软件启示录

By Alex Castrounis

Source: http://www.innoarchitech.com/machine-learning-an-in-depth-non-technical-guide-part-5/

By Alex Castrounis

Source: http://www.innoarchitech.com/machine-learning-an-in-depth-non-technical-guide-part-4/

By Alex Castrounis

Source: http://www.innoarchitech.com/machine-learning-an-in-depth-non-technical-guide-part-3/

Chapters

1. Overview, goals, learning types, and algorithms
2. Data selection, preparation, and modeling
3. Model evaluation, validation, complexity, and improvement
4. Model performance and error analysis
5. Unsupervised learning, related fields, and machine learning in practice

Introduction

Welcome to the third chapter in a five-part series about machine learning.

In this chapter, we’ll continue our machine learning discussion, and focus on problems associated with overfitting data, as well as controlling model complexity, a model evaluation and errors introduction, model validation and tuning, and improving model performance.

Overfitting

Overfitting is one of the greatest concerns in predictive analytics and machine learning. Overfitting refers to a situation where the model chosen to fit the training data fits too well, and essentially captures all of the noise, outliers, and so on.

The consequence of this is that the model will fit the training data very well, but will not accurately predict cases not represented by the training data, and therefore will not generalize well to unseen data. This means that the model performance will be better with the training data than with the test data.

A model is said to have high variance when it leans more towards overfitting, and conversely has high bias when it doesn’t fit the data well enough. A high variance model will tend to be quite flexible and overly complex, while a high bias model will tend to be very opinionated and overly simplified. A good example of a high bias model is fitting a straight line to very nonlinear data.

In both cases, the model will not make very accurate predictions on new data. The ideal situation is to find a model that is not overly biased, nor does it have a high variance. Finding this balance is one of the key skills of a data scientist.

Overfitting can occur for many reasons. A common one is that the training data consists of many features relative to the number of observations or data points. In this case, the data is relatively wide as compared to long.

To address this problem, reducing the number of features can help, or finding more data if possible. The downside to reducing features is that you lose potentially valuable information.

Another option is to use a technique called regularization, which will be discussed later in this series.

Controlling Model Complexity

Model complexity can be characterized by many things, and is a bit subjective. In machine learning, model complexity often refers to the number of features or terms included in a given predictive model, as well as whether the chosen model is linear, nonlinear, and so on. It can also refer to the algorithmic learning complexity or computational complexity.

Overly complex models are less easily interpreted, at greater risk of overfitting, and will likely be more computationally expensive.

There are some really sophisticated and automated methods by which to control, and ultimately reduce model complexity, as well as help prevent overfitting. Some of them are able to help with feature and model selection as well.

These methods include linear model and subset selection, shrinkage methods (including regularization), and dimensionality reduction.

Regularization essentially keeps all features, but reduces (or penalizes) the effect of some features on the model’s predicted values. The reduced effect comes from shrinking the magnitude, and therefore the effect, of some of the model’s term’s coefficients.

The two most popular regularization methods are ridge regression and lasso. Both methods involve adding a tuning parameter (Greek lambda) to the model, which is designed to impose a penalty on each term’s coefficient based on its size, or effect on the model.

The larger the term’s coefficient size, the larger the penalty, which basically means the more the tuning parameter forces the coefficient to be closer to zero. Choosing the value to use for the tuning parameter is critical and can be done using a technique such as cross-validation.

The lasso technique works in a very similar way to ridge regression, but can also be used for feature selection as well. This is due to the fact that the penalty term for each predictor is calculated slightly differently, and can result in certain terms becoming zero since their coefficients can become zero. This essentially removes those terms from the model, and is therefore a form of automatic feature selection.

Ridge regression or lasso techniques may work better for a given situation. Often the lasso works better for data where the response is best modeled as a function of a small number of the predictors, but this isn’t guaranteed. Cross-validation is a great technique for evaluating one technique versus the other.

Given a certain number of predictors (features), there is a calculable number of possible models that can be created with only a subset of the total predictors. An example is when you have 10 predictors, but want to find all possible models using only 2 of the 10 predictors.

Doing this, and then selecting one of the models based on the smallest test error, is known as subset selection, or sometimes as best subset selection. Note that a very useful plot for subset selection is when plotting the residual sum of squares (discussed later) for each model against the number of predictors.

When the number of predictors gets large enough, best subset selection becomes unable to deal with the huge number of possible model combinations for a given subset of predictors. In this case, another method known as stepwise selection can be used. There are two primary versions, forward and backward stepwise selection.

