use crate::linalg::Matrix; use crate::regression::Regression; use std::fmt::Debug; #[derive(Debug)] pub enum LinearRegressionSolver { QR, SVD } #[derive(Debug)] pub struct LinearRegression { coefficients: M, intercept: f64, solver: LinearRegressionSolver } impl LinearRegression { pub fn fit(x: &M, y: &M, solver: LinearRegressionSolver) -> LinearRegression{ let b = y.transpose(); let (x_nrows, num_attributes) = x.shape(); let (y_nrows, _) = b.shape(); if x_nrows != y_nrows { panic!("Number of rows of X doesn't match number of rows of Y"); } let mut a = x.v_stack(&M::ones(x_nrows, 1)); let w = match solver { LinearRegressionSolver::QR => a.qr_solve_mut(b), LinearRegressionSolver::SVD => a.svd_solve_mut(b) }; let wights = w.slice(0..num_attributes, 0..1); LinearRegression { intercept: w.get(num_attributes, 0), coefficients: wights, solver: solver } } } impl Regression for LinearRegression { fn predict(&self, x: &M) -> M { let (nrows, _) = x.shape(); let mut y_hat = x.dot(&self.coefficients); y_hat.add_mut(&M::fill(nrows, 1, self.intercept)); y_hat.transpose() } } #[cfg(test)] mod tests { use super::*; use crate::linalg::naive::dense_matrix::*; #[test] fn ols_fit_predict() { let x = DenseMatrix::from_array(&[ &[234.289, 235.6, 159.0, 107.608, 1947., 60.323], &[259.426, 232.5, 145.6, 108.632, 1948., 61.122], &[258.054, 368.2, 161.6, 109.773, 1949., 60.171], &[284.599, 335.1, 165.0, 110.929, 1950., 61.187], &[328.975, 209.9, 309.9, 112.075, 1951., 63.221], &[346.999, 193.2, 359.4, 113.270, 1952., 63.639], &[365.385, 187.0, 354.7, 115.094, 1953., 64.989], &[363.112, 357.8, 335.0, 116.219, 1954., 63.761], &[397.469, 290.4, 304.8, 117.388, 1955., 66.019], &[419.180, 282.2, 285.7, 118.734, 1956., 67.857], &[442.769, 293.6, 279.8, 120.445, 1957., 68.169], &[444.546, 468.1, 263.7, 121.950, 1958., 66.513], &[482.704, 381.3, 255.2, 123.366, 1959., 68.655], &[502.601, 393.1, 251.4, 125.368, 1960., 69.564], &[518.173, 480.6, 257.2, 127.852, 1961., 69.331], &[554.894, 400.7, 282.7, 130.081, 1962., 70.551]]); let y = DenseMatrix::from_array(&[&[83.0, 88.5, 88.2, 89.5, 96.2, 98.1, 99.0, 100.0, 101.2, 104.6, 108.4, 110.8, 112.6, 114.2, 115.7, 116.9]]); let y_hat_qr = LinearRegression::fit(&x, &y, LinearRegressionSolver::QR).predict(&x); let y_hat_svd = LinearRegression::fit(&x, &y, LinearRegressionSolver::SVD).predict(&x); assert!(y.approximate_eq(&y_hat_qr, 5.)); assert!(y.approximate_eq(&y_hat_svd, 5.)); } }