape (n_dof,), (n_classes, n_dof) or (n_classes * n_dof,)
            Coefficients of a linear model.
            If shape (n_classes * n_dof,), the classes of one feature are contiguous,
            i.e. one reconstructs the 2d-array via
            coef.reshape((n_classes, -1), order="F").
        X : {array-like, sparse matrix} of shape (n_samples, n_features)
            Training data.
        y : contiguous array of shape (n_samples,)
            Observed, true target values.
        sample_weight : None or contiguous array of shape (n_samples,), default=None
            Sample weights.
        l2_reg_strength : float, default=0.0
            L2 regularization strength
        n_threads : int, default=1
            Number of OpenMP threads to use.
        raw_prediction : C-contiguous array of shape (n_samples,) or array of \
            shape (n_samples, n_classes)
            Raw prediction values (in link space). If provided, these are used. If
            None, then raw_prediction = X @ coef + intercept is calculated.

        Returns
        -------
        loss : float
            Sum of losses per sample plus penalty.
        """
        if raw_prediction is None:
            weights, intercept, raw_prediction = self.weight_intercept_raw(coef, X)
        else:
            weights, intercept = self.weight_intercept(coef)

        loss = self.base_loss.loss(
            y_true=y,
            raw_prediction=raw_prediction,
            sample_weight=sample_weight,
            n_threads=n_threads,
        )
        loss = loss.sum()

        return loss + self.l2_penalty(weights, l2_reg_strength)

    def loss_gradient(
        self,
        coef,
        X,
        y,
        sample_weight=None,
        l2_reg_strength=0.0,
        n_threads=1,
        raw_prediction=None,
    ):
        """Computes the sum of loss and gradient w.r.t. coef.

        Parameters
        ----------
        coef : ndarray of shape (n_dof,), (n_classes, n_dof) or (n_classes * n_dof,)
            Coefficients of a linear model.
            If shape (n_classes * n_dof,), the classes of one feature are contiguous,
            i.e. one reconstructs the 2d-array via
            coef.reshape((n_classes, -1), order="F").
        X : {array-like, sparse matrix} of shape (n_samples, n_features)
            Training data.
        y : contiguous array of shape (n_samples,)
            Observed, true target values.
        sample_weight : None or contiguous array of shape (n_samples,), default=None
            Sample weights.
        l2_reg_strength : float, default=0.0
            L2 regularization strength
        n_threads : int, default=1
            Number of OpenMP threads to use.
        raw_prediction : C-contiguous array of shape (n_samples,) or array of \
            shape (n_samples, n_classes)
            Raw prediction values (in link space). If provided, these are used. If
            None, then raw_prediction = X @ coef + intercept is calculated.

        Returns
        -------
        loss : float
            Sum of losses per sample plus penalty.

        gradient : ndarray of shape coef.shape
             The gradient of the loss.
        """
        n_features, n_classes = X.shape[1], self.base_loss.n_classes
        n_dof = n_features + int(self.fit_intercept)

        if raw_prediction is None:
            weights, intercept, raw_prediction = self.weight_intercept_raw(coef, X)
        else:
            weights, intercept = self.weight_intercept(coef)

        loss, grad_pointwise = self.base_loss.loss_gradient(
            y_true=y,
            raw_prediction=raw_prediction,
            sample_weight=sample_weight,
            n_threads=n_threads,
        )
        loss = loss.sum()
        loss += self.l2_penalty(weights, l2_reg_strength)

        if not self.base_loss.is_multiclass:
            grad = np.empty_like(coef, dtype=weights.dtype)
            grad[:n_features] = X.T @ grad_pointwise + l2_reg_strength * weights
            if self.fit_intercept:
                grad[-1] = grad_pointwise.sum()
        else:
            grad = np.empty((n_classes, n_dof), dtype=weights.dtype, order="F")
            # grad_pointwise.shape = (n_samples, n_classes)
            grad[:, :n_features] = grad_pointwise.T @ X + l2_reg_strength * weights
            if self.fit_intercept:
                grad[:, -1] = grad_pointwise.sum(axis=0)
            if coef.ndim == 1:
                grad = grad.ravel(order="F")

        return loss, grad

    def gradient(
        self,
        coef,
        X,
        y,
        sample_weight=None,
        l2_reg_strength=0.0,
        n_threads=1,
        raw_prediction=None,
    ):
        """Computes the gradient w.r.t. coef.

