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argparser = ArgumentParser()
argparser.add_argument("--n-estimators", type=int, default=301)
argparser.add_argument("--lr", type=float, default=0.03)
argparser.add_argument("--minibatch-frac", type=float, default=0.1)
argparser.add_argument("--natural", action="store_true")
args = argparser.parse_args()
x_tr, y_tr, _ = gen_data(n=50)
poly_transform = PolynomialFeatures(1)
x_tr = poly_transform.fit_transform(x_tr)
ngb = NGBoost(
Base=default_tree_learner,
Dist=Normal,
Score=MLE,
n_estimators=args.n_estimators,
learning_rate=args.lr,
natural_gradient=args.natural,
minibatch_frac=args.minibatch_frac,
verbose=True,
)
ngb.fit(x_tr, y_tr)
x_te, y_te, _ = gen_data(n=1000, bound=1.3)
x_te = poly_transform.transform(x_te)
preds = ngb.pred_dist(x_te)
pctles, obs, _, _ = calibration_regression(preds, y_te)
argparser = ArgumentParser()
argparser.add_argument("--n-estimators", type=int, default=(1 + BLK * 100))
argparser.add_argument("--lr", type=float, default=0.03)
argparser.add_argument("--minibatch-frac", type=float, default=0.1)
argparser.add_argument("--natural", action="store_true")
args = argparser.parse_args()
x_tr, y_tr, _ = gen_data(n=100)
poly_transform = PolynomialFeatures(1)
x_tr = poly_transform.fit_transform(x_tr)
ngb = NGBoost(
Base=default_tree_learner,
Dist=Normal,
Score=MLE,
n_estimators=args.n_estimators,
learning_rate=args.lr,
natural_gradient=args.natural,
minibatch_frac=args.minibatch_frac,
verbose=True,
)
blk = int(args.n_estimators / 100)
ngb.fit(x_tr, y_tr)
x_te, y_te, _ = gen_data(n=1000, bound=1.3)
x_te = poly_transform.transform(x_te)
preds = ngb.pred_dist(x_te)
pctles, obs, _, _ = calibration_regression(preds, y_te)
logscale_crps_fn = lambda p: Normal(p, temp_scale = 1.0).crps(np.log(rvs)).mean()
lognorm_crps_fn = lambda p: LogNormal(p, temp_scale = 1.0).crps(rvs).mean()
def __init__(self, Dist=Normal, Score=LogScore,
Base=default_tree_learner, gradient='natural',
n_estimators=500, learning_rate=0.01, minibatch_frac=1.0,
verbose=True, verbose_eval=100, tol=1e-4,
random_state=None):
self.Dist = Dist
self.Score = Score
self.Base = Base
self.Manifold = manifold(Score, Dist)
self.gradient = gradient
self.n_estimators = n_estimators
self.learning_rate = learning_rate
self.minibatch_frac = minibatch_frac
self.verbose = verbose
self.verbose_eval = verbose_eval
self.init_params = None
self.base_models = []
def __init__(self, *args, **kwargs):
super(NGBRegressor, self).__init__(Dist=Normal, *args, **kwargs)