Class: GSLR::Ridge

Inherits:
Model
  • Object
show all
Defined in:
lib/gslr/ridge.rb

Instance Attribute Summary

Attributes inherited from Model

#coefficients, #intercept

Instance Method Summary collapse

Methods inherited from Model

#predict

Constructor Details

#initialize(alpha: 1.0, **options) ⇒ Ridge

Returns a new instance of Ridge.



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# File 'lib/gslr/ridge.rb', line 3

def initialize(alpha: 1.0, **options)
  super(**options)
  @alpha = alpha
end

Instance Method Details

#fit(x, y) ⇒ Object 



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# File 'lib/gslr/ridge.rb', line 8

def fit(x, y)
  if @fit_intercept
    # the intercept should not be regularized
    # so we need to center x and y
    # and exclude the intercept
    xc, x_offset, s1, s2 = centered_matrix(x)
    yc, y_offset = centered_vector(y)
  else
    xc, s1, s2 = set_matrix(x, intercept: false)
    yc = set_vector(y)
  end

  # allocate solution
  c = FFI.gsl_vector_alloc(s2)
  rnorm = Fiddle::Pointer.malloc(Fiddle::SIZEOF_DOUBLE)
  snorm = Fiddle::Pointer.malloc(Fiddle::SIZEOF_DOUBLE)
  work = FFI.gsl_multifit_linear_alloc(s1, s2)

  # fit
  FFI.gsl_multifit_linear_svd(xc, work)
  FFI.gsl_multifit_linear_solve(Math.sqrt(@alpha), xc, yc, c, rnorm.ref, snorm.ref, work)

  # read solution
  c_ptr = FFI.gsl_vector_ptr(c, 0)
  @coefficients = c_ptr[0, s2 * Fiddle::SIZEOF_DOUBLE].unpack("d*")
  @intercept =
    if @fit_intercept
      y_offset - x_offset.zip(@coefficients).map { |xii, c| xii * c }.sum
    else
      0.0
    end

  nil
ensure
  FFI.gsl_matrix_free(xc) if xc
  FFI.gsl_vector_free(yc) if yc
  FFI.gsl_vector_free(c) if c
  FFI.gsl_multifit_linear_free(work) if work
end