The idea of RVFL networks is over two decades old and has perhaps been over shadowed by the more recent Extreme Learning Machine, although as mentioned in my last post there is some controversy about plagiarism with regard to ELMs. An RVFL network is basically an ELM with additional direct connections from the input layer to the output layer. The connections from the input layer to the single hidden layer are randomly generated and then fixed, the hidden layer is concatenated with the original input layer to form a new layer, H, and the connections from H to the output layer are solved in one step using the Moore Penrose inverse to get the Linear least squares solution, or alternatively using Regularised least squares. The advantage of this closed-form approach is the fast training times compared with more general optimisation routines such as gradient descent.
The above linked paper details a series of comparative tests run over various configurations of RVFL networks over a number of different data sets. Some of the main conclusions drawn are:
- the direct links from input to output enhance network performance
- whether to include output bias or not is a data dependent tunable factor
- the radial basis function for the hidden units always leads to better performance
- regularised least squares (ridge regression) performs better than the Moore Penrose inverse
## Copyright (C) 2019 dekalog
##
## This program is free software: you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this program. If not, see
## .
## -*- texinfo -*-
## @deftypefn {} {@var{J} =} rvfl_training_of_cyclic_embedding_with_cv (@var{x})
##
## Function for Bayesian training of RVFL networks with fixed parameteres of:
##
## direct links,
## radial basis function activation,
## ridge regression for regularized least squares,
##
## and optimisable parameters of:
##
## number of neurons in hidden layer,
## lambda for the least squares regression,
## scaling of hidden layer inputs,
## with or without an output bias.
##
## The input X is a vector of 6 values to be optimised by the BayesOpt library
## function 'bayesoptcont.'
## The output J is the Brier Score for the test fold cross validated data.
## @seealso{}
## @end deftypefn
## Author: dekalog
## Created: 2019-11-04
function J = rvfl_training_of_cyclic_embedding_with_cv ( x )
global sample_features ; global sample_targets ;
epsilon = 1e-15 ; ## to ensure log() does not give out a nan
Nfea = size( sample_features , 2 ) ;
## check input x
if ( numel( x ) != 6 )
error( 'The input vector x must be of length 6.' ) ;
endif
## get the parameters from input x
hidden_layer_size = floor( x( 1 ) ) ; ## number of neurons in hidden layer
randomisation_type = floor( x( 2 ) ) ; ## 1 == uniform, 2 == Gaussian
scale_mode = floor( x( 3 ) ) ; ## 1 will scale the features for all neurons, 2 will scale the features for each hidden
## neuron separately, 3 will scale the range of the randomization for uniform distribution
scale = x( 4 ) ; ## Linearly scale the random features before feeding into the nonlinear activation function.
## In this implementation, we consider the threshold which leads to 0.99 of the maximum/minimum
## value of the activation function as the saturating threshold.
## scale = 0.9 means all the random features will be linearly scaled
## into 0.9 * [ lower_saturating_threshold , upper_saturating_threshold ].
if_output_bias = floor( x( 5 ) + 0.5 ) ; ## Use output bias, or not? 1 == yes , 0 == no.
