rxLogisticRegression: Logistic Regression
Machine Learning Logistic Regression
Usage
rxLogisticRegression(formula = NULL, data, type = c("binary", "multiClass"),
l2Weight = 1, l1Weight = 1, optTol = 1e-07, memorySize = 20,
initWtsScale = 0, maxIterations = 2147483647, showTrainingStats = FALSE,
sgdInitTol = 0, trainThreads = NULL, denseOptimizer = FALSE,
normalize = "auto", mlTransforms = NULL, mlTransformVars = NULL,
rowSelection = NULL, transforms = NULL, transformObjects = NULL,
transformFunc = NULL, transformVars = NULL, transformPackages = NULL,
transformEnvir = NULL, blocksPerRead = rxGetOption("blocksPerRead"),
reportProgress = rxGetOption("reportProgress"), verbose = 1,
computeContext = rxGetOption("computeContext"),
ensemble = ensembleControl(), ...)
Arguments
formula
The formula as described in rxFormula. Interaction terms and F() are not currently supported in the MicrosoftML.
data
A data source object or a character string specifying a .xdf file or a data frame object.
type
A character string that specifies the type of Logistic Regression: "binary" for the default binary classification logistic regression or "multi" for multinomial logistic regression.
l2Weight
The L2 regularization weight. Its value must be greater than or equal to 0 and the default value is set to 1.
l1Weight
The L1 regularization weight. Its value must be greater than or equal to 0 and the default value is set to 1.
optTol
Threshold value for optimizer convergence. If the improvement between iterations is less than the threshold, the algorithm stops and returns the current model. Smaller values are slower, but more accurate. The default value is 1e-07.
memorySize
Memory size for L-BFGS, specifying the number of past positions and gradients to store for the computation of the next step. This optimization parameter limits the amount of memory that is used to compute the magnitude and direction of the next step. When you specify less memory, training is faster but less accurate. Must be greater than or equal to 1 and the default value is 20.
initWtsScale
Sets the initial weights diameter that specifies the range from which values are drawn for the initial weights. These weights are initialized randomly from within this range. For example, if the diameter is specified to be d, then the weights are uniformly distributed between -d/2 and d/2. The default value is 0, which specifies that all the weights are initialized to 0.
maxIterations
Sets the maximum number of iterations. After this number of steps, the algorithm stops even if it has not satisfied convergence criteria.
showTrainingStats
Specify TRUE to show the statistics of training data and the trained model; otherwise, FALSE. The default value is FALSE. For additional information about model statistics, see summary.mlModel.
sgdInitTol
Set to a number greater than 0 to use Stochastic Gradient Descent (SGD) to find the initial parameters. A non-zero value set specifies the tolerance SGD uses to determine convergence. The default value is 0 specifying that SGD is not used.
trainThreads
The number of threads to use in training the model. This should be set to the number of cores on the machine. Note that L-BFGS multi-threading attempts to load dataset into memory. In case of out-of-memory issues, set trainThreads to 1 to turn off multi-threading. If NULL the number of threads to use is determined internally. The default value is NULL.
denseOptimizer
If TRUE, forces densification of the internal optimization vectors. If FALSE, enables the logistic regression optimizer use sparse or dense internal states as it finds appropriate. Setting denseOptimizer to TRUE requires the internal optimizer to use a dense internal state, which may help alleviate load on the garbage collector for some varieties of larger problems.
normalize
Specifies the type of automatic normalization used:
"auto": if normalization is needed, it is performed automatically. This is the default choice."no": no normalization is performed."yes": normalization is performed."warn": if normalization is needed, a warning message is displayed, but normalization is not performed.
Normalization rescales disparate data ranges to a standard scale. Feature scaling insures the distances between data points are proportional and enables various optimization methods such as gradient descent to converge much faster. If normalization is performed, aMaxMinnormalizer is used. It normalizes values in an interval [a, b] where-1 <= a <= 0and0 <= b <= 1andb - a = 1. This normalizer preserves sparsity by mapping zero to zero.
mlTransforms
Specifies a list of MicrosoftML transforms to be performed on the data before training or NULL if no transforms are to be performed. See featurizeText, categorical, and categoricalHash, for transformations that are supported. These transformations are performed after any specified R transformations. The default value is NULL.
mlTransformVars
Specifies a character vector of variable names to be used in mlTransforms or NULL if none are to be used. The default value is NULL.
rowSelection
Specifies the rows (observations) from the data set that are to be used by the model with the name of a logical variable from the data set (in quotes) or with a logical expression using variables in the data set. For example, rowSelection = "old" will only use observations in which the value of the variable old is TRUE. rowSelection = (age > 20) & (age < 65) & (log(income) > 10) only uses observations in which the value of the age variable is between 20 and 65 and the value of the log of the income variable is greater than 10. The row selection is performed after processing any data transformations (see the arguments transforms or transformFunc). As with all expressions, rowSelection can be defined outside of the function call using the expression function.
transforms
An expression of the form list(name = expression, ``...) that represents the first round of variable transformations. As with all expressions, transforms (or rowSelection) can be defined outside of the function call using the expression function.
transformObjects
A named list that contains objects that can be referenced by transforms, transformsFunc, and rowSelection.
transformFunc
The variable transformation function. See rxTransform for details.
transformVars
A character vector of input data set variables needed for the transformation function. See rxTransform for details.
