/*
* This program is free software; you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation; either version 2 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program; if not, write to the Free Software
* Foundation, Inc., 675 Mass Ave, Cambridge, MA 02139, USA.
*/
/*
* Logistic.java
* Copyright (C) 2003 University of Waikato, Hamilton, New Zealand
*
*/
package weka.classifiers.functions;
import weka.classifiers.Classifier;
import weka.classifiers.AbstractClassifier;
import weka.core.Capabilities;
import weka.core.Instance;
import weka.core.Instances;
import weka.core.Optimization;
import weka.core.Option;
import weka.core.OptionHandler;
import weka.core.RevisionUtils;
import weka.core.TechnicalInformation;
import weka.core.TechnicalInformationHandler;
import weka.core.Utils;
import weka.core.WeightedInstancesHandler;
import weka.core.Capabilities.Capability;
import weka.core.TechnicalInformation.Field;
import weka.core.TechnicalInformation.Type;
import weka.filters.Filter;
import weka.filters.unsupervised.attribute.NominalToBinary;
import weka.filters.unsupervised.attribute.RemoveUseless;
import weka.filters.unsupervised.attribute.ReplaceMissingValues;
import java.util.Enumeration;
import java.util.Vector;
/**
* Class for building and using a multinomial logistic regression model with a ridge estimator.
*
* There are some modifications, however, compared to the paper of leCessie and van Houwelingen(1992):
*
* If there are k classes for n instances with m attributes, the parameter matrix B to be calculated will be an m*(k-1) matrix.
*
* The probability for class j with the exception of the last class is
*
* Pj(Xi) = exp(XiBj)/((sum[j=1..(k-1)]exp(Xi*Bj))+1)
*
* The last class has probability
*
* 1-(sum[j=1..(k-1)]Pj(Xi))
* = 1/((sum[j=1..(k-1)]exp(Xi*Bj))+1)
*
* The (negative) multinomial log-likelihood is thus:
*
* L = -sum[i=1..n]{
* sum[j=1..(k-1)](Yij * ln(Pj(Xi)))
* +(1 - (sum[j=1..(k-1)]Yij))
* * ln(1 - sum[j=1..(k-1)]Pj(Xi))
* } + ridge * (B^2)
*
* In order to find the matrix B for which L is minimised, a Quasi-Newton Method is used to search for the optimized values of the m*(k-1) variables. Note that before we use the optimization procedure, we 'squeeze' the matrix B into a m*(k-1) vector. For details of the optimization procedure, please check weka.core.Optimization class.
*
* Although original Logistic Regression does not deal with instance weights, we modify the algorithm a little bit to handle the instance weights.
*
* For more information see:
*
* le Cessie, S., van Houwelingen, J.C. (1992). Ridge Estimators in Logistic Regression. Applied Statistics. 41(1):191-201.
*
* Note: Missing values are replaced using a ReplaceMissingValuesFilter, and nominal attributes are transformed into numeric attributes using a NominalToBinaryFilter.
*
* @article{leCessie1992, * author = {le Cessie, S. and van Houwelingen, J.C.}, * journal = {Applied Statistics}, * number = {1}, * pages = {191-201}, * title = {Ridge Estimators in Logistic Regression}, * volume = {41}, * year = {1992} * } ** * * Valid options are: * *
-D * Turn on debugging output.* *
-R <ridge> * Set the ridge in the log-likelihood.* *
-M <number> * Set the maximum number of iterations (default -1, until convergence).* * * @author Xin Xu (xx5@cs.waikato.ac.nz) * @version $Revision: 5928 $ */ public class Logistic extends AbstractClassifier implements OptionHandler, WeightedInstancesHandler, TechnicalInformationHandler { /** for serialization */ static final long serialVersionUID = 3932117032546553727L; /** The coefficients (optimized parameters) of the model */ protected double [][] m_Par; /** The data saved as a matrix */ protected double [][] m_Data; /** The number of attributes in the model */ protected int m_NumPredictors; /** The index of the class attribute */ protected int m_ClassIndex; /** The number of the class labels */ protected int m_NumClasses; /** The ridge parameter. */ protected double m_Ridge = 1e-8; /** An attribute filter */ private RemoveUseless m_AttFilter; /** The filter used to make attributes numeric. */ private NominalToBinary m_NominalToBinary; /** The filter used to get rid of missing values. */ private ReplaceMissingValues m_ReplaceMissingValues; /** Debugging output */ protected boolean m_Debug; /** Log-likelihood of the searched model */ protected double m_LL; /** The maximum number of iterations. */ private int m_MaxIts = -1; private Instances m_structure; /** * Returns a string describing this classifier * @return a description of the classifier suitable for * displaying in the explorer/experimenter gui */ public String globalInfo() { return "Class for building and using a multinomial logistic " +"regression model with a ridge estimator.\n\n" +"There are some modifications, however, compared to the paper of " +"leCessie and van Houwelingen(1992): \n\n" +"If there are k classes for n instances with m attributes, the " +"parameter matrix B to be calculated will be an m*(k-1) matrix.\n\n" +"The probability for class j with the exception of the last class is\n\n" +"Pj(Xi) = exp(XiBj)/((sum[j=1..(k-1)]exp(Xi*Bj))+1) \n\n" +"The last class has probability\n\n" +"1-(sum[j=1..(k-1)]Pj(Xi)) \n\t= 1/((sum[j=1..(k-1)]exp(Xi*Bj))+1)\n\n" +"The (negative) multinomial log-likelihood is thus: \n\n" +"L = -sum[i=1..n]{\n\tsum[j=1..