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Getting infinity values from gradient descent

Time:01-03

I'm trying to implement a multivariable linear regression with gradient descent but when I try this:

# Starting values
w = np.ones(3) # The number of features is 3
b = float(0)

def gradient_descent():
  global w
  global b

  learning_rate = 0.0001

  for i in range(x_train.shape[0]):
    prediction = np.dot(x_tarin[i], w)   b
    error = y_tarin[i] - prediction
    for j in range(w.shape[0]):
      w[j] = w[j] - (error * x_train[i][j] * learning_rate)
    b = b - (error * learning_rate)

def train():
  for i in range(10_000):
    gradient_descent()
    print(i, ':', w, b)

train()

the output is

0 : [inf inf inf] inf
1 : [inf inf inf] inf
2 : [inf inf inf] inf
3 : [inf inf inf] inf
4 : [inf inf inf] inf
5 : [inf inf inf] inf
6 : [inf inf inf] inf
....

so what I did wrong? I tried to decrease the learning rate but nothing changed

data sample:

total_rooms,population,households,bedrooms(target)
5612.0,1015.0,472.0,1283.0
7650.0,1129.0,463.0,1901.0
720.0,333.0,117.0,174.0
1501.0,515.0,226.0,337.0
1454.0,624.0,262.0,326.0

which total_rooms, population and households is x_train with shape (17000, 3) and bedrooms is y_train with shape (17000, 1)

when I try to scale the data using sklearn.preprocessing.StandardScaler before splitting the data

from sklearn.preprocessing import StandardScaler
scaler = StandardScaler()
train_data = scaler.fit_transform(train_data)
x_train = train_data[:, :3]
y_train = train_data[:, -1]

I get nan instead of inf!

note: The data works fine with scaling or not with sklearn.linear_model.LinearRegression

CodePudding user response:

As suggested in the comments: feature scaling is a good idea (scikit-learn includes SimpleScaler, but it's pretty straightforward to subtract the mean of each column and divide by the standard deviation as well).

Also: the error term appears to be backwards, the residual is usually prediction - true.

error = prediction - y[i]

CodePudding user response:

Without optimization or any warranty: Normalization and correctly applied gradient descent formula leads you to something like

import numpy as np


def gradient_descent(x_train, y_train, w=np.ones(3), b=float(0), learning_rate=0.001):
    predictions = x_train @ w   b
    error = predictions - y_train
    w = w - learning_rate * error @ x_train
    b = b - learning_rate * sum(error)
    return w, b


def train():
    # data with last column being the target
    data = np.array(
        [
            [5612.0, 1015.0, 472.0, 1283.0],
            [7650.0, 1129.0, 463.0, 1901.0],
            [720.0, 333.0, 117.0, 174.0],
            [1501.0, 515.0, 226.0, 337.0],
            [1454.0, 624.0, 262.0, 326.0],
        ]
    )
    norm_offset = np.mean(data[:])
    norm_factor = 1 / np.std(data[:])
    data_normalized = (data - norm_offset) * norm_factor
    x_train = data_normalized[:, :-1]
    y_train = data_normalized[:, -1]

    # start values
    w = np.ones(x_train.shape[1])
    b = float(0)

    # train
    for i in range(10_000):
        w, b = gradient_descent(x_train, y_train, w, b)
        # o = offset, f = factor, w'/b' normalized parameters, w/b original parameters
        #   y' = w' * x'   b'
        #   f * (y - o) = w' * f * (x - o)   b'
        #   y = w' * (x - o)   b' / f   o
        #   y = w' * x - o * sum(w')   b' / f   o
        #   => w = w', b = b' / f   o - o * sum(w')
        b_orig = b / norm_factor   norm_offset - sum(w) * norm_offset
        ssr = np.sum((data[:, :3] @ w   b_orig - data[:, 3]) ** 2)
        print(i, ':', w, b_orig, ssr)


if __name__ == "__main__":
    train()
...
9999 : [0.13503938 0.69644619 0.75400302] -386.71116671360414 71015.11748640954
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