        Parameters
        ----------
        coef : ndarray of shape (n_dof,), (n_classes, n_dof) or (n_classes * n_dof,)
            Coefficients of a linear model.
            If shape (n_classes * n_dof,), the classes of one feature are contiguous,
            i.e. one reconstructs the 2d-array via
            coef.reshape((n_classes, -1), order="F").
        X : {array-like, sparse matrix} of shape (n_samples, n_features)
            Training data.
        y : contiguous array of shape (n_samples,)
            Observed, true target values.
        sample_weight : None or contiguous array of shape (n_samples,), default=None
            Sample weights.
        l2_reg_strength : float, default=0.0
            L2 regularization strength
        n_threads : int, default=1
            Number of OpenMP threads to use.
        raw_prediction : C-contiguous array of shape (n_samples,) or array of \
            shape (n_samples, n_classes)
            Raw prediction values (in link space). If provided, these are used. If
            None, then raw_prediction = X @ coef + intercept is calculated.

        Returns
        -------
        gradient : ndarray of shape coef.shape
             The gradient of the loss.
        """
        n_features, n_classes = X.shape[1], self.base_loss.n_classes
        n_dof = n_features + int(self.fit_intercept)

        if raw_prediction is None:
            weights, intercept, raw_prediction = self.weight_intercept_raw(coef, X)
        else:
            weights, intercept = self.weight_intercept(coef)

        grad_pointwise = self.base_loss.gradient(
            y_true=y,
            raw_prediction=raw_prediction,
            sample_weight=sample_weight,
            n_threads=n_threads,
        )

        if not self.base_loss.is_multiclass:
            grad = np.empty_like(coef, dtype=weights.dtype)
            grad[:n_features] = X.T @ grad_pointwise + l2_reg_strength * weights
            if self.fit_intercept:
                grad[-1] = grad_pointwise.sum()
            return grad
        else:
            grad = np.empty((n_classes, n_dof), dtype=weights.dtype, order="F")
            # gradient.shape = (n_samples, n_classes)
            grad[:, :n_features] = grad_pointwise.T @ X + l2_reg_strength * weights
            if self.fit_intercept:
                grad[:, -1] = grad_pointwise.sum(axis=0)
            if coef.ndim == 1:
                return grad.ravel(order="F")
            else:
                return grad

    def gradient_hessian(
        self,
        coef,
        X,
        y,
        sample_weight=None,
        l2_reg_strength=0.0,
        n_threads=1,
        gradient_out=None,
        hessian_out=None,
        raw_prediction=None,
    ):
        """Computes gradient and hessian w.r.t. coef.

        Parameters
        ----------
        coef : ndarray of shape (n_dof,), (n_classes, n_dof) or (n_classes * n_dof,)
            Coefficients of a linear model.
            If shape (n_classes * n_dof,), the classes of one feature are contiguous,
            i.e. one reconstructs the 2d-array via
            coef.reshape((n_classes, -1), order="F").
        X : {array-like, sparse matrix} of shape (n_samples, n_features)
            Training data.
        y : contiguous array of shape (n_samples,)
            Observed, true target values.
        sample_weight : None or contiguous array of shape (n_samples,), default=None
            Sample weights.
        l2_reg_strength : float, default=0.0
            L2 regularization strength
        n_threads : int, default=1
            Number of OpenMP threads to use.
        gradient_out : None or ndarray of shape coef.shape
            A location into which the gradient is stored. If None, a new array
            might be created.
        hessian_out : None or ndarray
            A location into which the hessian is stored. If None, a new array
            might be created.
        raw_prediction : C-contiguous array of shape (n_samples,) or array of \
            shape (n_samples, n_classes)
            Raw prediction values (in link space). If provided, these are used. If
            None, then raw_prediction = X @ coef + intercept is calculated.

        Returns
        -------
        gradient : ndarray of shape coef.shape
             The gradient of the loss.

        hessian : ndarray
            Hessian matrix.

        hessian_warning : bool
            True if pointwise hessian has more than half of its elements non-positive.
        """
        n_samples, n_features = X.shape
        n_dof = n_features + int(self.fit_intercept)

        if raw_prediction is None:
            weights, intercept, raw_prediction = self.weight_intercept_raw(coef, X)
        else:
            weights, intercept = self.weight_intercept(coef)

        grad_pointwise, hess_pointwise = self.base_loss.gradient_hessian(
            y_true=y,
            raw_prediction=raw_prediction,
            sample_weight=sample_weight,
            n_threads=n_threads,
        )

