A library of scalable Bayesian generalised linear models with fancy features

## A library of scalable Bayesian generalised linear models with *fancy* features

This library implements various Bayesian linear models (Bayesian linear regression) and generalised linear models. A few features of this library are:

- A fancy basis functions/feature composition framework for combining basis functions like radial basis function, sigmoidal basis functions, polynomial basis functions etc.
- Basis functions that can be used to approximate Gaussian processes with shift invariant covariance functions (e.g. square exponential) when used with linear models [1], [2], [3].
- Non-Gaussian likelihoods with Bayesian generalised linear models using a modified version of the nonparametric variational inference algorithm presented in [4].
- Large scale learning using stochastic gradient descent (ADADELTA).

### Quickstart

To install, simply run `setup.py`:

```
$ python setup.py install
```

or install with `pip`:

```
$ pip install git+https://github.com/nicta/revrand.git@release
```

Refer to docs/installation.rst for advanced installation instructions.

Have a look at some of the demos, e.g.:

```
$ python demos/demo_regression.py
```

Or,

```
$ python demos/demo_glm.py
```

#### Bayesian Linear Regression Example

Here is a very quick example of how to use Bayesian linear regression with SGD
optimisation of the likelihood noise, regulariser and basis function
parameters. Assuming we already have training noisy targets `y`, inputs
`X`, and some query inputs `Xs` (as well as the true noiseless function
`f`):

import matplotlib.pyplot as pl import numpy as np from revrand.basis_functions import LinearBasis, RandomRBF from revrand.regression import learn_sgd, predict ... # Concatenate a linear basis and a Random radial basis (GP approx) basis = LinearBasis(onescol=True) + RandomRBF(nbases=300, Xdim=X.shape[1]) init_lenscale = 1.0 # Learn regression parameters and predict params = learn_sgd(X, y, basis, [init_lenscale]) Eys, Vfs, Vys = predict(Xs, basis, *params) # Training/Truth pl.plot(X, y, 'k.', label='Training') pl.plot(Xs, f, 'k-', label='Truth') # SGD Regressor Sys = np.sqrt(Vys) pl.plot(Xs, Eys, 'r-', label='SGD Bayes linear reg.') pl.fill_between(Xs, Eys - 2 * Sys, Eys + 2 * Sys, facecolor='none', edgecolor='r', linestyle='--', label=None) pl.legend() pl.grid(True) pl.title('Regression demo') pl.ylabel('y') pl.xlabel('x') pl.show()

This script will output something like the following,

#### Bayesian Generalised Linear Model Example

This example is very similar to that above, but now let’s assume our targets
`y` are drawn from a Poisson likelihood, or observation, distribution which
is a function of the inputs, `X`. The task here is to predict the mean of the
Poisson distribution for query inputs `Xs`, as well as the uncertainty
associated with the prediction.

import matplotlib.pyplot as pl import numpy as np from revrand.basis_functions import RandomRBF from revrand.glm import learn, predict_meanvar, predict_interval ... # Random radial basis (GP approx) basis = RandomRBF(nbases=100, Xdim=X.shape[1]) init_lenscale = 1.0 # Set up the likelihood of the GLM llhood = likelihoods.Poisson(tranfcn='exp') # log link # Learn regression parameters and predict params = learn(X, y, llhood, [], basis, [init_lenscale]) Eys, _, _, _ = predict_meanvar(Xs, llhood, basis, *params) y95n, y95x = predict_interval(0.95, Xs, llhood, basis, *params) # Training/Truth pl.plot(X, y, 'k.', label='Training') pl.plot(Xs, f, 'k-', label='Truth') # GLM SGD Regressor pl.plot(Xs, Eys, 'b-', label='GLM mean.') pl.fill_between(Xs, y95n, y95x, facecolor='none', edgecolor='b', linestyle='--', label=None) pl.legend() pl.grid(True) pl.title('Regression demo') pl.ylabel('y') pl.xlabel('x') pl.show()

This script will output something like the following,

### Useful Links

- Home Page
- http://github.com/nicta/revrand
- Documentation
- http://nicta.github.io/revrand
- Issue tracking
- https://github.com/nicta/revrand/issues

### Bugs & Feedback

For bugs, questions and discussions, please use Github Issues.

### References

[1] | Yang, Z., Smola, A. J., Song, L., & Wilson, A. G. “A la Carte – Learning Fast Kernels”. Proceedings of the Eighteenth International Conference on Artificial Intelligence and Statistics, pp. 1098-1106, 2015. |

[2] | Le, Q., Sarlos, T., & Smola, A. “Fastfood-approximating kernel expansions in loglinear time.” Proceedings of the international conference on machine learning. 2013. |

[3] | Rahimi, A., & Recht, B. “Random features for large-scale kernel machines.” Advances in neural information processing systems. 2007. |

[4] | Gershman, S., Hoffman, M., & Blei, D. “Nonparametric variational inference”. arXiv preprint arXiv:1206.4665 (2012). |

### Copyright & License

Copyright 2015 National ICT Australia.

Licensed under the Apache License, Version 2.0 (the “License”); you may not use this file except in compliance with the License. You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an “AS IS” BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.

## Release History

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File Name & Checksum SHA256 Checksum Help | Version | File Type | Upload Date |
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revrand-0.1rc1.tar.gz (41.7 kB) Copy SHA256 Checksum SHA256 | – | Source | Dec 16, 2015 |