In forward stepwise selection, predictors are added to the model one at a time starting at zero predictors, until all of the predictors are included. Backwards stepwise selection is the opposite, and involves starting with a model including all predictors, and then removing a single predictor at each step.

The model performance is evaluated at each step in both cases. In both subset selection and stepwise selection, the test error is used to determine the best model. There are many ways to estimate test errors, which will be discussed later in this series.

There is a concept that deals with highly dimensional data (i.e., large number of features) known as the curse of dimensionality. The curse of dimensionality refers to the fact that the computational speed and memory required increases exponentially as the number of data dimensions (features) increases.

This can manifest itself as a problem where a machine learning algorithm does not scale well to higher dimensional data¹¹. One way to deal with this issue is to choose a different algorithm that can scale better with the data. The other is a technique known as dimensionality reduction.

Dimensionality Reduction

Dimensionality reduction is a technique used to reduce the number of features included in the machine learning process. It can help reduce complexity, reduce computational cost, and increase machine learning algorithm computational speed. It can be thought of as a technique that transforms the original predictors to a new, smaller set of predictors, which are then used to fit a model.

Principal component analysis (PCA) was discussed previously in the context of feature selection, but is also a widely-used dimensionality reduction technique as well. It helps reduce the number of features (i.e., dimensions) by finding, separating out, and sorting the features that explain the most variance in the data in descending order. Cross-validation is a great way to determine the number of principal components to include in the model.

An example of this would be a dataset where each observation is described by ten features, but only three of the features can describe the majority of the data’s variance, and therefore are adequate enough for creating a model with, and generating accurate predictions.

Note that people sometimes use PCA to prevent overfitting since fewer features implies that the model is less likely to overfit. While PCA may work in this context, it is not a good approach and is therefore not recommended. Regularization should be used to address overfitting concerns instead⁸.

Model Evaluation and Performance

Assuming you are working with high quality, unbiased, and representative data, then the next most important aspects of predictive analytics and machine learning is measuring model performance, possibly improving it if needed, and understanding potential errors that are often encountered.

We will have an introductory discussion here about model performance, improvement, and errors, but will continue with much greater detail on these topics in the next chapter.

Model performance is typically used to describe how well a model is able to make predictions on unseen data (e.g., test, but NOT training data), and there are multiple methods and metrics used to assess and gauge model performance. A key measure of model performance is to estimate the model’s test error.

The test error can be estimated either indirectly or directly. It can estimated and adjusted indirectly by making changes that affect the training error, since the training error is a measure of overfitting (bias and/or variance) to some extent.

Recall that the more the model overfits the data (high variance), the less well the model will generalize to unseen data. Given that, the assumption is that reducing variance should improve the test error as well.

The test error can also be estimated directly by testing the model with the held out test data, and usually works best in conjunction with a resampling method such as cross-validation, which we’ll discuss later.

Estimating a model’s test error not only helps determine a model’s performance and accuracy, but is also a very powerful way to select a model too.

Improving Model Performance and Ensemble Learning

There are many ways to improve a model’s performance. The quality and quantity of data used has a huge, if not the biggest impact on model performance, but sometimes these two can’t easily be changed.

Other major influencers on model performance include algorithm tuning, feature engineering, cross-validation, and ensemble methods.

Algorithm tuning refers to the process of tweaking certain values that effectively initialize and control how a machine learning algorithm learns and generates predictive models. This tuning can be used to improve performance using the separate validation data set, and later performance tested with the test dataset.

Since most algorithm tuning parameters are algorithm-specific and sometimes very complex, a detailed discussion is out of scope for this article, but note that the lambda parameter described for regularization is one such tuning parameter.

Ensemble learning, as mentioned in an earlier post, deals with combining or averaging (regression) the results from multiple learning models in order to improve predictive performance. In some cases (classification), ensemble methods can be thought of as a voting process where the majority vote wins.

Two of the most common ensemble methods are bagging (aka bootstrap aggregating) and boosting. Both are helpful with improving model performance and in reducing variance (overfitting) and bias (underfitting).

Bagging is a technique by which the training data is sampled with replacement multiple times. Each time a new training data set is created and a model is fitted to the sample data. The models are then combined to produce the overall model output, which can be used to measure model performance.

Boosting is a technique designed to transform a set of so-called weak learners into a single strong learner. In plain English, think of a weak learner as a model that predicts only slightly better than random guessing, and a strong learner as a model that can predict to certain degree of accuracy better than random guessing.

