二重降下の例

#1. 二重降下の例

論文 Two models of double descent for weak features (https://arxiv.org/abs/1903.07571) の例
https://github.com/tohmae/double-descent-sample/blob/main/sample.ipynb

$ \beta = (\beta_{1},\beta_{2},....,\beta_{D}) \in \mathbb{R}^D : 固定$
$ x = (x_{1},x_{2},....,x_{D}) : 正規分布$
$ \sigma\epsilon : ノイズ $
$ y = x^* \beta + \sigma\epsilon = \sum_{j=1}^{D} x_{j} \beta_{j} + \sigma\epsilon$

###初期設定

D=200
train_num=80 #学習データの数
test_num=20 #テストデータの数
sigma = 1/5 #ノイズの標準偏差
b = 2 * np.random.rand(D) -1
b = b / np.linalg.norm(b) # β |β|=1

###学習データ、テストデータ(x)

train_X = np.random.randn(train_num, D)
test_X = np.random.randn(test_num,D)

###学習データ、テストデータ(y)

train_y = np.matmul(train_X, b.T) + np.random.normal(0, sigma, train_num)
test_y = np.matmul(test_X, b.T) + np.random.normal(0, sigma, test_num)

###パラメータ数を制限した時のβの予測値

def calc_reg(param_num):
    b_pred = np.linalg.lstsq(train_X[:,:param_num], train_y, rcond=None)[0]
    return b_pred

###予測パラメータ時のloss

def calc_loss(X, y, param_num, b_pred):
    y_pred = np.matmul(X[:,:param_num], b_pred.T)
    loss = np.sum(np.abs((y - y_pred)*2))/ len(y)
    return loss

###パラメータ数を変更した時の学習データおよびテストデータのloss

param_nums = []
train_losses = []
test_losses = []
for param_num in range(1,D+1):
    b_pred = calc_reg(param_num)
    train_loss = calc_loss(train_X, train_y, param_num, b_pred)
    test_loss = calc_loss(test_X, test_y, param_num, b_pred)
    param_nums.append(param_num)
    train_losses.append(train_loss)
    test_losses.append(test_loss)

###可視化

import matplotlib.pyplot as plt
fig, ax = plt.subplots(figsize=(8,8))
ax.plot(param_nums, train_losses, label="train")
ax.plot(param_nums, test_losses, label="test")
ax.legend(loc=0)
plt.ylim(-1,5)
fig.tight_layout()
plt.show()

###lossのグラフ