Fixes: 6216 | Support vector machines (#6240)

* initial commit

* first implementation of hard margin

* remove debugging print

* many commits squashed because pre-commit was buggy

* more kernels and improved kernel management

* remove unnecessary code + fix names + formatting + doctests

* rename to fit initial naming

* better naming and documentation

* better naming and documentation

machine_learning/support_vector_machines.py

@@ -0,0 +1,205 @@
+import numpy as np
+from numpy import ndarray
+from scipy.optimize import Bounds, LinearConstraint, minimize
+
+
+def norm_squared(vector: ndarray) -> float:
+    """
+    Return the squared second norm of vector
+    norm_squared(v) = sum(x * x for x in v)
+
+    Args:
+        vector (ndarray): input vector
+
+    Returns:
+        float: squared second norm of vector
+
+    >>> norm_squared([1, 2])
+    5
+    >>> norm_squared(np.asarray([1, 2]))
+    5
+    >>> norm_squared([0, 0])
+    0
+    """
+    return np.dot(vector, vector)
+
+
+class SVC:
+    """
+    Support Vector Classifier
+
+    Args:
+        kernel (str): kernel to use. Default: linear
+            Possible choices:
+                - linear
+        regularization: constraint for soft margin (data not linearly separable)
+            Default: unbound
+
+    >>> SVC(kernel="asdf")
+    Traceback (most recent call last):
+        ...
+    ValueError: Unknown kernel: asdf
+
+    >>> SVC(kernel="rbf")
+    Traceback (most recent call last):
+        ...
+    ValueError: rbf kernel requires gamma
+
+    >>> SVC(kernel="rbf", gamma=-1)
+    Traceback (most recent call last):
+        ...
+    ValueError: gamma must be > 0
+    """
+
+    def __init__(
+        self,
+        *,
+        regularization: float = np.inf,
+        kernel: str = "linear",
+        gamma: float = 0,
+    ) -> None:
+        self.regularization = regularization
+        self.gamma = gamma
+        if kernel == "linear":
+            self.kernel = self.__linear
+        elif kernel == "rbf":
+            if self.gamma == 0:
+                raise ValueError("rbf kernel requires gamma")
+            if not (isinstance(self.gamma, float) or isinstance(self.gamma, int)):
+                raise ValueError("gamma must be float or int")
+            if not self.gamma > 0:
+                raise ValueError("gamma must be > 0")
+            self.kernel = self.__rbf
+            # in the future, there could be a default value like in sklearn
+            # sklear: def_gamma = 1/(n_features * X.var()) (wiki)
+            # previously it was 1/(n_features)
+        else:
+            raise ValueError(f"Unknown kernel: {kernel}")
+
+    # kernels
+    def __linear(self, vector1: ndarray, vector2: ndarray) -> float:
+        """Linear kernel (as if no kernel used at all)"""
+        return np.dot(vector1, vector2)
+
+    def __rbf(self, vector1: ndarray, vector2: ndarray) -> float:
+        """
+        RBF: Radial Basis Function Kernel
+
+        Note: for more information see:
+            https://en.wikipedia.org/wiki/Radial_basis_function_kernel
+
+        Args:
+            vector1 (ndarray): first vector
+            vector2 (ndarray): second vector)
+
+        Returns:
+            float: exp(-(gamma * norm_squared(vector1 - vector2)))
+        """
+        return np.exp(-(self.gamma * norm_squared(vector1 - vector2)))
+
+    def fit(self, observations: list[ndarray], classes: ndarray) -> None:
+        """
+        Fits the SVC with a set of observations.
+
+        Args:
+            observations (list[ndarray]): list of observations
+            classes (ndarray): classification of each observation (in {1, -1})
+        """
+
+        self.observations = observations
+        self.classes = classes
+
+        # using Wolfe's Dual to calculate w.
+        # Primal problem: minimize 1/2*norm_squared(w)
+        #   constraint: yn(w . xn + b) >= 1
+        #
+        # With l a vector
+        # Dual problem: maximize sum_n(ln) -
+        #       1/2 * sum_n(sum_m(ln*lm*yn*ym*xn . xm))
+        #   constraint: self.C >= ln >= 0
+        #           and sum_n(ln*yn) = 0
+        # Then we get w using w = sum_n(ln*yn*xn)
+        # At the end we can get b ~= mean(yn - w . xn)
+        #
+        # Since we use kernels, we only need l_star to calculate b
+        # and to classify observations
+
+        (n,) = np.shape(classes)
+
+        def to_minimize(candidate: ndarray) -> float:
+            """
+            Opposite of the function to maximize
+
+            Args:
+                candidate (ndarray): candidate array to test
+
+            Return:
+                float: Wolfe's Dual result to minimize
+            """
+            s = 0
+            (n,) = np.shape(candidate)
+            for i in range(n):
+                for j in range(n):
+                    s += (
+                        candidate[i]
+                        * candidate[j]
+                        * classes[i]
+                        * classes[j]
+                        * self.kernel(observations[i], observations[j])
+                    )
+            return 1 / 2 * s - sum(candidate)
+
+        ly_contraint = LinearConstraint(classes, 0, 0)
+        l_bounds = Bounds(0, self.regularization)
+
+        l_star = minimize(
+            to_minimize, np.ones(n), bounds=l_bounds, constraints=[ly_contraint]
+        ).x
+        self.optimum = l_star
+
+        # calculating mean offset of separation plane to points
+        s = 0
+        for i in range(n):
+            for j in range(n):
+                s += classes[i] - classes[i] * self.optimum[i] * self.kernel(
+                    observations[i], observations[j]
+                )
+        self.offset = s / n
+
+    def predict(self, observation: ndarray) -> int:
+        """
+        Get the expected class of an observation
+
+        Args:
+            observation (Vector): observation
+
+        Returns:
+            int {1, -1}: expected class
+
+        >>> xs = [
+        ...     np.asarray([0, 1]), np.asarray([0, 2]),
+        ...     np.asarray([1, 1]), np.asarray([1, 2])
+        ... ]
+        >>> y = np.asarray([1, 1, -1, -1])
+        >>> s = SVC()
+        >>> s.fit(xs, y)
+        >>> s.predict(np.asarray([0, 1]))
+        1
+        >>> s.predict(np.asarray([1, 1]))
+        -1
+        >>> s.predict(np.asarray([2, 2]))
+        -1
+        """
+        s = sum(
+            self.optimum[n]
+            * self.classes[n]
+            * self.kernel(self.observations[n], observation)
+            for n in range(len(self.classes))
+        )
+        return 1 if s + self.offset >= 0 else -1
+
+
+if __name__ == "__main__":
+    import doctest
+
+    doctest.testmod()