While complicated, boosting basically works by iteratively creating weak models and adding them to the single strong learner. While this process happens, model accuracy is tested and then weightings are applied so that future learners focus on improving model performance for cases that were previously not well predicted.

Another very popular ensemble method is known as random forests. Random forests are essentially the combination of decision trees and bagging.

Kaggle is arguably the world’s most prestigious data science competition platform, and features competitions that are created and sponsored by most of the notable Silicon Valley tech companies, as well as by other very well-known corporations. Ensemble methods such as random forests and boosting have enjoyed very high success rates in winning these competitions.

Model Validation and Resampling Methods

Model validation is a very important part of the machine learning process. Validation methods consist of creating models and testing them on a validation dataset.

Resulting validation-set error provides an estimate of the test error and is typically assessed using mean squared error (MSE) in the case of a quantitative response, and misclassification rate in the case of a qualitative (discrete) response.

Many validation techniques are categorized as resampling methods, which involve refitting models to different samples formed from a set of training data.

Probably the most popular and noteworthy technique is called cross-validation. The key idea of cross-validation is that the model’s accuracy on the training set is optimistic, and that a better estimate comes from the model’s accuracy on the test set. The idea then is to estimate the test set accuracy while in the model training stage.

The process involves repeated splitting of the data into different training and test sets, building the model on the training set, and then evaluating it on the test set, and finally repeating and averaging the estimated errors.

In addition to model validation and helping to prevent overfitting, cross-validation can be used for feature selection, model selection, model parameter tuning, and comparing different predictors.

A popular special case of cross-validation is known as k-fold cross-validation. This technique involves selecting a number k, which represents the number of partitions of equal size that the original data is divided into. Once divided, a single partition is designated as a validation dataset (i.e., for testing the model), and the remaining k-1 data partitions are used as training data.

Note that typically the larger the chosen k, the less bias, but more variance, and vice versa. In the case of cross-validation, random sampling is done without replacement.

There is another technique that involves random sampling with replacement that is known as the bootstrap. The bootstrap technique tends to underestimate the error more than cross-validation.

Another special case is when k=n, i.e., when k equals the number of observations. In this case, the technique is known as leave-one-out cross-validation (LOOCV).

Summary

In this chapter, we have discussed many concepts and techniques associated with model evaluation, validation, complexity, and improvement.

Chapter four of this series will provide a much deeper dive into concepts and metrics related to model performance evaluation and error analysis.

Stay tuned!

By Alex Castrounis on February 22, 2016

About the Author: Alex Castrounis founded InnoArchiTech. Sign up for the InnoArchiTech newsletter and follow InnoArchiTech on Twitter at @innoarchitech for the latest content updates.

References

1. Wikipedia: Machine Learning
2. Wikipedia: Supervised Learning
3. Wikipedia: Unsupervised Learning
4. Wikipedia: List of machine learning concepts
5. Wikipedia: Feature Selection
6. Wikipedia: Cross-validation
7. Practical Machine Learning Online Course – Johns Hopkins University
8. Machine Learning Online Course – Stanford University
9. Statistical Learning Online Course – Stanford University
10. Wikipedia: Regularization
11. Wikipedia: Curse of dimensionality
12. Wikipedia: Bagging, aka Bootstrap Aggregating
13. Wikipedia: Boosting

By Alex Castrounis

Source: http://www.innoarchitech.com/machine-learning-an-in-depth-non-technical-guide-part-2/

Chapters

1. Overview, goals, learning types, and algorithms
2. Data selection, preparation, and modeling
3. Model evaluation, validation, complexity, and improvement
4. Model performance and error analysis
5. Unsupervised learning, related fields, and machine learning in practice

Introduction

Welcome to the second chapter in a five-part series about machine learning.

In this chapter, we will briefly introduce model performance concepts, and then focus on the following parts of the machine learning process: data selection, preprocessing, feature selection, model selection, and model tradeoff considerations.

Model Performance Introduction

Model performance can be defined in many ways, but in general, it refers to how effectively the model is able to achieve the solution goals for a given problem (e.g., prediction, classification, anomaly detection, recommendation).

Since the goals can differ for each problem, the measure of performance can differ as well. Some common performance measures include accuracy, precision, recall, receiver operator characteristic (ROC), and so on. These will be discussed in much greater detail throughout the rest of this series.

Data Selection and Preprocessing

Some say that garbage in equals garbage out, and this is definitely the case. This basically means that you may have built a predictive model, but it doesn’t matter if the data used to build the model is non-representative, low quality, error ridden, and so on. The quality, amount, preparation, and selection of data is critical to the success of a machine learning solution.