        # For non-canonical link functions and far away from the optimum, the pointwise
        # hessian can be negative. We take care that 75% of the hessian entries are
        # positive.
        hessian_warning = np.mean(hess_pointwise <= 0) > 0.25
        hess_pointwise = np.abs(hess_pointwise)

        if not self.base_loss.is_multiclass:
            # gradient
            if gradient_out is None:
                grad = np.empty_like(coef, dtype=weights.dtype)
            else:
                grad = gradient_out
            grad[:n_features] = X.T @ grad_pointwise + l2_reg_strength * weights
            if self.fit_intercept:
                grad[-1] = grad_pointwise.sum()

            # hessian
            if hessian_out is None:
                hess = np.empty(shape=(n_dof, n_dof), dtype=weights.dtype)
            else:
                hess = hessian_out

            if hessian_warning:
                # Exit early without computing the hessian.
                return grad, hess, hessian_warning

            # TODO: This "sandwich product", X' diag(W) X, is the main computational
            # bottleneck for solvers. A dedicated Cython routine might improve it
            # exploiting the symmetry (as opposed to, e.g., BLAS gemm).
            if sparse.issparse(X):
                hess[:n_features, :n_features] = (
                    X.T
                    @ sparse.dia_matrix(
                        (hess_pointwise, 0), shape=(n_samples, n_samples)
                    )
                    @ X
                ).toarray()
            else:
                # np.einsum may use less memory but the following, using BLAS matrix
                # multiplication (gemm), is by far faster.
                WX = hess_pointwise[:, None] * X
                hess[:n_features, :n_features] = np.dot(X.T, WX)

            if l2_reg_strength > 0:
                # The L2 penalty enters the Hessian on the diagonal only. To add those
                # terms, we use a flattened view on the array.
                hess.reshape(-1)[
                    : (n_features * n_dof) : (n_dof + 1)
                ] += l2_reg_strength

            if self.fit_intercept:
                # With intercept included as added column to X, the hessian becomes
                # hess = (X, 1)' @ diag(h) @ (X, 1)
                #      = (X' @ diag(h) @ X, X' @ h)
                #        (           h @ X, sum(h))
                # The left upper part has already been filled, it remains to compute
                # the last row and the last column.
                Xh = X.T @ hess_pointwise
                hess[:-1, -1] = Xh
                hess[-1, :-1] = Xh
                hess[-1, -1] = hess_pointwise.sum()
        else:
            # Here we may safely assume HalfMultinomialLoss aka categorical
            # cross-entropy.
            raise NotImplementedError

        return grad, hess, hessian_warning

    def gradient_hessian_product(
        self, coef, X, y, sample_weight=None, l2_reg_strength=0.0, n_threads=1
    ):
        """Computes gradient and hessp (hessian product function) w.r.t. coef.

        Parameters
        ----------
        coef : ndarray of shape (n_dof,), (n_classes, n_dof) or (n_classes * n_dof,)
            Coefficients of a linear model.
            If shape (n_classes * n_dof,), the classes of one feature are contiguous,
            i.e. one reconstructs the 2d-array via
            coef.reshape((n_classes, -1), order="F").
        X : {array-like, sparse matrix} of shape (n_samples, n_features)
            Training data.
        y : contiguous array of shape (n_samples,)
            Observed, true target values.
        sample_weight : None or contiguous array of shape (n_samples,), default=None
            Sample weights.
        l2_reg_strength : float, default=0.0
            L2 regularization strength
        n_threads : int, default=1
            Number of OpenMP threads to use.

        Returns
        -------
        gradient : ndarray of shape coef.shape
             The gradient of the loss.

        hessp : callable
            Function that takes in a vector input of shape of gradient and
            and returns matrix-vector product with hessian.
        """
        (n_samples, n_features), n_classes = X.shape, self.base_loss.n_classes
        n_dof = n_features + int(self.fit_intercept)
        weights, intercept, raw_prediction = self.weight_intercept_raw(coef, X)

        if not self.base_loss.is_multiclass:
            grad_pointwise, hess_pointwise = self.base_loss.gradient_hessian(
                y_true=y,
                raw_prediction=raw_prediction,
                sample_weight=sample_weight,
                n_threads=n_threads,
            )
            grad = np.empty_like(coef, dtype=weights.dtype)
            grad[:n_features] = X.T @ grad_pointwise + l2_reg_strength * weights
            if self.fit_intercept:
                grad[-1] = grad_pointwise.sum()

