Natural Gradient Descent for Logistic Regression

natural_grad.py

import numpy as np
from sklearn.utils import shuffle


# Data comes from y = f(x) = [2, 3].x + [5, 7]
X0 = np.random.randn(100, 2) - 1
X1 = np.random.randn(100, 2) + 1
X = np.vstack([X0, X1])
t = np.vstack([np.zeros([100, 1]), np.ones([100, 1])])

X, t = shuffle(X, t)

X_train, X_test = X[:150], X[:50]
t_train, t_test = t[:150], t[:50]

# Model
W = np.random.randn(2, 1) * 0.01


def sigm(x):
    return 1/(1+np.exp(-x))


def NLL(y, t):
    return -np.mean(t*np.log(y) + (1-t)*np.log(1-y))


alpha = 0.1

# Training
for it in range(5):
    # Forward
    z = X_train @ W
    y = sigm(z)
    loss = NLL(y, t_train)

    # Loss
    print(f'Loss: {loss:.3f}')

    m = y.shape[0]

    dy = (y-t_train)/(m * (y - y*y))
    dz = sigm(z)*(1-sigm(z))
    dW = X_train.T @ (dz * dy)

    grad_loglik_z = (t_train-y)/(y - y*y) * dz
    grad_loglik_W = grad_loglik_z * X_train
    F = np.cov(grad_loglik_W.T)

    # Step
    W = W - alpha * np.linalg.inv(F) @ dW
    # W = W - alpha * dW

# print(W)

y = sigm(X_test @ W).ravel()
acc = np.mean((y >= 0.5) == t_test.ravel())

print(f'Accuracy: {acc:.3f}')

looks like this

X_train, X_test = X[:150], X[:50]
t_train, t_test = t[:150], t[:50]

must be this

X_train, X_test = X[:150], X[150:] # or X[:150], X[-50:]
t_train, t_test = t[:150], t[150:] # or t[:150], t[-50:] 

as otherwise train and test subsets overlap

In your blog "Natural Gradient Descent", there exists a sentance "Covariance and precision matrix are different to each other (up to special condition, e.g. identity matrix), even though it induces the same Gaussian. ". How the same Gaussian has the differenct Covaiance matrix?

I think the author means the covariance and precision matrix are two different ways to parameterize the same Gaussian distribution. Same distribution space, but different parameter spaces. I guess there should be a transformation between the two different parameter spaces.