tfp.glm.fit_sparse_one_step

One step of (the outer loop of) the GLM fitting algorithm.

tfp.glm.fit_sparse_one_step(
    model_matrix,
    response,
    model,
    model_coefficients_start,
    tolerance,
    l1_regularizer,
    l2_regularizer=None,
    maximum_full_sweeps=None,
    learning_rate=None,
    name=None
)

This function returns a new value of model_coefficients, equal to model_coefficients_start + model_coefficients_update. The increment model_coefficients_update in R^n is computed by a coordinate descent method, that is, by a loop in which each iteration updates exactly one coordinate of model_coefficients_update. (Some updates may leave the value of the coordinate unchanged.)

The particular update method used is to apply an L1-based proximity operator, "soft threshold", whose fixed point model_coefficients_update^* is the desired minimum

model_coefficients_update^* = argmin{
    -LogLikelihood(model_coefficients_start + model_coefficients_update')
      + l1_regularizer *
          ||model_coefficients_start + model_coefficients_update'||_1
      + l2_regularizer *
          ||model_coefficients_start + model_coefficients_update'||_2**2
    : model_coefficients_update' }

where in each iteration model_coefficients_update' has at most one nonzero coordinate.

This update method preserves sparsity, i.e., tends to find sparse solutions if model_coefficients_start is sparse. Additionally, the choice of step size is based on curvature (Fisher information matrix), which significantly speeds up convergence.

Args
`model_matrix`	(Batch of) matrix-shaped, `float` `Tensor` or `SparseTensor` where each row represents a sample's features. Has shape `[N, n]` where `N` is the number of data samples and `n` is the number of features per sample.
`response`	(Batch of) vector-shaped `Tensor` with the same dtype as `model_matrix` where each element represents a sample's observed response (to the corresponding row of features).
`model`	`tfp.glm.ExponentialFamily`-like instance, which specifies the link function and distribution of the GLM, and thus characterizes the negative log-likelihood which will be minimized. Must have sufficient statistic equal to the response, that is, `T(y) = y`.
`model_coefficients_start`	(Batch of) vector-shaped, `float` `Tensor` with the same dtype as `model_matrix`, representing the initial values of the coefficients for the GLM regression. Has shape `[n]` where `model_matrix` has shape `[N, n]`.
`tolerance`	scalar, `float` `Tensor` representing the convergence threshold. The optimization step will terminate early, returning its current value of `model_coefficients_start + model_coefficients_update`, once the following condition is met: `\|\|model_coefficients_update_end - model_coefficients_update_start\|\|_2 / (1 + \|\|model_coefficients_start\|\|_2) < sqrt(tolerance)`, where `model_coefficients_update_end` is the value of `model_coefficients_update` at the end of a sweep and `model_coefficients_update_start` is the value of `model_coefficients_update` at the beginning of that sweep.
`l1_regularizer`	scalar, `float` `Tensor` representing the weight of the L1 regularization term (see equation above).
`l2_regularizer`	scalar, `float` `Tensor` representing the weight of the L2 regularization term (see equation above). Default value: `None` (i.e., no L2 regularization).
`maximum_full_sweeps`	Python integer specifying maximum number of sweeps to run. A "sweep" consists of an iteration of coordinate descent on each coordinate. After this many sweeps, the algorithm will terminate even if convergence has not been reached. Default value: `1`.
`learning_rate`	scalar, `float` `Tensor` representing a multiplicative factor used to dampen the proximal gradient descent steps. Default value: `None` (i.e., factor is conceptually `1`).
`name`	Python string representing the name of the TensorFlow operation. The default name is `"fit_sparse_one_step"`.

Returns
`model_coefficients`	(Batch of) `Tensor` having the same shape and dtype as `model_coefficients_start`, representing the updated value of `model_coefficients`, that is, `model_coefficients_start + model_coefficients_update`.
`is_converged`	scalar, `bool` `Tensor` indicating whether convergence occurred across all batches within the specified number of sweeps.
`iter`	scalar, `int` `Tensor` representing the actual number of coordinate updates made (before achieving convergence). Since each sweep consists of `tf.size(model_coefficients_start)` iterations, the maximum number of updates is `maximum_full_sweeps * tf.size(model_coefficients_start)`.

tfp.glm.fit_sparse_one_step

Args

Returns