transformPackages
A character vector specifying additional R packages (outside of those specified in rxGetOption("transformPackages")) to be made available and preloaded for use in variable transformation functions. For example, those explicitly defined in RevoScaleR functions via their transforms and transformFunc arguments or those defined implicitly via their formula or rowSelection arguments. The transformPackages argument may also be NULL, indicating that no packages outside rxGetOption("transformPackages") are preloaded.
transformEnvir
A user-defined environment to serve as a parent to all environments developed internally and used for variable data transformation. If transformEnvir = NULL, a new "hash" environment with parent baseenv() is used instead.
blocksPerRead
Specifies the number of blocks to read for each chunk of data read from the data source.
reportProgress
An integer value that specifies the level of reporting on the row processing progress:
0: no progress is reported.1: the number of processed rows is printed and updated.2: rows processed and timings are reported.3: rows processed and all timings are reported.
verbose
An integer value that specifies the amount of output wanted. If 0, no verbose output is printed during calculations. Integer values from 1 to 4 provide increasing amounts of information.
computeContext
Sets the context in which computations are executed, specified with a valid RxComputeContext. Currently local and RxInSqlServer compute contexts are supported.
ensemble
Control parameters for ensembling.
...
Additional arguments to be passed directly to the Microsoft Compute Engine.
Details
Logistic Regression is a classification method used to predict the value of a categorical dependent variable from its relationship to one or more independent variables assumed to have a logistic distribution. If the dependent variable has only two possible values (success/failure), then the logistic regression is binary. If the dependent variable has more than two possible values (blood type given diagnostic test results), then the logistic regression is multinomial.
The optimization technique used for rxLogisticRegression is the
limited memory Broyden-Fletcher-Goldfarb-Shanno (L-BFGS). Both the L-BFGS
and regular BFGS algorithms use quasi-Newtonian methods to estimate the
computationally intensive Hessian matrix in the equation used by Newton's
method to calculate steps. But the L-BFGS approximation uses only a limited
amount of memory to compute the next step direction, so that it is especially
suited for problems with a large number of variables. The memorySize
parameter specifies the number of past positions and gradients to store for
use in the computation of the next step.
This learner can use elastic net regularization: a linear combination of L1 (lasso) and L2 (ridge) regularizations. Regularization is a method that can render an ill-posed problem more tractable by imposing constraints that provide information to supplement the data and that prevents overfitting by penalizing models with extreme coefficient values. This can improve the generalization of the model learned by selecting the optimal complexity in the bias-variance tradeoff. Regularization works by adding the penalty that is associated with coefficient values to the error of the hypothesis. An accurate model with extreme coefficient values would be penalized more, but a less accurate model with more conservative values would be penalized less. L1 and L2 regularization have different effects and uses that are complementary in certain respects.
l1Weight: can be applied to sparse models, when working
with high-dimensional data. It pulls small weights associated features
that are relatively unimportant towards 0.
l2Weight: is preferable for data that is not sparse. It pulls
large weights towards zero.
Adding the ridge penalty to the regularization overcomes some of lasso's
limitations. It can improve its predictive accuracy, for example, when
the number of predictors is greater than the sample size.
If x = l1Weight and y = l2Weight, ax + by = c
defines the linear span of the regularization terms. The default values
of x and y are both 1. An aggressive regularization can harm predictive
capacity by excluding important variables out of the model. So choosing the
optimal values for the regularization parameters is important for the
performance of the logistic regression model.
Value
rxLogisticRegression: A rxLogisticRegression object
with the trained model.
LogisticReg: A learner specification object of class maml
for the Logistic Reg trainer.
Notes
This algorithm will attempt to load the entire dataset into memory
when trainThreads > 1 (multi-threading).
Author(s)
Microsoft Corporation Microsoft Technical Support
References
Training of L1-Regularized Log-Linear Models
and L2 Regularization for Machine Learning
See also
rxFastTrees, rxFastForest, rxFastLinear, rxNeuralNet, rxOneClassSvm, featurizeText, categorical, categoricalHash, rxPredict.mlModel.
Examples
# Estimate a logistic regression model
logitModel <- rxLogisticRegression(isCase ~ age + parity + education + spontaneous + induced,
transforms = list(isCase = case == 1),
data = infert)
# Print a summary of the model
summary(logitModel)
# Score to a data frame
scoreDF <- rxPredict(logitModel, data = infert,
extraVarsToWrite = "isCase")
# Compute and plot the Radio Operator Curve and AUC
roc1 <- rxRoc(actualVarName = "isCase", predVarNames = "Probability", data = scoreDF)
plot(roc1)
rxAuc(roc1)
#######################################################################################
# Multi-class logistic regression
testObs <- rnorm(nrow(iris)) > 0
testIris <- iris[testObs,]
trainIris <- iris[!testObs,]
multiLogit <- rxLogisticRegression(
formula = Species~Sepal.Length + Sepal.Width + Petal.Length + Petal.Width,
type = "multiClass", data = trainIris)
# Score the model
scoreMultiDF <- rxPredict(multiLogit, data = testIris,
extraVarsToWrite = "Species")
# Print the first rows of the data frame with scores
head(scoreMultiDF)
# Look at confusion matrix
table(scoreMultiDF$Species, scoreMultiDF$PredictedLabel)
# Look at the observations with incorrect predictions
badPrediction = scoreMultiDF$Species != scoreMultiDF$PredictedLabel
scoreMultiDF[badPrediction,]
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