NARXNET: Validation stop
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Hi,
I am using this code to fit the data in the appendix. Since this data set is huge [1x984468] I'm trying to fit a smaller subset of it (1:20000) in the first place. The problem is that I just get "Validation stops" and never reach the "min gradient" even though I'm not exceeding Hmax.
I tried the code on the nndata set "valve_dataset", as well -> results are shown below.
Can anyone see the problem?
Thanks a lot!
plt = 0;
tic
% x = u1(1:20000);
% t = y1(1:20000);
% X = con2seq(x);
% T = con2seq(t);
[X,T] = valve_dataset;
x = cell2mat(X);
t = cell2mat(T);
[ I N ] = size(X);
[ O N ] = size(T);
MSE00 = mean(var(t',1))
MSE00a = mean(var(t',0))
% Normalization
zx = zscore(cell2mat(X), 1);
zt = zscore(cell2mat(T), 1);
Ntrn = N-2*round(0.15*N);
trnind = 1:Ntrn;
Ttrn = T(trnind);
Neq = prod(size(Ttrn));
%%Determine significant lags
%{
plt=plt+1,figure(plt)
subplot(211)
plot(t)
title('SIMPLENAR SERIES')
subplot(212)
plot(zt)
title('STANDARDIZED SERIES')
rng('default')
n = randn(1,N);
L = floor(0.95*(2*N-1))
for i = 1:100
autocorrn = nncorr( n,n, N-1, 'biased');
sortabsautocorrn = sort(abs(autocorrn));
thresh95(i) = sortabsautocorrn(L);
end
sigthresh95 = mean(thresh95) % 0.2194
autocorrt = nncorr(zt,zt,N-1,'biased');
siglag95 = -1+ find(abs(autocorrt(N:2*N-1))>=sigthresh95);
plt = plt+1, figure(plt)
hold on
plot(0:N-1, -sigthresh95*ones(1,N),'b--')
plot(0:N-1, zeros(1,N),'k')
plot(0:N-1, sigthresh95*ones(1,N),'b--')
plot(0:N-1, autocorrt(N:2*N-1))
plot(siglag95,autocorrt(N+siglag95),'ro')
title('SIGNIFICANT SIMPLENAR AUTOCORRELATIONS')
%INPUT-TARGET CROSSCORRELATION
%
crosscorrxt = nncorr(zx,zt,N-1,'biased');
sigilag95 = -1+ find(abs(crosscorrxt(N:2*N-1))>=sigthresh95); %significant feedback lag
%
plt = plt+1, figure(plt)
hold on
plot(0:N-1, -sigthresh95*ones(1,N),'b--')
plot(0:N-1, zeros(1,N),'k')
plot(0:N-1, sigthresh95*ones(1,N),'b--')
plot(0:N-1, crosscorrxt(N:2*N-1))
plot(sigilag95,crosscorrxt(N+sigilag95),'ro')
title('SIGNIFICANT INPUT-TARGET CROSSCORRELATIONS')
%}
FD = 1:1; %Random Selection of sigflag subset
ID = 1:2; %Random selection of sigilag subset crosscorrelation
NFD = length(FD);
NID = length(ID);
MXFD = max(FD);
MXID = max(ID);
Ntrneq = prod(size(t));
Hub = -1+ceil( (Ntrneq-O) / ((NID*I)+(NFD*O)+1));
Hmax = floor(Hub/50);
Hmin = 0;
dh = 1;
Ntrials = 10;
j = 0;
rng(0)
for h = Hmin:dh:Hmax
fprintf(['_____________H %','d/%d_____________\n'],h,Hmax)
j = j+1
if h == 0
net = narxnet( ID, FD, [] );
Nw = ( NID*I + NFD*O + 1 )*O
else
net = narxnet( ID, FD, h );
Nw = ( NID*I + NFD*O + 1 )*h + ( h + 1 )*O
end
Ndof = Ntrn-Nw
[ Xs Xi Ai Ts ] = preparets( net,X,{},T );
ts = cell2mat(Ts);
xs = cell2mat(Xs);
MSE00s = mean(var(ts',1))
MSE00as = mean(var(ts'))
MSEgoal = max( 0,0.01*Ndof*MSE00as/Neq )
MinGrad = MSEgoal/100
net.trainParam.goal = MSEgoal;
net.trainParam.min_grad = MinGrad;
net.divideFcn = 'divideblock';
net.divideParam.trainRatio = 70/100;
net.divideParam.testRatio = 15/100;
net.divideParam.valRatio = 15/100;
for i = 1:Ntrials
net = configure(net,Xs,Ts);
[ net tr Ys ] = train(net,Xs,Ts,Xi,Ai);
ys = cell2mat(Ys);
stopcrit{i,j} = tr.stop
bestepoch(i,j) = tr.best_epoch
MSE = mse(ts-ys)
MSEa = Neq*MSE/Ndof
R2(i,j) = 1-MSE/MSE00s
R2a(i,j) = 1-MSEa/MSE00as
end
end
stopcrit = stopcrit
bestepoch = bestepoch
R2 = R2
R2a = R2a
Totaltime = toc
stopcrit =
Columns 1 through 2
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
'Minimum gradient...' 'Minimum gradient...'