The first step to ensure success is to avoid selection bias. Selection bias occurs when the samples used to produce the model are not fully representative of cases that the model may be used for in the future, particularly with new and unseen data.

Data is typically messy and often consists of missing values, useless values (e.g., NA), outliers, and so on. Prior to modeling and analysis, raw data needs to be parsed, cleaned, transformed, and pre-processed. This is typically referred to a data munging or data wrangling.

For missing data, data is often imputed, which is a technique used to fill in, or substitute for missing values, and is very similar conceptually to interpolation.

In addition, sometimes feature values are scaled (feature scaling) and/or standardized (normalized). The most typical method of standardizing feature data is to subtract the mean across a given feature’s values from each individual observation value, and then divide by the standard deviation of that feature’s values.

Feature scaling is used to bring the different feature’s value ranges into similarity in order to help prevent certain features from dominating models and predictions, but also to prevent computing problems when running machine learning optimization algorithms (speed, convergence, etc.).

Another preprocessing technique is to create dummy variables, which basically means that you convert qualitative variables to quantitative variables. An example is taking a color feature (e.g., green, red, and blue), and transforming it to the values 1, 2, and 3 respectively. This makes it possible to perform regression with qualitative features.

Data Splitting

Recall from chapter 1 that the data used for machine learning should be split into training and test datasets, as well as an optional third validation dataset for model validation and tuning.

Choosing the size of each data set can be somewhat subjective and dependent on the overall sample size, and a full discussion is out of scope for this series. As an example however, given a training and test dataset only, some people may split the data into 80% training and 20% testing.

In general, more training data results in a better model and potential performance, and more testing data results in a greater evaluation of model performance and overall generalization capability.

Feature Selection and Feature Engineering

Once you have a representative, unbiased, cleaned, and fully prepared dataset, typical next steps include feature selection and feature engineering of the training data. Note that although discussed here, both of these techniques can also be used later in the process for improving model performance.

Feature selection is the process of selecting a subset of features from which to build a predictive regression model or classifier. This is usually done for model simplification and increased interpretability, reducing training times and computational cost, and to help reduce the risk of overfitting, and thus improve model generalization.

Basic techniques for feature selection, particularly for regression problems, involve estimates of model parameters (i.e., model coefficients) and their significance, and correlation estimates amongst features. This will be discussed further in a section about parametric models.

Some advanced techniques used for feature selection are principle component analysis (PCA), singular value decomposition (SVD), and Linear Discriminant Analysis (LDA).

Principal component analysis is a statistical technique that deals with determining which features, in order, represent the most to least variance in the data. Singular value decomposition is a lower level linear algebra algorithm that is used by PCA.

Linear discriminant analysis is closely related to PCA in that they’re both linear transformation techniques. PCA however is more general and is not concerned with class labels (unsupervised), whereas LDA is more specific and is concerned with class labels (supervised).

Feature engineering includes feature selection as a sub-category, but also involves other aspects such as creating new features, transforming raw data into domain-specific and interpretable features, and so on.

Parametric Models and Feature Selection

Many machine learning models are a type of parametric model. A good example is the equation describing a line (i.e., linear model), which is shown here⁹, and includes the slope (β), intercept coefficient (α), and an error term (ε).

With parametric models, the coefficients of the terms are called the parameters, and are usually designated by the Greek letter beta and a subscript (e.g., β₁ … β_n). In regression problems, the parameters are called regression coefficients.

Many models also include an error term, indicated by the Greek letter epsilon. Simply stated, this error term is meant to account for the difference between the model’s predicted value and the actual observed value for a given set of input values.

Understanding the concept of model parameters is very important for supervised learning because machine learning differs from other techniques, in that it learns model parameters automatically. It does this by estimating the optimal set of model parameters that best explains the relationship between the response variable and the independent feature variables through optimization techniques, as discussed in chapter one.

In regression problems, a p-value is assigned to each of the estimated model parameters (regression coefficients), and this value is used to indicate the potential predictive influence that each coefficient has on the response.

Coefficients with a p-value greater than some chosen threshold, typically 0.05 or 0.10, are often not included in the model since they will most likely not help explain (predict) the response. This is one key way to perform feature selection with parametric models.

Another technique involves estimating the correlation of the features with respect to the response, and removing redundant and highly correlated features. The idea is that including only one of a pair of correlated features (the most significant) should be enough to explain the impact of both of the correlated features on the response.