lambda = x( 6 ) ; ## the regularization coefficient lambda
length_jj_loop = 25 ;
all_brier_values = zeros( length_jj_loop , 1 ) ;
##rand( 'seed' , 0 ) ;
##randn( 'seed' , 0 ) ;
##U_sample_targets = unique( sample_targets ) ;
##nclass = numel( U_sample_targets ) ;
##sample_targets_temp = zeros( numel( sample_targets ) , nclass ) ;
##
#### get the 0 - 1 one hot coding for the target,
##for i = 1 : nclass
## idx = sample_targets == U_sample_targets( i ) ;
## sample_targets_temp( idx , i ) = 1 ;
##endfor
###### information for splitting into training and test sets ###############
ix_positive_targets = find( sample_targets == 1 ) ;
ix_negative_targets = ( 1 : numel( sample_targets ) )' ;
ix_negative_targets( ix_positive_targets ) = [] ;
## split 20/80
split_no1 = round( 0.2 * numel( ix_positive_targets ) ) ;
split_no2 = round( 0.2 * numel( ix_negative_targets ) ) ;
######### get type of randomisation from input x #################
if ( randomisation_type == 1 ) ## uniform randomisation
if ( scale_mode == 3 ) ## range scaled for uniform randomisation
Weight = scale * ( rand( Nfea , hidden_layer_size ) * 2 - 1 ) ; ## scaled uniform random input weights to hidden layer
Bias = scale * rand( 1 , hidden_layer_size ) ; ## scaled random bias weights to hidden layer
else
Weight = rand( Nfea , hidden_layer_size ) * 2 - 1 ; ## unscaled random input weights to hidden layer
Bias = rand( 1 , hidden_layer_size ) ; ## unscaled random bias weights to hidden layer
endif
elseif ( randomisation_type == 2 ) ## gaussian randomisation
Weight = randn( Nfea , hidden_layer_size ) ; ## gaussian random input weights to hidden layer
Bias = randn( 1 , hidden_layer_size ) ; ## gaussian random bias weights to hidden layer
else
error( 'only Gaussian and Uniform are supported' )
endif
############################################################################
## Activation Function
Saturating_threshold = [ -2.1 , 2.1 ] ;
Saturating_threshold_activate = [ 0 , 1 ] ;
for jj = 1 : length_jj_loop
## shuffle
randperm1 = randperm( numel( ix_positive_targets) ) ;
randperm2 = randperm( numel( ix_negative_targets) ) ;
test_ix1 = ix_positive_targets( randperm1( 1 : split_no1 ) ) ;
test_ix2 = ix_negative_targets( randperm2( 1 : split_no2 ) ) ;
test_ix = [ test_ix1 ; test_ix2 ] ;
train_ix1 = ix_positive_targets( randperm1( split_no1 + 1 : end ) ) ;
train_ix2 = ix_negative_targets( randperm2( split_no2 + 1 : end ) ) ;
train_ix = [ train_ix1 ; train_ix2 ] ;
sample_targets_train = sample_targets( train_ix ) ;
sample_features_train = sample_features( train_ix , : ) ;
Nsample = size( sample_features_train , 1 ) ;
Bias_train = repmat( Bias , Nsample , 1 ) ;
H = sample_features_train * Weight + Bias_train ;
if ( scale_mode == 1 )
## scale the features for all neurons
[ H , k , b ] = Scale_feature( H , Saturating_threshold , scale ) ;
elseif ( scale_mode == 2 )
## else scale the features for each hidden neuron separately
[ H , k , b ] = Scale_feature_separately( H , Saturating_threshold , scale ) ;
endif
## actual activation, the radial basis function
H = exp( -abs( H ) ) ;
if ( if_output_bias == 1 )
## we will use an output bias
H = [ H , ones( Nsample , 1 ) ] ;
endif
## the direct link scaling options, concatenate hidden layer and sample_features_train
if ( scale_mode == 1 )
## scale the features for all neurons
sample_features_train = sample_features_train .* k + b ;
H = [ H , sample_features_train ] ;
elseif ( scale_mode == 2 )
## else scale the features for each hidden neuron separately
[ sample_features_train , ktr , btr ] = Scale_feature_separately( sample_features_train , Saturating_threshold_activate , scale ) ;
H = [ H , sample_features_train ] ;
else
H = [ H , sample_features_train ] ;
endif
H( isnan( H ) ) = 0 ; ## avoids any 'blowups' due to nans in H
## do the regularized least squares for concatenated hidden layer output
## and the original, possibly scaled, input sample_features
if ( hidden_layer_size < Nsample )
beta = ( eye( size( H , 2 ) ) / lambda + H' * H ) \ H' * sample_targets_train ;
else
beta = H' * ( ( eye( size( H , 1 ) ) / lambda + H * H' ) \ sample_targets_train ) ;
endif
############# now the test on test data ####################################
Bias_test = repmat( Bias , numel( sample_targets( test_ix ) ) , 1 ) ;
H_test = sample_features( test_ix , : ) * Weight + Bias_test ;
if ( scale_mode == 1 )
## scale the features for all neurons
H_test = H_test .* k + b ;
elseif ( scale_mode == 2 )
## else scale the features for each hidden neuron separately
nSamtest = size( H_test , 1 ) ;
kt = repmat( k , nSamtest , 1 ) ;
bt = repmat( b , nSamtest , 1 ) ;
H_test = H_test .* kt + bt ;
endif
