We try to reproduce the logistic regression models with custom cost functions and show that the results are similar to the built-in logistic regression models.
The built-in logistic regression model in fastcpd() is
implemented with the help of the fastglm package. The
fastglm package utilizes the iteratively reweighted
least squares with the step-halving approach to help safeguard against
convergence issues. If a custom cost function is used with gradient
descent, we should expect the results will be similar to the built-in
logistic regression model.
Specifying the cost, cost_gradient and
cost_hessian parameters below, we can obtain similar
results as the built-in logistic regression model.
set.seed(1)
x <- matrix(rnorm(2000, 0, 1), ncol = 5)
theta <- rbind(rnorm(5, 0, 1), rnorm(5, 2, 1))
y <- c(
rbinom(250, 1, 1 / (1 + exp(-x[1:250, ] %*% theta[1, ]))),
rbinom(150, 1, 1 / (1 + exp(-x[251:400, ] %*% theta[2, ])))
)
binomial_data <- data.frame(y = y, x = x)
result <- fastcpd.binomial(cbind(y, x), r.progress = FALSE, cost_adjustment = NULL)
summary(result)
#>
#> Call:
#> fastcpd.binomial(data = cbind(y, x), r.progress = FALSE, cost_adjustment = NULL)
#>
#> Change points:
#> 250
#>
#> Cost values:
#> 99.40994 36.89336
#>
#> Parameters:
#> segment 1 segment 2
#> 1 -1.0096300 3.46131278
#> 2 -1.7740956 2.10636392
#> 3 1.2736663 0.74124627
#> 4 0.3955351 0.07297997
#> 5 -0.1047536 2.00553153logistic_loss <- function(data, theta) {
x <- data[, -1]
y <- data[, 1]
u <- x %*% theta
nll <- -y * u + log(1 + exp(u))
nll[u > 10] <- -y[u > 10] * u[u > 10] + u[u > 10]
sum(nll)
}
logistic_gradient <- function(data, theta) {
x <- data[nrow(data), -1]
y <- data[nrow(data), 1]
c(-(y - 1 / (1 + exp(-x %*% theta)))) * x
}
logistic_hessian <- function(data, theta) {
x <- data[nrow(data), -1]
prob <- 1 / (1 + exp(-x %*% theta))
(x %o% x) * c((1 - prob) * prob)
}
result <- fastcpd(
y ~ . - 1, binomial_data, epsilon = 1e-5, cost = logistic_loss,
cost_gradient = logistic_gradient, cost_hessian = logistic_hessian,
r.progress = FALSE
)
summary(result)
#>
#> Call:
#> fastcpd(formula = y ~ . - 1, data = binomial_data, cost = logistic_loss,
#> cost_gradient = logistic_gradient, cost_hessian = logistic_hessian,
#> epsilon = 1e-05, r.progress = FALSE)
#>
#> Change points:
#> 9 252
#>
#> Parameters:
#> segment 1 segment 2 segment 3
#> 1 0 0 0
#> 2 0 0 0
#> 3 0 0 0
#> 4 0 0 0
#> 5 0 0 0Note that the result obtained through custom cost functions is inferior compared to the one obtained through built-in models. We remark that the results can be improved with extra parameters already provided in the package. The detailed discussion of several advanced usages of the package can be found in Advanced examples.
This document is generated by the following code:
R -e 'knitr::knit("vignettes/examples-custom-model.Rmd.original", output = "vignettes/examples-custom-model.Rmd")'knitr::opts_chunk$set(
collapse = TRUE, comment = "#>", eval = TRUE, warning = FALSE
)
library(fastcpd)
set.seed(1)
x <- matrix(rnorm(2000, 0, 1), ncol = 5)
theta <- rbind(rnorm(5, 0, 1), rnorm(5, 2, 1))
y <- c(
rbinom(250, 1, 1 / (1 + exp(-x[1:250, ] %*% theta[1, ]))),
rbinom(150, 1, 1 / (1 + exp(-x[251:400, ] %*% theta[2, ])))
)
binomial_data <- data.frame(y = y, x = x)
result <- fastcpd.binomial(cbind(y, x), r.progress = FALSE, cost_adjustment = NULL)
summary(result)
logistic_loss <- function(data, theta) {
x <- data[, -1]
y <- data[, 1]
u <- x %*% theta
nll <- -y * u + log(1 + exp(u))
nll[u > 10] <- -y[u > 10] * u[u > 10] + u[u > 10]
sum(nll)
}
logistic_gradient <- function(data, theta) {
x <- data[nrow(data), -1]
y <- data[nrow(data), 1]
c(-(y - 1 / (1 + exp(-x %*% theta)))) * x
}
logistic_hessian <- function(data, theta) {
x <- data[nrow(data), -1]
prob <- 1 / (1 + exp(-x %*% theta))
(x %o% x) * c((1 - prob) * prob)
}
result <- fastcpd(
y ~ . - 1, binomial_data, epsilon = 1e-5, cost = logistic_loss,
cost_gradient = logistic_gradient, cost_hessian = logistic_hessian,
r.progress = FALSE
)
summary(result)