added codes

doc/src/week40/codes/test1.py

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+# Using Autograd to calculate gradients
+from random import random, seed
+import numpy as np
+import autograd.numpy as np
+import matplotlib.pyplot as plt
+from autograd import grad
+
+def CostOLS(beta):
+    return (1.0/n)*np.sum((y-X @ beta)**2)
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.pinv(XT_X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+
+training_gradient = grad(CostOLS)
+
+for iter in range(Niterations):
+    gradients = training_gradient(theta)
+    theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+

doc/src/week40/codes/test2.py

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+import autograd.numpy as np
+from autograd import grad
+
+def sigmoid(x):
+    return 0.5 * (np.tanh(x / 2.) + 1)
+
+def logistic_predictions(weights, inputs):
+    # Outputs probability of a label being true according to logistic model.
+    return sigmoid(np.dot(inputs, weights))
+
+def training_loss(weights):
+    # Training loss is the negative log-likelihood of the training labels.
+    preds = logistic_predictions(weights, inputs)
+    label_probabilities = preds * targets + (1 - preds) * (1 - targets)
+    return -np.sum(np.log(label_probabilities))
+
+# Build a toy dataset.
+inputs = np.array([[0.52, 1.12,  0.77],
+                   [0.88, -1.08, 0.15],
+                   [0.52, 0.06, -1.30],
+                   [0.74, -2.49, 1.39]])
+targets = np.array([True, True, False, True])
+
+# Define a function that returns gradients of training loss using Autograd.
+training_gradient_fun = grad(training_loss)
+
+# Optimize weights using gradient descent.
+weights = np.array([0.0, 0.0, 0.0])
+print("Initial loss:", training_loss(weights))
+for i in range(100):
+    weights -= training_gradient_fun(weights) * 0.01
+
+print("Trained loss:", training_loss(weights))

doc/src/week40/codes/test3.py

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+# Using Autograd to calculate gradients using SGD
+# OLS example
+from random import random, seed
+import numpy as np
+import autograd.numpy as np
+import matplotlib.pyplot as plt
+from autograd import grad
+
+def CostOLS(y,X,theta):
+    return np.sum((y-X @ theta)**2)
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.pinv(XT_X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+
+# Note that we request the derivative wrt third argument (theta, 2 here)
+training_gradient = grad(CostOLS,2)
+
+for iter in range(Niterations):
+    gradients = (1.0/n)*training_gradient(y, X, theta)
+    theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+n_epochs = 50
+M = 5   #size of each minibatch
+m = int(n/M) #number of minibatches
+t0, t1 = 5, 50
+def learning_schedule(t):
+    return t0/(t+t1)
+
+theta = np.random.randn(2,1)
+
+for epoch in range(n_epochs):
+# Can you figure out a better way of setting up the contributions to each batch?
+    for i in range(m):
+        random_index = np.random.randint(m)
+        xi = X[random_index*M:random_index*M+M]
+        yi = y[random_index*M:random_index*M+M]
+        gradients = (2.0/M)*training_gradient(yi, xi, theta)
+        eta = learning_schedule(epoch*m+i)
+        theta = theta - eta*gradients
+print("theta from own sdg")
+print(theta)
+