## actual activation, the radial basis function
H_test = exp( -abs( H_test ) ) ;
if ( if_output_bias == 1 )
## we will use an output bias
H_test = [ H_test , ones( numel( sample_targets( test_ix ) ) , 1 ) ] ;
endif
## the direct link scaling options, concatenate hidden layer and sample_features_train
if ( scale_mode == 1 )
## scale the features for all neurons
testX_temp = sample_features( test_ix , : ) .* k + b ;
H_test = [ H_test , testX_temp ] ;
elseif ( scale_mode == 2 )
## else scale the features for each hidden neuron separately
nSamtest = size( H_test , 1 ) ;
kt = repmat( ktr , nSamtest , 1 ) ;
bt = repmat( btr , nSamtest , 1 ) ;
testX_temp = sample_features( test_ix , : ) .* kt + bt ;
H_test = [ H_test , testX_temp ] ;
else
H_test = [ H_test , sample_features( test_ix , : ) ] ;
endif
H_test( isnan( H_test ) ) = 0 ; ## avoids any 'blowups' due to nans in H_test
## get the test predicted target output
test_targets = H_test * beta ;
##Y_temp = zeros( Nsample , 1 ) ;
##% decode the target output
##for i = 1 : Nsample
## [ maxvalue , idx ] = max( sample_targets_temp( i , : ) ) ;
## Y_temp( i ) = U_sample_targets( idx ) ;
##endfor
############################################################################
## the final logistic output
final_output = 1.0 ./ ( 1.0 .+ exp( -test_targets ) ) ;
## get the Brier_score
## https://en.wikipedia.org/wiki/Brier_score
all_brier_values( jj ) = mean( ( final_output .- sample_targets( test_ix ) ) .^ 2 ) ;
rand( 'state' ) ; randn( 'state' ) ; ## reset rng
endfor ## end of jj loop
J = mean( all_brier_values ) ;
endfunction
## Various measures of goodness
## https://stats.stackexchange.com/questions/312780/why-is-accuracy-not-the-best-measure-for-assessing-classification-models
## https://www.fharrell.com/post/classification/
## https://stats.stackexchange.com/questions/433628/what-is-a-reliable-measure-of-accuracy-for-logistic-regression
## https://www.jstatsoft.org/article/view/v090i12
## https://stats.idre.ucla.edu/other/mult-pkg/faq/general/faq-what-are-pseudo-r-squareds/
## https://stats.stackexchange.com/questions/319666/aic-with-test-data-is-it-possible
## https://www.learningmachines101.com/lm101-076-how-to-choose-the-best-model-using-aic-or-gaic/
## https://stackoverflow.com/questions/48185090/how-to-get-the-log-likelihood-for-a-logistic-regression-model-in-sklearn
## https://stats.stackexchange.com/questions/67903/does-down-sampling-change-logistic-regression-coefficients
## https://stats.stackexchange.com/questions/163221/whats-the-measure-to-assess-the-binary-classification-accuracy-for-imbalanced-d
## https://stats.stackexchange.com/questions/168929/logistic-regression-is-predicting-all-1-and-no-0
## https://stats.stackexchange.com/questions/435307/multiple-linear-regression-lse-when-one-of-parameter-is-known
This second function is slightly different in that the Akaike information criterion is the minimisation objective and there is the option to use the Netlab Generalised linear model function to solve for the hidden to output weights (comment out the relevant code as necessary.)
## Copyright (C) 2019 dekalog
##
## This program is free software: you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this program. If not, see
## .
## -*- texinfo -*-
## @deftypefn {} {@var{J} =} rvfl_training_of_cyclic_embedding (@var{x})
##
## Function for Bayesian training of RVFL networks with fixed parameteres of:
##
## direct links,
## radial basis function activation,
## ridge regression for regularized least squares,
##
## and optimisable parameters of:
##
## number of neurons in hidden layer,
## lambda for the least squares regression,
## scaling of hidden layer inputs,
## with or without an output bias.
##
## The input X is a vector of 6 values to be optimised by the BayesOpt library
## function 'bayesoptcont.'
## The output J is the AIC value for the tested model.
## @seealso{}
## @end deftypefn
## Author: dekalog
## Created: 2019-11-04
function J = rvfl_training_of_cyclic_embedding ( x )
global sample_features ; global sample_targets ;
epsilon = 1e-15 ; ## to ensure log() does not give out a nan
## check input x
if ( numel( x ) != 4 )
error( 'The input vector x must be of length 6.' ) ;
endif
## get the parameters from input x
hidden_layer_size = floor( x( 1 ) ) ; ## number of neurons in hidden layer
randomisation_type = floor( x( 2 ) ) ; ## 1 == uniform, 2 == Gaussian
scale_mode = floor( x( 3 ) ) ; ## 1 will scale the features for all neurons, 2 will scale the features for each hidden
## neuron separately, 3 will scale the range of the randomization for uniform distribution
scale = x( 4 ) ; ## Linearly scale the random features before feeding into the nonlinear activation function.