(k-1)](Yij * ln(Pj(Xi)))" +"\n\t+(1 - (sum[j=1..(k-1)]Yij)) \n\t* ln(1 - sum[j=1..(k-1)]Pj(Xi))" +"\n\t} + ridge * (B^2)\n\n" +"In order to find the matrix B for which L is minimised, a " +"Quasi-Newton Method is used to search for the optimized values of " +"the m*(k-1) variables. Note that before we use the optimization " +"procedure, we 'squeeze' the matrix B into a m*(k-1) vector. For " +"details of the optimization procedure, please check " +"weka.core.Optimization class.\n\n" +"Although original Logistic Regression does not deal with instance " +"weights, we modify the algorithm a little bit to handle the " +"instance weights.\n\n" +"For more information see:\n\n" + getTechnicalInformation().toString() + "\n\n" +"Note: Missing values are replaced using a ReplaceMissingValuesFilter, and " +"nominal attributes are transformed into numeric attributes using a " +"NominalToBinaryFilter."; } /** * Returns an instance of a TechnicalInformation object, containing * detailed information about the technical background of this class, * e.g., paper reference or book this class is based on. * * @return the technical information about this class */ public TechnicalInformation getTechnicalInformation() { TechnicalInformation result; result = new TechnicalInformation(Type.ARTICLE); result.setValue(Field.AUTHOR, "le Cessie, S. and van Houwelingen, J.C."); result.setValue(Field.YEAR, "1992"); result.setValue(Field.TITLE, "Ridge Estimators in Logistic Regression"); result.setValue(Field.JOURNAL, "Applied Statistics"); result.setValue(Field.VOLUME, "41"); result.setValue(Field.NUMBER, "1"); result.setValue(Field.PAGES, "191-201"); return result; } /** * Returns an enumeration describing the available options * * @return an enumeration of all the available options */ public Enumeration listOptions() { Vector newVector = new Vector(3); newVector.addElement(new Option("\tTurn on debugging output.", "D", 0, "-D")); newVector.addElement(new Option("\tSet the ridge in the log-likelihood.", "R", 1, "-R
-D * Turn on debugging output.* *
-R <ridge> * Set the ridge in the log-likelihood.* *
-M <number> * Set the maximum number of iterations (default -1, until convergence).* * * @param options the list of options as an array of strings * @throws Exception if an option is not supported */ public void setOptions(String[] options) throws Exception { setDebug(Utils.getFlag('D', options)); String ridgeString = Utils.getOption('R', options); if (ridgeString.length() != 0) m_Ridge = Double.parseDouble(ridgeString); else m_Ridge = 1.0e-8; String maxItsString = Utils.getOption('M', options); if (maxItsString.length() != 0) m_MaxIts = Integer.parseInt(maxItsString); else m_MaxIts = -1; } /** * Gets the current settings of the classifier. * * @return an array of strings suitable for passing to setOptions */ public String [] getOptions() { String [] options = new String [5]; int current = 0; if (getDebug()) options[current++] = "-D"; options[current++] = "-R"; options[current++] = ""+m_Ridge; options[current++] = "-M"; options[current++] = ""+m_MaxIts; while (current < options.length) options[current++] = ""; return options; } /** * Returns the tip text for this property * @return tip text for this property suitable for * displaying in the explorer/experimenter gui */ public String debugTipText() { return "Output debug information to the console."; } /** * Sets whether debugging output will be printed. * * @param debug true if debugging output should be printed */ public void setDebug(boolean debug) { m_Debug = debug; } /** * Gets whether debugging output will be printed. * * @return true if debugging output will be printed */ public boolean getDebug() { return m_Debug; } /** * Returns the tip text for this property * @return tip text for this property suitable for * displaying in the explorer/experimenter gui */ public String ridgeTipText() { return "Set the Ridge value in the log-likelihood."; } /** * Sets the ridge in the log-likelihood. * * @param ridge the ridge */ public void setRidge(double ridge) { m_Ridge = ridge; } /** * Gets the ridge in the log-likelihood. * * @return the ridge */ public double getRidge() { return m_Ridge; } /** * Returns the tip text for this property * @return tip text for this property suitable for * displaying in the explorer/experimenter gui */ public String maxItsTipText() { return "Maximum number of iterations to perform."; } /** * Get the value of MaxIts. * * @return Value of MaxIts. */ public int getMaxIts() { return m_MaxIts; } /** * Set the value of MaxIts. * * @param newMaxIts Value to assign to MaxIts. */ public void setMaxIts(int newMaxIts) { m_MaxIts = newMaxIts; } private class OptEng extends Optimization{ /** Weights of instances in the data */ private double[] weights; /** Class labels of instances */ private int[] cls; /** * Set the weights of instances * @param w the weights to be set */ public void setWeights(double[] w) { weights = w; } /** * Set the class labels of instances * @param c the class labels to be set */ public void setClassLabels(int[] c) { cls = c; } /** * Evaluate objective function * @param x the current values of variables * @return the value of the objective function */ protected double objectiveFunction(double[] x){ double nll = 0; // -LogLikelihood int dim = m_NumPredictors+1; // Number of variables per class for(int i=0; i