Columns 3 through 4
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Minimum gradient...'
'Validation stop.' 'Minimum gradient...'
'Validation stop.' 'Validation stop.'
'Minimum gradient...' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
Columns 5 through 6
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
Columns 7 through 8
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
'Validation stop.' 'Validation stop.'
Column 9
'Validation stop.'
'Validation stop.'
'Validation stop.'
'Validation stop.'
'Validation stop.'
'Validation stop.'
'Validation stop.'
'Validation stop.'
'Validation stop.'
'Validation stop.'
R2 =
Columns 1 through 6
0.9109 0.9116 0.9196 0.9156 0.9236 0.9242
0.9109 0.9116 0.9154 0.9213 0.9124 0.9229
0.9109 0.9116 0.9125 0.9185 0.9202 0.9285
0.9109 0.9116 0.9118 0.9230 0.9311 0.9253
0.9109 0.9117 0.9118 0.9201 0.9343 0.9240
0.9109 0.9115 0.9111 0.9125 0.9338 0.9224
0.9109 0.9116 0.9170 0.9177 0.9188 0.9353
0.9109 0.9116 0.9118 0.9137 0.9292 0.9320
0.9109 0.9115 0.9125 0.9129 0.9312 0.9313
0.9109 0.9116 0.9127 0.9286 0.9187 0.9199
Columns 7 through 9
0.9303 0.9336 0.9344
0.9282 0.9146 0.9393
0.9359 0.9305 0.9378
0.9182 0.9306 0.9355
0.9212 0.9384 0.9321
0.9334 0.9195 0.9339
0.9200 0.9374 0.9310
0.9239 0.9334 0.9175
0.9305 0.9201 0.9320
0.9274 0.9394 0.9311
R2a =
Columns 1 through 6
0.9107 0.9112 0.9190 0.9146 0.9223 0.9226
0.9107 0.9112 0.9147 0.9204 0.9110 0.9213
0.9107 0.9112 0.9118 0.9175 0.9189 0.9270
0.9107 0.9112 0.9110 0.9221 0.9300 0.9238
0.9107 0.9113 0.9111 0.9192 0.9332 0.9225
0.9107 0.9112 0.9104 0.9114 0.9327 0.9208
0.9107 0.9112 0.9163 0.9167 0.9175 0.9339
0.9107 0.9112 0.9111 0.9126 0.9281 0.9306
0.9107 0.9112 0.9118 0.9119 0.9300 0.9298
0.9107 0.9112 0.9120 0.9277 0.9174 0.9183
Columns 7 through 9
0.9286 0.9317 0.9322
0.9264 0.9121 0.9373
0.9343 0.9285 0.9357
0.9162 0.9286 0.9334
0.9192 0.9366 0.9298
0.9317 0.9172 0.9317
0.9180 0.9356 0.9287
0.9220 0.9315 0.9148
0.9288 0.9178 0.9297
0.9256 0.9377 0.9288
댓글 수: 2
Christian Hofstetter
2017년 8월 25일
Greg Heath
2017년 9월 13일
Clicked on Data.mat but cannot find it on my machine.
Anyone knows were it is hiding ?
Greg (A failure at computer nerdism)
채택된 답변
Greg Heath
2017년 9월 1일
편집: Greg Heath
2017년 9월 1일
WHOA!!
I just took a look at the 2017a TRAINBR documentation.
