Fit neural networks

brulee_mlp() fits neural network models using stochastic gradient descent. Multiple layers can be used.

Usage

brulee_mlp(x, ...)

# S3 method for default
brulee_mlp(x, ...)

# S3 method for data.frame
brulee_mlp(
  x,
  y,
  epochs = 100L,
  hidden_units = 3L,
  activation = "relu",
  penalty = 0.001,
  mixture = 0,
  dropout = 0,
  validation = 0.1,
  optimizer = "LBFGS",
  learn_rate = 0.01,
  rate_schedule = "none",
  momentum = 0,
  batch_size = NULL,
  class_weights = NULL,
  stop_iter = 5,
  verbose = FALSE,
  ...
)

# S3 method for matrix
brulee_mlp(
  x,
  y,
  epochs = 100L,
  hidden_units = 3L,
  activation = "relu",
  penalty = 0.001,
  mixture = 0,
  dropout = 0,
  validation = 0.1,
  optimizer = "LBFGS",
  learn_rate = 0.01,
  rate_schedule = "none",
  momentum = 0,
  batch_size = NULL,
  class_weights = NULL,
  stop_iter = 5,
  verbose = FALSE,
  ...
)

# S3 method for formula
brulee_mlp(
  formula,
  data,
  epochs = 100L,
  hidden_units = 3L,
  activation = "relu",
  penalty = 0.001,
  mixture = 0,
  dropout = 0,
  validation = 0.1,
  optimizer = "LBFGS",
  learn_rate = 0.01,
  rate_schedule = "none",
  momentum = 0,
  batch_size = NULL,
  class_weights = NULL,
  stop_iter = 5,
  verbose = FALSE,
  ...
)

# S3 method for recipe
brulee_mlp(
  x,
  data,
  epochs = 100L,
  hidden_units = 3L,
  activation = "relu",
  penalty = 0.001,
  mixture = 0,
  dropout = 0,
  validation = 0.1,
  optimizer = "LBFGS",
  learn_rate = 0.01,
  rate_schedule = "none",
  momentum = 0,
  batch_size = NULL,
  class_weights = NULL,
  stop_iter = 5,
  verbose = FALSE,
  ...
)

Arguments

x

Depending on the context:

A data frame of predictors.
A matrix of predictors.
A recipe specifying a set of preprocessing steps created from recipes::recipe().

The predictor data should be standardized (e.g. centered or scaled).

...

Options to pass to the learning rate schedulers via set_learn_rate(). For example, the reduction or steps arguments to schedule_step() could be passed here.

y

When x is a data frame or matrix, y is the outcome specified as:

A data frame with 1 column (numeric or factor).
A matrix with numeric column (numeric or factor).
A vector (numeric or factor).

epochs

An integer for the number of epochs of training.

hidden_units

An integer for the number of hidden units, or a vector of integers. If a vector of integers, the model will have length(hidden_units) layers each with hidden_units[i] hidden units.

activation

A character vector for the activation function )such as "relu", "tanh", "sigmoid", and so on). See brulee_activations() for a list of possible values. If hidden_units is a vector, activation can be a character vector with length equals to length(hidden_units) specifying the activation for each hidden layer.

penalty

The amount of weight decay (i.e., L2 regularization).

mixture

Proportion of Lasso Penalty (type: double, default: 0.0). A value of mixture = 1 corresponds to a pure lasso model, while mixture = 0 indicates ridge regression (a.k.a weight decay).

dropout

The proportion of parameters set to zero.

validation

The proportion of the data randomly assigned to a validation set.

optimizer

The method used in the optimization procedure. Possible choices are 'LBFGS' and 'SGD'. Default is 'LBFGS'.

learn_rate

A positive number that controls the initial rapidity that the model moves along the descent path. Values around 0.1 or less are typical.

rate_schedule

A single character value for how the learning rate should change as the optimization proceeds. Possible values are "none" (the default), "decay_time", "decay_expo", "cyclic" and "step". See schedule_decay_time() for more details.

momentum

A positive number usually on [0.50, 0.99] for the momentum parameter in gradient descent. (optimizer = "SGD" only)

batch_size

An integer for the number of training set points in each batch. (optimizer = "SGD" only)

class_weights

Numeric class weights (classification only). The value can be:

A named numeric vector (in any order) where the names are the outcome factor levels.
An unnamed numeric vector assumed to be in the same order as the outcome factor levels.
A single numeric value for the least frequent class in the training data and all other classes receive a weight of one.

stop_iter

A non-negative integer for how many iterations with no improvement before stopping.

verbose

A logical that prints out the iteration history.

formula

A formula specifying the outcome term(s) on the left-hand side, and the predictor term(s) on the right-hand side.

data

When a recipe or formula is used, data is specified as:

A data frame containing both the predictors and the outcome.