## In this implementation, we consider the threshold which leads to 0.99 of the maximum/minimum
## value of the activation function as the saturating threshold.
## scale = 0.9 means all the random features will be linearly scaled
## into 0.9 * [ lower_saturating_threshold , upper_saturating_threshold ].
##if_output_bias = floor( x( 5 ) + 0.5 ) ; ## Use output bias, or not? 1 == yes , 0 == no.
##lambda = x( 6 ) ; ## the regularization coefficient lambda
##length_jj_loop = 25 ;
##all_aic_values = zeros( length_jj_loop , 1 ) ;
rand( 'seed' , 0 ) ;
randn( 'seed' , 0 ) ;
##U_sample_targets = unique( sample_targets ) ;
##nclass = numel( U_sample_targets ) ;
##sample_targets_temp = zeros( numel( sample_targets ) , nclass ) ;
##
#### get the 0 - 1 one hot coding for the target,
##for i = 1 : nclass
## idx = sample_targets == U_sample_targets( i ) ;
## sample_targets_temp( idx , i ) = 1 ;
##endfor
sample_targets_temp = sample_targets ;
[ Nsample , Nfea ] = size( sample_features ) ;
######### get type of randomisation from input x #################
if ( randomisation_type == 1 ) ## uniform randomisation
if ( scale_mode == 3 ) ## range scaled for uniform randomisation
Weight = scale * ( rand( Nfea , hidden_layer_size ) * 2 - 1 ) ; ## scaled uniform random input weights to hidden layer
Bias = scale * rand( 1 , hidden_layer_size ) ; ## scaled random bias weights to hidden layer
else
Weight = rand( Nfea , hidden_layer_size ) * 2 - 1 ; ## unscaled random input weights to hidden layer
Bias = rand( 1 , hidden_layer_size ) ; ## unscaled random bias weights to hidden layer
endif
elseif ( randomisation_type == 2 ) ## gaussian randomisation
Weight = randn( Nfea , hidden_layer_size ) ; ## gaussian random input weights to hidden layer
Bias = randn( 1 , hidden_layer_size ) ; ## gaussian random bias weights to hidden layer
else
error( 'only Gaussian and Uniform are supported' )
endif
############################################################################
Bias_train = repmat( Bias , Nsample , 1 ) ;
H = sample_features * Weight + Bias_train ;
k_parameters = numel( Weight ) + numel( Bias_train ) ;
## Activation Function
Saturating_threshold = [ -2.1 , 2.1 ] ;
Saturating_threshold_activate = [ 0 , 1 ] ;
if ( scale_mode == 1 )
## scale the features for all neurons
[ H , k , b ] = Scale_feature( H , Saturating_threshold , scale ) ;
elseif ( scale_mode == 2 )
## else scale the features for each hidden neuron separately
[ H , k , b ] = Scale_feature_separately( H , Saturating_threshold , scale ) ;
endif
## actual activation, the radial basis function
H = exp( -abs( H ) ) ;
## glm training always applies a bias, so comment out if training with netlab glm
##if ( if_output_bias == 1 )
## ## we will use an output bias
## H = [ H , ones( Nsample , 1 ) ] ;
##endif
## the direct link scaling options, concatenate hidden layer and sample_features
if ( scale_mode == 1 )
## scale the features for all neurons
sample_features_temp = sample_features .* k + b ;
H = [ H , sample_features_temp ] ;
elseif ( scale_mode == 2 )
## else scale the features for each hidden neuron separately
[ sample_features_temp , ktr , btr ] = Scale_feature_separately( sample_features , Saturating_threshold_activate , scale ) ;
H = [ H , sample_features_temp ] ;
else
H = [ H , sample_features ] ;
endif
H( isnan( H ) ) = 0 ; ## avoids any 'blowups' due to nans in H
############ THE ORIGINAL REGULARISED LEAST SQUARES CODE ###################
## do the regularized least squares for concatenated hidden layer output
## and the original, possibly scaled, input sample_features
##if ( hidden_layer_size < Nsample )
## beta = ( eye( size( H , 2 ) ) / lambda + H' * H ) \ H' * sample_targets_temp ;
##else
## beta = H' * ( ( eye( size( H , 1 ) ) / lambda + H * H' ) \ sample_targets_temp ) ;
##endif
############################################################################
##k_parameters = k_parameters + numel( beta ) ;
## get the model predicted target output
##sample_targets_temp = H * beta ;
## the final logistic output
##final_output = 1.0 ./ ( 1.0 .+ exp( -sample_targets_temp ) ) ;
############ REPLACED BY GLM TRAINING USING NETLAB #########################
net = glm( size( H , 2 ) , 1 , 'logistic' ) ; ## Create a generalized linear model structure.
