SG++
Generalised Sparse Grids

This example tests generalised sparse grids.

It generates a Friedman1 dataset and then compares the performance of estimators with various grid granularities. The grid granularities are controlled by the parameter $$T$$; the number of grid points is then given by $$G_n^T$$ and the approximation space is given by $$V_n^T$$.

\begin{align} G_n^T &= \bigcup_{\substack{\vert {\mathbf{l}} \vert_1 - T \vert \mathbf{i} \vert_\infty \\ \leq n + d - 1 - T n}} G_{\mathbf{l}},\\ V_n^T &= \bigoplus_{\substack{\vert {\mathbf{l}} \vert_1 - T \vert \mathbf{i} \vert_\infty \\ \leq n + d - 1 - T n}} W_{\mathbf{l}}\nonumber \end{align}

We first import all pysgpp and other utility libraries.

import numpy as np
import pandas as pd
import sklearn.datasets as data

This function generates the Friedman1 dataset on demand.

def generate_friedman1(seed):
(X,y) = data.make_friedman1(n_samples=10000, random_state=seed, noise=1.0)
y = sg.DataVector(y)
X = sg.DataMatrix(X)
return X, y

This function evaluates the performance of a learner with standard settings and different values of T.

def evaluate(X_tr, y_tr, X_te, y_te, T):
grid = sg.RegularGridConfiguration()
grid.dim_ = 10
grid.level_ = 4
grid.t_ = T
grid.type_ = sg.GridType_ModLinear
solv = sg.SLESolverConfiguration()
solv.maxIterations_ = 50
solv.eps_ = 10e-6
solv.threshold_ = 10e-6
solv.type_ = sg.SLESolverType_CG
final_solv = solv
final_solv.maxIterations = 200
regular = sg.RegularizationConfiguration()
regular.type_ = sg.RegularizationType_Identity
regular.exponentBase_ = 1.0
regular.lambda_ = 10e-4

Create the estimator, train it with the training data and then return the error for the testing set.

estimator = sg.RegressionLearner(grid, adapt, solv, final_solv,regular)
estimator.train(X_tr,y_tr)
print estimator.getGridSize()
return estimator.getMSE(X_te,y_te)
def main():

First generate the training and test data.

X_tr, y_tr = generate_friedman1(123456)
X_te, y_te = generate_friedman1(345678)

Then we evaluate the testing error for $$T \in \{-0.5, 0, 0.5, 1.0\}$$.

Ts = [-0.5, 0, 0.5, 1.0]
for T in Ts:
mse = evaluate(X_tr, y_tr, X_te, y_te, T)
print "The sparse grid with T={:2.1f} achieved a testing RMSE of {:2.4f}.".format(T, np.sqrt(mse))