updated hw2
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@@ -167,10 +167,10 @@ distribution. The function $y$ is a quadratic polynomial in $x$ with
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added stochastic noise according to the normal distribution $\cal{N}(0,1)$.
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The following simple Python instructions define our $x$ and $y$ values (with 100 data points).
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\begin{print}
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\begin{verbatim}
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x = np.random.rand(100)
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y = 2.0+5*x*x+0.1*np.random.randn(100)
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\end{print}
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\end{verbatim}
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\subex{a)}
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@@ -180,7 +180,7 @@ Write your own code for the Ridge method (see chapter 3.4 of Hastie \emph{et al.
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% --- begin solution of exercise ---
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\paragraph{Solution.}
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The code here allows you to perform your own Ridge calculation and perform calculations for various values of the regularization parameter $\lambda$. This program can easily be extended upon.
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\begin{print}
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\begin{verbatim}
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import os
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import numpy as np
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import pandas as pd
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@@ -254,7 +254,7 @@ plt.xlabel('log10(lambda)')
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plt.ylabel('MSE')
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plt.legend()
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plt.show()
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\end{print}
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\end{verbatim}
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% --- end solution of exercise ---
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@@ -265,7 +265,7 @@ Repeat the above but using the functionality of \textbf{Scikit-Learn}. Compare y
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% --- begin solution of exercise ---
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\paragraph{Solution.}
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To use \textbf{scikit-learn} with Ridge, we simply need to add the relevant function \textbf{Ridge()}, as done in the code here.
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\begin{print}
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\begin{verbatim}
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import numpy as np
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import pandas as pd
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import matplotlib.pyplot as plt
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@@ -345,7 +345,7 @@ plt.xlabel('log10(lambda)')
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plt.ylabel('MSE')
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plt.legend()
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plt.show()
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\end{print}
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\end{verbatim}
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% --- end solution of exercise ---
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@@ -355,7 +355,7 @@ Our next step is to study the variance of the parameters $\beta_1$ and $\beta_2$
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% --- begin solution of exercise ---
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\paragraph{Solution.}
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\begin{print}
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\begin{verbatim}
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import numpy as np
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import pandas as pd
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import matplotlib.pyplot as plt
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@@ -412,7 +412,7 @@ for i in range(nlambdas):
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\end{print}
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\end{verbatim}
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% --- end solution of exercise ---
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@@ -422,7 +422,7 @@ Repeat the previous step but add now the Lasso method, see equation (3.53) of Ha
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% --- begin solution of exercise ---
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\paragraph{Solution.}
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\begin{print}
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\begin{verbatim}
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import numpy as np
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import pandas as pd
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import matplotlib.pyplot as plt
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@@ -497,7 +497,7 @@ plt.xlabel('log10(lambda)')
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plt.ylabel('MSE')
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plt.legend()
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plt.show()
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\end{print}
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\end{verbatim}
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% --- end solution of exercise ---
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@@ -574,17 +574,17 @@ techniques.
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It also common to split the data in a \textbf{training} set and a \textbf{testing} set. A typical split is to use $80\%$ of the data for training and the rest
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for testing. This can be done as follows with our design matrix $\bm{X}$ and data $\bm{y}$ (remember to import \textbf{scikit-learn})
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\begin{print}
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\begin{verbatim}
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# split in training and test data
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X_train, X_test, y_train, y_test = train_test_split(X,y,test_size=0.2)
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\end{print}
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\end{verbatim}
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Then we can use the standard scaler to scale our data as
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\begin{print}
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\begin{verbatim}
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scaler = StandardScaler()
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scaler.fit(X_train)
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X_train_scaled = scaler.transform(X_train)
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X_test_scaled = scaler.transform(X_test)
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\end{print}
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\end{verbatim}
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In this exercise we want you to to compute the MSE for the training
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@@ -597,14 +597,14 @@ We will also use Ridge and Lasso regression.
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Our data is defined by $x\in [-3,3]$ with a total of for example $100$ data points.
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\begin{print}
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\begin{verbatim}
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np.random.seed()
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n = 100
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maxdegree = 14
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# Make data set.
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x = np.linspace(-3, 3, n).reshape(-1, 1)
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y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.normal(0, 0.1, x.shape)
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\end{print}
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\end{verbatim}
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where $y$ is the function we want to fit with a given polynomial.
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@@ -614,7 +614,7 @@ Write a first code which sets up a design matrix $X$ defined by a fifth-order po
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% --- begin solution of exercise ---
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\paragraph{Solution.}
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\begin{print}
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\begin{verbatim}
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import matplotlib.pyplot as plt
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import numpy as np
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from sklearn.linear_model import LinearRegression, Ridge, Lasso
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@@ -651,7 +651,7 @@ plt.plot(polydegree, TestError, label='Test Error')
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plt.plot(polydegree, TrainError, label='Train Error')
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plt.legend()
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plt.show()
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\end{print}
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\end{verbatim}
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% --- end solution of exercise ---
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@@ -682,7 +682,7 @@ Repeat part (2c) but now using Ridge regressions with various hyperparameters $\
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% --- begin solution of exercise ---
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\paragraph{Solution.}
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Here you need to add for example the same loop over the parameters $\lambda$ as you did in the first exercise, that is add
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\begin{print}
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\begin{verbatim}
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nlambdas = 100
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MSEPredictRidge = np.zeros(nlambdas)
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lambdas = np.logspace(-4, 0, nlambdas)
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@@ -691,7 +691,7 @@ for i in range(nlambdas):
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# add ridge
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clf_ridge = skl.Ridge(alpha=lmb).fit(X_train_scaled, y_train)
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\end{print}
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\end{verbatim}
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The plotting functionality of the first exercise can be reused here as well.
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% --- end solution of exercise ---
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