Gradient Descent in Linear Regression

In linear regression, the model targets to get the best-fit regression line to predict the value of y based on the given input value (x). While training the model, the model calculates the cost function which measures the Root Mean Squared error between the predicted value (pred) and true value (y). The model targets to minimize the cost function.
To minimize the cost function, the model needs to have the best value of θ₁ and θ₂. Initially model selects θ₁ and θ₂ values randomly and then iteratively update these value in order to minimize the cost function until it reaches the minimum. By the time model achieves the minimum cost function, it will have the best θ₁ and θ₂ values. Using these finally updated values of θ₁ and θ₂ in the hypothesis equation of linear equation, model predicts the value of x in the best manner it can.
Therefore, the question arises – How θ₁ and θ₂ values get updated ?
Linear Regression Cost Function:

Gradient Descent Algorithm For Linear Regression

-> θ_j     : Weights of the hypothesis.
-> h_θ(x_i) : predicted y value for i^th input.
-> j     : Feature index number (can be 0, 1, 2, ......, n).
-> α     : Learning Rate of Gradient Descent.

We graph cost function as a function of parameter estimates i.e. parameter range of our hypothesis function and the cost resulting from selecting a particular set of parameters. We move downward towards pits in the graph, to find the minimum value. The way to do this is taking derivative of cost function as explained in the above figure. Gradient Descent step-downs the cost function in the direction of the steepest descent. Size of each step is determined by parameter α known as Learning Rate.

In the Gradient Descent algorithm, one can infer two points :

If slope is +ve : θ_j = θ_j – (+ve value). Hence value of θ_j decreases.
If slope is -ve : θ_j = θ_j – (-ve value). Hence value of θ_j increases.

The choice of correct learning rate is very important as it ensures that Gradient Descent converges in a reasonable time. :

If we choose α to be very large, Gradient Descent can overshoot the minimum. It may fail to converge or even diverge.

If we choose α to be very small, Gradient Descent will take small steps to reach local minima and will take a longer time to reach minima.

For linear regression Cost, Function graph is always convex shaped.

Python3

# Implementation of gradient descent in linear regression
import numpy as np 
import matplotlib.pyplot as plt 
 
class Linear_Regression:
    def __init__(self, X, Y):
        self.X = X
        self.Y = Y
        self.b = [0, 0]
     
    def update_coeffs(self, learning_rate):
        Y_pred = self.predict()
        Y = self.Y
        m = len(Y)
        self.b[0] = self.b[0] - (learning_rate * ((1/m) *
                                  np.sum(Y_pred - Y)))
 
        self.b[1] = self.b[1] - (learning_rate * ((1/m) *
                                  np.sum((Y_pred - Y) * self.X)))
 
    def predict(self, X=[]):
        Y_pred = np.array([])
        if not X: X = self.X
        b = self.b
        for x in X:
            Y_pred = np.append(Y_pred, b[0] + (b[1] * x))
 
        return Y_pred
     
    def get_current_accuracy(self, Y_pred):
        p, e = Y_pred, self.Y
        n = len(Y_pred)
        return 1-sum(
            [
                abs(p[i]-e[i])/e[i]
                for i in range(n)
                if e[i] != 0]
        )/n
    #def predict(self, b, yi):
 
    def compute_cost(self, Y_pred):
        m = len(self.Y)
        J = (1 / 2*m) * (np.sum(Y_pred - self.Y)**2)
        return J
 
    def plot_best_fit(self, Y_pred, fig):
                f = plt.figure(fig)
                plt.scatter(self.X, self.Y, color='b')
                plt.plot(self.X, Y_pred, color='g')
                f.show()
 
 
def main():
    X = np.array([i for i in range(11)])
    Y = np.array([2*i for i in range(11)])
 
    regressor = Linear_Regression(X, Y)
 
    iterations = 0
    steps = 100
    learning_rate = 0.01
    costs = []
     
    #original best-fit line
    Y_pred = regressor.predict()
    regressor.plot_best_fit(Y_pred, 'Initial Best Fit Line')
     
 
    while 1:
        Y_pred = regressor.predict()
        cost = regressor.compute_cost(Y_pred)
        costs.append(cost)
        regressor.update_coeffs(learning_rate)
         
        iterations += 1
        if iterations % steps == 0:
            print(iterations, "epochs elapsed")
            print("Current accuracy is :", 
                   regressor.get_current_accuracy(Y_pred))
 
            stop = input("Do you want to stop (y/*)??")
            if stop == "y":
                break
 
    #final best-fit line
    regressor.plot_best_fit(Y_pred, 'Final Best Fit Line')
 
    #plot to verify cost fuction decreases
    h = plt.figure('Verification')
    plt.plot(range(iterations), costs, color='b')
    h.show()
 
    # if user wants to predict using the regressor:
    regressor.predict([i for i in range(10)])
 
if __name__ == '__main__':
    main()

Output:

Note: Gradient descent sometimes is also implemented using Regularization.

Last Updated on March 1, 2022 by admin

Gradient Descent in Linear Regression