Contrary to my previous statements:
YOU CAN USE TRAINBR TO COMBINE MSEREG &
VALSTOPPING!
Read the documentation
help trainbr
and
doc trainbr
because I'm not sure when this was implemented (Maybe it was because of my suggestions to the staff!) (;>)
In addition, you can also combine them using TRAINLM.
Hope this helps.
Thank you for formally accepting my answer
Greg
댓글 수: 4
Greg Heath
2017년 9월 2일
Comment by Christian Hofstetter about 13 hours ago
===> (MOVED FROM ANSWER BOX BY GREG)
Ok, what I did first is to filter the data and to downsample by a factor of 2. Thereby, I get a good open loop performance with an R2 = 0.9997 on training data. The training algorithm was changed to the following:
neto.trainFcn = 'trainbr';
neto.performFcn = 'msereg';
neto.trainParam.max_fail = 6;
After closing the loop performance deteriorates to R2c = 0.4035 and retraining of netc using
[ netc trc Yc Ec Xcf Acf] = train( netc, Xc, Tc, Xci, Aci );
[Yc Xcf Acf ] = netc(Xc, Xci, Aci );
Ec = gsubtract( Tc, Yc );
yc = cell2mat(Yc);
tc = to;
NMSEc = mse(Ec) /var(tc,1)
R2c = 1-NMSEc
yields R2c = 0.9097 reaching max number of validation checks (50minutes, 111 iterations).
Do you recommend to use the same training fcn for closed loop optimization?
Greg Heath
2017년 9월 2일
편집: Greg Heath
2017년 9월 2일
I don't understand your question:
1. Are all of these results for valve_dataset?
2. You used trainbr, valstop and msereg for neto?
3. Ditto for netc.
And now are you asking if I recommend trainbr for training netc?
Answer:
I have not had the time to use trainbr for ANY timeseries work. Therefore I can only recommend comparing results.
It would be great if you could replicate trainlm results by modifying trainbr OR VICE VERSA! Then comparisons would be more satisfying.
Meanwhile, I'm going to run your code using the valve_dataset.
Hope this helps.
Greg
Greg Heath
2017년 9월 2일
So far I have these comments
1. Use UC for cells and lc for doubles
2. Use subscriots o and c for OL and CL, respectively
3. Remove semicolons from single value assignments
and print the result as a comment. For example
[ X, T ] = valve_dataset;
x = cell2mat(X); t = cell2mat(T);
[ I N ] = size(x) % [ 1 1801 ]
[ O N ] = size(t) % [ 1 1801 ]
vart1 = mean(var(ttrn',1)) % 1.4998e+03
vart0 = mean(var(ttrn',0)) % 1.5007e+03
4. In general, relevant sizes are determined from x & t, NOT X & T
5. Determine significant lags using Ntrn, not N
6. Determine Ntrneq from ttrn, not t.
Probably more later.
Greg
Christian Hofstetter
2017년 9월 3일
편집: Christian Hofstetter
2017년 9월 3일
추가 답변 (2개)
Greg Heath
2017년 8월 28일
0 개 추천
Validation Stopping prevents overtraining an overfit net.
Although the training error is decreasing, the ability of the net to perform satisfactorily on nontraining data (represented by the validation subset) is decreasing.
Alternatives
1. Choose the best of multiple designs: Minimize the number of hidden nodes subject to an upper bound on the training error. For open loop timeseries I tend to use
MSEgoal = 0.005*mean(var(target',1))
2. Bayesian Regularization via TRAINBR.
3.If the new versions of MATLAB allow it combine TRAINBR and VALSTOPPING.
Hope this helps.
Thank you for formally accepting my answer
Greg
댓글 수: 1
Christian Hofstetter
2017년 8월 28일
Greg Heath
2017년 9월 3일
편집: Greg Heath
2017년 9월 13일
1. The ULTIMATE GOAL OF NN TRAINING is that the performance measures of BOTH
a. Training data
b. Nontraining data that have the same
summary statistics as the training data
are less than a specified upper bound
2. THEREFORE, it doesn't matter whether the training subset error is minimized or not.
3. HOWEVER, the most common way to achieve the goal in 1 is
a. Use a minimization algorithm to reduce the
training subset error.
b. Stop training when either reaches a local
minimum
i. Training subset error
ii. Nontraining validation subset error
Hope this helps.
Thank you for formally accepting my answer
Greg
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