Regularize the matrix using ridge regression - Java java.lang

Java examples for java.lang:Math Matrix

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Description

Regularize the matrix using ridge regression

Demo Code

/**//from  w w w  . j  a  v  a  2s .c o  m
 * MatrixHelper.java
 * 
 * Revision History:<br>
 * Jan 14, 2009 bpaulson - File created
 * 
 * <p>
 * 
 * <pre>
 * This work is released under the BSD License:
 * (C) 2008 Sketch Recognition Lab, Texas A&amp;M University (hereafter SRL @ TAMU)
 * All rights reserved.
 * 
 * Redistribution and use in source and binary forms, with or without
 * modification, are permitted provided that the following conditions are met:
 *     * Redistributions of source code must retain the above copyright
 *       notice, this list of conditions and the following disclaimer.
 *     * Redistributions in binary form must reproduce the above copyright
 *       notice, this list of conditions and the following disclaimer in the
 *       documentation and/or other materials provided with the distribution.
 *     * Neither the name of the Sketch Recognition Lab, Texas A&amp;M University 
 *       nor the names of its contributors may be used to endorse or promote 
 *       products derived from this software without specific prior written 
 *       permission.
 * 
 * THIS SOFTWARE IS PROVIDED BY SRL @ TAMU ``AS IS'' AND ANY
 * EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
 * WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
 * DISCLAIMED. IN NO EVENT SHALL SRL @ TAMU BE LIABLE FOR ANY
 * DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
 * (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
 * LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND
 * ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
 * (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
 * SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
 * </pre>
 */
import java.io.BufferedReader;
import java.io.BufferedWriter;
import java.io.FileReader;
import java.io.FileWriter;
import java.io.IOException;
import java.util.ArrayList;
import java.util.List;
import Jama.Matrix;

public class Main{
    /**
     * Regularize the matrix using ridge regression
     * 
     * @param m
     *            matrix to regularize
     * @param regParam
     *            regularization parameter epsilon (0<epsilon<1)
     * @return regularized matrix
     */
    public static Matrix regularizeRidgeRegression(Matrix m, double regParam) {
        if (m.getColumnDimension() != m.getRowDimension())
            return m;
        Matrix regM = new Matrix(m.getRowDimension(),
                m.getColumnDimension());
        Matrix trans = (Matrix) m.clone();
        trans.transpose();
        Matrix tran = trans.times(m);
        Matrix I = Matrix.identity(m.getRowDimension(),
                m.getColumnDimension()).times(1.0 / m.getRowDimension());
        regM = (((tran.times(1 - regParam)).plus(
                (I.times(tran.trace())).inverse()).times(trans)
                .times(regParam)));
        return regM;
    }
}

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