            # Precompute as much as possible: hX, hX_sum and hessian_sum
            hessian_sum = hess_pointwise.sum()
            if sparse.issparse(X):
                hX = (
                    sparse.dia_matrix((hess_pointwise, 0), shape=(n_samples, n_samples))
                    @ X
                )
            else:
                hX = hess_pointwise[:, np.newaxis] * X

            if self.fit_intercept:
                # Calculate the double derivative with respect to intercept.
                # Note: In case hX is sparse, hX.sum is a matrix object.
                hX_sum = np.squeeze(np.asarray(hX.sum(axis=0)))
                # prevent squeezing to zero-dim array if n_features == 1
                hX_sum = np.atleast_1d(hX_sum)

            # With intercept included and l2_reg_strength = 0, hessp returns
            # res = (X, 1)' @ diag(h) @ (X, 1) @ s
            #     = (X, 1)' @ (hX @ s[:n_features], sum(h) * s[-1])
            # res[:n_features] = X' @ hX @ s[:n_features] + sum(h) * s[-1]
            # res[-1] = 1' @ hX @ s[:n_features] + sum(h) * s[-1]
            def hessp(s):
                ret = np.empty_like(s)
                if sparse.issparse(X):
                    ret[:n_features] = X.T @ (hX @ s[:n_features])
                else:
                    ret[:n_features] = np.linalg.multi_dot([X.T, hX, s[:n_features]])
                ret[:n_features] += l2_reg_strength * s[:n_features]

                if self.fit_intercept:
                    ret[:n_features] += s[-1] * hX_sum
                    ret[-1] = hX_sum @ s[:n_features] + hessian_sum * s[-1]
                return ret

        else:
            # Here we may safely assume HalfMultinomialLoss aka categorical
            # cross-entropy.
            # HalfMultinomialLoss computes only the diagonal part of the hessian, i.e.
            # diagonal in the classes. Here, we want the matrix-vector product of the
            # full hessian. Therefore, we call gradient_proba.
            grad_pointwise, proba = self.base_loss.gradient_proba(
                y_true=y,
                raw_prediction=raw_prediction,
                sample_weight=sample_weight,
                n_threads=n_threads,
            )
            grad = np.empty((n_classes, n_dof), dtype=weights.dtype, order="F")
            grad[:, :n_features] = grad_pointwise.T @ X + l2_reg_strength * weights
            if self.fit_intercept:
                grad[:, -1] = grad_pointwise.sum(axis=0)

            # Full hessian-vector product, i.e. not only the diagonal part of the
            # hessian. Derivation with some index battle for input vector s:
            #   - sample index i
            #   - feature indices j, m
            #   - class indices k, l
            #   - 1_{k=l} is one if k=l else 0
            #   - p_i_k is the (predicted) probability that sample i belongs to class k
            #     for all i: sum_k p_i_k = 1
            #   - s_l_m is input vector for class l and feature m
            #   - X' = X transposed
            #
            # Note: Hessian with dropping most indices is just:
            #       X' @ p_k (1(k=l) - p_l) @ X
            #
            # result_{k j} = sum_{i, l, m} Hessian_{i, k j, m l} * s_l_m
            #   = sum_{i, l, m} (X')_{ji} * p_i_k * (1_{k=l} - p_i_l)
            #                   * X_{im} s_l_m
            #   = sum_{i, m} (X')_{ji} * p_i_k
            #                * (X_{im} * s_k_m - sum_l p_i_l * X_{im} * s_l_m)
            #
            # See also https://github.com/scikit-learn/scikit-learn/pull/3646#discussion_r17461411  # noqa
            def hessp(s):
                s = s.reshape((n_classes, -1), order="F")  # shape = (n_classes, n_dof)
                if self.fit_intercept:
                    s_intercept = s[:, -1]
                    s = s[:, :-1]  # shape = (n_classes, n_features)
                else:
                    s_intercept = 0
                tmp = X @ s.T + s_intercept  # X_{im} * s_k_m
                tmp += (-proba * tmp).sum(axis=1)[:, np.newaxis]  # - sum_l ..
                tmp *= proba  # * p_i_k
                if sample_weight is not None:
                    tmp *= sample_weight[:, np.newaxis]
                # hess_prod = empty_like(grad), but we ravel grad below and this
                # function is run after that.
                hess_prod = np.empty((n_classes, n_dof), dtype=weights.dtype, order="F")
                hess_prod[:, :n_features] = tmp.T @ X + l2_reg_strength * s
                if self.fit_intercept:
                    hess_prod[:, -1] = tmp.sum(axis=0)
                if coef.ndim == 1:
                    return hess_prod.ravel(order="F")
                else:
                    return hess_prod

            if coef.ndim == 1:
                return grad.ravel(order="F"), hessp

        return grad, hessp