Model Selection

While the algorithm or model that you choose may not matter as much as other things discussed in this series (e.g., amount of data, feature selection, etc.), here is a list of things to take into account when choosing a model.

• Interpretability
• Simplicity (aka parsimony)
• Accuracy
• Speed (training, testing, and real-time processing)
• Scalability

A good approach is to start with simple models and then increase model complexity as needed, and only when necessary. Generally, simplicity should be preferred unless you can achieve major accuracy gains through model selection.

Relatively simple models include simple and multiple linear regression for regression problems, and logistic and multinomial regression for classification problems.

A basic early model selection choice for supervised learning is whether to use a linear or nonlinear model. Nonlinear models best describe and predict situations when the effects on the response from certain feature values and their combination is nonlinear. Most of the time however, relationships are never truly linear.

Beyond basic linear models, variations in the response variable can also be due to interaction effects, which means that the response is dependent not only on certain individual features (main effects), but also on the combination of certain features (interaction effects). This combination of features in a model is represented by multiplying the feature values for each interaction term in the model (e.g., βx₁x₂) with a term coefficient.

Once interaction terms are included, the significance of the interactions in explaining the response, and whether to include them, can be determined through the usual methods such as p-value estimation. Note that there is a concept known as the hierarchy principle, which basically says that if an interaction is included in a model, the associated main effects should also be included.

While linear assumptions are often good enough and can produce adequate results, most real life feature/response relationships are nonlinear, and sometimes nonlinear models are required to get an acceptable level of accuracy. In this case, there are a wide variety of models to choose from.

Nonlinear models can include different degree polynomials, step functions, piecewise polynomials, splines, local regression (aka LOESS models), and generalized additive models (GAM). Due to the technical nature of nonlinear modeling, familiarity with the above model approaches by name should suffice for the purpose of this series.

Other notable model choices include decision trees, support vector machines (SVM), and artificial neural networks (modeled after biological neural networks, an interconnected system of neurons). Decision trees can be highly interpretable, while the latter two are black box and very complex technical methods. Decision trees involve creating a series of splits based on logical decisions, starting from the most important top-level node. Decision trees visually look like an upside down tree.

Here is an example of a decision tree created by Stephen Milborrow, which shows survival of passengers on board the Titanic. The term ‘sibsp’ is the number of spouses or siblings aboard, and the numbers under each leaf refer to the probability of survival and the percentage of the total observations (i.e., people on board). So the upper right leaf indicates that females that survived had a 73% chance of survival and represented 36% of those on board.

The final model selection decision discussed here is whether to leverage ensemble methods for additional performance gains. These methods combine models to produce a single consensus prediction or classification, and do so through averaging or voting techniques.

Some very common ensemble methods are bagging, boosting, and random forests. Random forests are essentially bagging applied to decision trees, with the additional element of random feature subset selection. Further discussion of these methods is out of scope of this series.

Model Tradeoffs

Model accuracy is determined in many ways, and will be discussed in detail later in this series. The primary measure of model accuracy comes from estimating the test error for a given model. The accuracy improvement goal of model selection is therefore to reduce the estimated test error.

It is important to note that the goal isn’t to find the absolute minimal error, but rather to find the simplest model that performs well enough. There are usually diminishing returns in trying the squeeze out the very last bit of performance. Given this, your choice of modeling approach won’t always be based on the one that results in the greatest degree of accuracy. Sometimes there are other important factors that must be taken into account as well, including interpretability, simplicity, speed, and scalability.

Often, it’s a tradeoff choosing whether prediction accuracy or model interpretability is more important for a given application. Artificial neural networks, support vector machines, and some ensemble methods can be used to create very accurate predictive models, but are very much of a black box except to highly specialized and technical individuals.

Black box algorithms may be preferred when predictive performance is the most important goal, and it’s not necessary to explain how the model works and makes predictions. In some cases however, model interpretability is preferred, and sometimes legally mandatory.

Here is an interpretability-driven example often seen in the financial industry. Suppose a machine learning algorithm is used to accept or reject an individual’s credit card application. If the applicant is rejected and decides to file a complaint or take legal action, the financial institution will need to explain how that decision was made. While that can be nearly impossible for a neural network or SVM system, it’s relatively straightforward for decision tree-based algorithms.

In terms of training, testing, processing, and prediction speed, some algorithms and model types take more time, and require greater computing power and memory than others. In some applications, speed and scalability are critical factors, particularly in any widely used, near real-time application (e.g., eCommerce site) where a model needs to be updated fairly regularly, and that performs predictions and/or classifications at scale on the fly.

