Single-sample SGD step (Geron Ch 4, morie.fn hmsgdu)

theta <- theta - eta * 2 x_i (x_i^T theta - y_i). With index NULL the row is picked from ONE LCG draw, i = floor(u * n) capped at n - 1, and is reported 0-based in index.

Usage

morie_geron_sgd_update(X, y, theta, eta = 0.1, seed = 0, index = NULL)

Arguments

X, y, theta

Design, targets, coefficients.

eta

Positive rate.

seed

LCG seed.

index

Optional 0-based row override.

Value

List with theta, theta_next, gradient, batch_gradient, residual, index (0-based), eta, estimate, n.

Examples

morie_geron_sgd_update(X = c(1, 2, 3, 4, 5, 6, 7, 8), y = c(1, 2, 3, 4, 5, 6, 7, 8), theta = 0.5)
#> $theta
#> [1] 0.9
#> 
#> $theta_next
#> [1] 0.9
#> 
#> $gradient
#> [1] -4
#> 
#> $batch_gradient
#> [1] -25.5
#> 
#> $residual
#> [1] -1
#> 
#> $index
#> [1] 1
#> 
#> $eta
#> [1] 0.1
#> 
#> $estimate
#> [1] 0.4
#> 
#> $n
#> [1] 8
#> 
#> $method
#> [1] "Single-sample least-squares SGD update theta <- theta - eta*2x(x^T theta - y)"
#>