options = foptions ; ## Set default parameters for optimisation routines, for compatibility with MATLAB's foptions()
options( 1 ) = -1 ; ## change default value
## OPTIONS(1) is set to 1 to display error values during training. If
## OPTIONS(1) is set to 0, then only warning messages are displayed. If
## OPTIONS(1) is -1, then nothing is displayed.
options( 14 ) = 5 ; ## change default value
## OPTIONS(14) is the maximum number of iterations for the IRLS
## algorithm; default 100.
net = glmtrain( net , options , H , sample_targets ) ;
k_parameters = k_parameters + net.nwts ;
## get output of trained glm model
final_output = glmfwd( net , H ) ;
############################################################################
##Y_temp = zeros( Nsample , 1 ) ;
##% decode the target output
##for i = 1 : Nsample
## [ maxvalue , idx ] = max( sample_targets_temp( i , : ) ) ;
## Y_temp( i ) = U_sample_targets( idx ) ;
##endfor
############################################################################
## https://machinelearningmastery.com/logistic-regression-with-maximum-likelihood-estimation/
##
## likelihood = yhat * y + (1 – yhat) * (1 – y)
##
## We can update the likelihood function using the log to transform it into a log-likelihood function:
##
## log-likelihood = log(yhat) * y + log(1 – yhat) * (1 – y)
## Finally, we can sum the likelihood function across all examples in the dataset to maximize the likelihood:
##
## maximize sum i to n log(yhat_i) * y_i + log(1 – yhat_i) * (1 – y_i)
log_likelihood = sum( log( final_output .+ epsilon ) .* sample_targets + log( 1 .- final_output .+ epsilon ) .* ( 1 .- sample_targets ) ) ;
## get Akaike Information criteria
J = 2 * k_parameters - 2 * log_likelihood ;
## get the Brier_score
## https://en.wikipedia.org/wiki/Brier_score
##J = mean( ( final_output .- sample_targets_temp ) .^ 2 ) ;
rand( 'state' ) ; randn( 'state' ) ; ## reset rng
endfunction
## Various measures of goodness
## https://stats.stackexchange.com/questions/312780/why-is-accuracy-not-the-best-measure-for-assessing-classification-models
## https://www.fharrell.com/post/classification/
## https://stats.stackexchange.com/questions/433628/what-is-a-reliable-measure-of-accuracy-for-logistic-regression
## https://www.jstatsoft.org/article/view/v090i12
## https://stats.idre.ucla.edu/other/mult-pkg/faq/general/faq-what-are-pseudo-r-squareds/
## https://stats.stackexchange.com/questions/319666/aic-with-test-data-is-it-possible
## https://www.learningmachines101.com/lm101-076-how-to-choose-the-best-model-using-aic-or-gaic/
## https://stackoverflow.com/questions/48185090/how-to-get-the-log-likelihood-for-a-logistic-regression-model-in-sklearn
## https://stats.stackexchange.com/questions/67903/does-down-sampling-change-logistic-regression-coefficients
## https://stats.stackexchange.com/questions/163221/whats-the-measure-to-assess-the-binary-classification-accuracy-for-imbalanced-d
## https://stats.stackexchange.com/questions/168929/logistic-regression-is-predicting-all-1-and-no-0
## https://stats.stackexchange.com/questions/435307/multiple-linear-regression-lse-when-one-of-parameter-is-known
As I write this post I have various tests running in the background and will report on the results in due course.
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