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Regression

A regression example is explained for the SALSA package by the sinc(x) = sin(x)./x function.

This package provides a function salsa and explanation on SALSAModel for the regression case. This use case is supported by the Fixed-Size approach [FS2010] and :doc:`Nyström approximation <nystrom>` with the specific :func:`LEAST_SQUARES` loss function and cross-validation criterion :func:`mse` (mean-squared error).

using SALSA, Base.Test

srand(1234)
sinc(x) = sin(x)./x
X = linspace(0.1,20,100)''
Xtest = linspace(0.11,19.9,100)''
y = sinc(X)

model = SALSAModel(NONLINEAR, SIMPLE_SGD(), LEAST_SQUARES,
                            validation_criterion=MSE(), process_labels=false)
model = salsa(X, y, model, Xtest)

@test_approx_eq_eps mse(sinc(Xtest), model.output.Ytest) 0.05 0.01

By taking a look at the code snippet above we can notice a major difference with the :doc:`Classification <classification>` example. The model is equipped with the NONLINEAR mode, LEAST_SQUARES loss function while the cross-validation criterion is given by MSE. Another important model-related parameter is process_labels which should be set to false in order to switch into regression mode. These four essential components unambiguously define a regression problem solved stochastically by the SALSA package.

[FS2010]De Brabanter K., De Brabanter J., Suykens J.A.K., De Moor B., "Optimized Fixed-Size Kernel Models for Large Data Sets", Computational Statistics & Data Analysis, vol. 54, no. 6, Jun. 2010, pp. 1484-1504.
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