Function SLRTest

library/cpp/linear_regression/linear_regression_ut.cpp:132–177

    template <typename TSLRSolverType>
    void SLRTest() {
        TVector<double> arguments;
        TVector<double> weights;
        TVector<double> goals;

        const double factor = 2.;
        const double intercept = 105.;
        const double randomError = 0.01;

        const size_t argumentsCount = 10;
        for (size_t i = 0; i < argumentsCount; ++i) {
            arguments.push_back(i);
            weights.push_back(i);
            goals.push_back(arguments.back() * factor + intercept + 2 * (i % 2 - 0.5) * randomError);
        }

        TSLRSolverType slrSolver;
        for (size_t i = 0; i < argumentsCount; ++i) {
            slrSolver.Add(arguments[i], goals[i], weights[i]);
        }

        for (double regularizationThreshold = 0.; regularizationThreshold < 0.05; regularizationThreshold += 0.01) {
            double solutionFactor, solutionIntercept;
            slrSolver.Solve(solutionFactor, solutionIntercept, regularizationThreshold);

            double predictedSumSquaredErrors = slrSolver.SumSquaredErrors(regularizationThreshold);

            UNIT_ASSERT(IsValidFloat(solutionFactor));
            UNIT_ASSERT(IsValidFloat(solutionIntercept));
            UNIT_ASSERT(IsValidFloat(predictedSumSquaredErrors));

            UNIT_ASSERT_DOUBLES_EQUAL(solutionFactor, factor, 1e-2);
            UNIT_ASSERT_DOUBLES_EQUAL(solutionIntercept, intercept, 1e-2);

            double sumSquaredErrors = 0.;
            for (size_t i = 0; i < argumentsCount; ++i) {
                double error = goals[i] - arguments[i] * solutionFactor - solutionIntercept;
                sumSquaredErrors += error * error * weights[i];
            }

            if (!regularizationThreshold) {
                UNIT_ASSERT(predictedSumSquaredErrors < Accumulate(weights, 0.0) * randomError * randomError);
            }
            UNIT_ASSERT_DOUBLES_EQUAL(predictedSumSquaredErrors, sumSquaredErrors, 1e-8);
        }
    }

    Y_UNIT_TEST(FastSLRTest) {
        SLRTest<TFastSLRSolver>();