Value

A brulee_mlp object with elements:

models_obj: a serialized raw vector for the torch module.
estimates: a list of matrices with the model parameter estimates per epoch.
best_epoch: an integer for the epoch with the smallest loss.
loss: A vector of loss values (MSE for regression, negative log- likelihood for classification) at each epoch.
dim: A list of data dimensions.
y_stats: A list of summary statistics for numeric outcomes.
parameters: A list of some tuning parameter values.
blueprint: The hardhat blueprint data.

Details

This function fits feed-forward neural network models for regression (when the outcome is a number) or classification (a factor). For regression, the mean squared error is optimized and cross-entropy is the loss function for classification.

When the outcome is a number, the function internally standardizes the outcome data to have mean zero and a standard deviation of one. The prediction function creates predictions on the original scale.

By default, training halts when the validation loss increases for at least step_iter iterations. If validation = 0 the training set loss is used.

The predictors data should all be numeric and encoded in the same units (e.g. standardized to the same range or distribution). If there are factor predictors, use a recipe or formula to create indicator variables (or some other method) to make them numeric. Predictors should be in the same units before training.

The model objects are saved for each epoch so that the number of epochs can be efficiently tuned. Both the coef() and predict() methods for this model have an epoch argument (which defaults to the epoch with the best loss value).

The use of the L1 penalty (a.k.a. the lasso penalty) does not force parameters to be strictly zero (as it does in packages such as glmnet). The zeroing out of parameters is a specific feature the optimization method used in those packages.

Learning Rates

The learning rate can be set to constant (the default) or dynamically set via a learning rate scheduler (via the rate_schedule). Using rate_schedule = 'none' uses the learn_rate argument. Otherwise, any arguments to the schedulers can be passed via ....

Examples

# \donttest{
if (torch::torch_is_installed()) {

 ## -----------------------------------------------------------------------------
 # regression examples (increase # epochs to get better results)

 data(ames, package = "modeldata")

 ames$Sale_Price <- log10(ames$Sale_Price)

 set.seed(122)
 in_train <- sample(1:nrow(ames), 2000)
 ames_train <- ames[ in_train,]
 ames_test  <- ames[-in_train,]


 # Using matrices
 set.seed(1)
 fit <-
   brulee_mlp(x = as.matrix(ames_train[, c("Longitude", "Latitude")]),
               y = ames_train$Sale_Price, penalty = 0.10)

 # Using recipe
 library(recipes)

 ames_rec <-
  recipe(Sale_Price ~ Bldg_Type + Neighborhood + Year_Built + Gr_Liv_Area +
         Full_Bath + Year_Sold + Lot_Area + Central_Air + Longitude + Latitude,
         data = ames_train) %>%
   # Transform some highly skewed predictors
   step_BoxCox(Lot_Area, Gr_Liv_Area) %>%
   # Lump some rarely occurring categories into "other"
   step_other(Neighborhood, threshold = 0.05)  %>%
   # Encode categorical predictors as binary.
   step_dummy(all_nominal_predictors(), one_hot = TRUE) %>%
   # Add an interaction effect:
   step_interact(~ starts_with("Central_Air"):Year_Built) %>%
   step_zv(all_predictors()) %>%
   step_normalize(all_numeric_predictors())

 set.seed(2)
 fit <- brulee_mlp(ames_rec, data = ames_train, hidden_units = 20,
                    dropout = 0.05, rate_schedule = "cyclic", step_size = 4)
 fit

 autoplot(fit)

 library(ggplot2)

 predict(fit, ames_test) %>%
   bind_cols(ames_test) %>%
   ggplot(aes(x = .pred, y = Sale_Price)) +
   geom_abline(col = "green") +
   geom_point(alpha = .3) +
   lims(x = c(4, 6), y = c(4, 6)) +
   coord_fixed(ratio = 1)

 library(yardstick)
 predict(fit, ames_test) %>%
   bind_cols(ames_test) %>%
   rmse(Sale_Price, .pred)


 # ------------------------------------------------------------------------------
 # classification

 library(dplyr)
 library(ggplot2)

 data("parabolic", package = "modeldata")

 set.seed(1)
 in_train <- sample(1:nrow(parabolic), 300)
 parabolic_tr <- parabolic[ in_train,]
 parabolic_te <- parabolic[-in_train,]

 set.seed(2)
 cls_fit <- brulee_mlp(class ~ ., data = parabolic_tr, hidden_units = 2,
                        epochs = 200L, learn_rate = 0.1, activation = "elu",
                        penalty = 0.1, batch_size = 2^8, optimizer = "SGD")
 autoplot(cls_fit)

 grid_points <- seq(-4, 4, length.out = 100)

 grid <- expand.grid(X1 = grid_points, X2 = grid_points)

 predict(cls_fit, grid, type = "prob") %>%
  bind_cols(grid) %>%
  ggplot(aes(X1, X2)) +
  geom_contour(aes(z = .pred_Class1), breaks = 1/2, col = "black") +
  geom_point(data = parabolic_te, aes(col = class))

 }

# }