Lastly, and as previously mentioned, model simplicity (or parsimony) should always be preferred unless there is a significant and justifiable gain in performance accuracy. Simplicity usually results in quicker, more scalable, and easier to interpret models and results.

Summary

We’ve now had a solid overview of the machine learning process from selecting data and features, through selecting appropriate models for a given problem type.

Chapter three of this series will continue with the machine learning process, and in particular will focus on model evaluation, performance, improvement, complexity, validation, and more.

Stay tuned!

By Alex Castrounis on February 8, 2016

About the Author: Alex Castrounis founded InnoArchiTech. Sign up for the InnoArchiTech newsletter and follow InnoArchiTech on Twitter at @innoarchitech for the latest content updates.

References

1. Wikipedia: Machine Learning
2. Wikipedia: Supervised Learning
3. Wikipedia: Unsupervised Learning
4. Wikipedia: List of machine learning concepts
5. Wikipedia: Feature Selection
6. Practical Machine Learning Online Course – Johns Hopkins University
7. Machine Learning Online Course – Stanford University
8. Statistical Learning Online Course – Stanford University
9. Wikipedia: Simple Linear Regression
10. Stephen Milborrow (Own work)

Source: http://www.innoarchitech.com/machine-learning-an-in-depth-non-technical-guide/

By Alex Castrounis

Chapters

1. Overview, goals, learning types, and algorithms
2. Data selection, preparation, and modeling
3. Model evaluation, validation, complexity, and improvement
4. Model performance and error analysis
5. Unsupervised learning, related fields, and machine learning in practice

Introduction

Welcome! This is the first chapter of a five-part series about machine learning.

Machine learning is a very hot topic for many key reasons, and because it provides the ability to automatically obtain deep insights, recognize unknown patterns, and create high performing predictive models from data, all without requiring explicit programming instructions.

Despite the popularity of the subject, machine learning’s true purpose and details are not well understood, except by very technical folks and/or data scientists.

This series is intended to be a comprehensive, in-depth, and non-technical guide to machine learning, and should be useful to everyone from business executives to machine learning practitioners. It covers virtually all aspects of machine learning (and many related fields) at a high level, and should serve as a sufficient introduction or reference to the terminology, concepts, tools, considerations, and techniques of the field.

This high level understanding is critical if ever involved in a decision-making process surrounding the usage of machine learning, how it can help achieve business and project goals, which machine learning techniques to use, potential pitfalls, and how to interpret the results.

Note that most of the topics discussed in this series are also directly applicable to fields such as predictive analytics, data mining, statistical learning, artificial intelligence, and so on.

Machine Learning Defined

The oft quoted and widely accepted formal definition of machine learning as stated by field pioneer Tom M. Mitchell is:

A computer program is said to learn from experience E with respect to some class of tasks T and performance measure P if its performance at tasks in T, as measured by P, improves with experience E

The following is my less formal way to describe machine learning.

Machine learning is a subfield of computer science, but is often also referred to as predictive analytics, or predictive modeling¹. Its goal and usage is to build new and/or leverage existing algorithms to learn from data, in order to build generalizable models that give accurate predictions, or to find patterns, particularly with new and unseen similar data.

Machine Learning Process Overview

Imagine a dataset as a table, where the rows are each observation (aka measurement, data point, etc), and the columns for each observation represent the features of that observation and their values.

At the outset of a machine learning project, a dataset is usually split into two or three subsets. The minimum subsets are the training and test datasets, and often an optional third validation dataset is created as well.

Once these data subsets are created from the primary dataset, a predictive model or classifier is trained using the training data, and then the model’s predictive accuracy is determined using the test data.

As mentioned, machine learning leverages algorithms to automatically model and find patterns in data, usually with the goal of predicting some target output or response. These algorithms are heavily based on statistics and mathematical optimization.

Optimization is the process of finding the smallest or largest value (minima or maxima) of a function, often referred to as a loss, or cost function in the minimization case¹⁰. One of the most popular optimization algorithms used in machine learning is called gradient descent, and another is known as the the normal equation.

In a nutshell, machine learning is all about automatically learning a highly accurate predictive or classifier model, or finding unknown patterns in data, by leveraging learning algorithms and optimization techniques.

Types of Learning

The primary categories of machine learning are supervised, unsupervised, and semi-supervised learning. We will focus on the first two in this article.

In supervised learning, the data contains the response variable (label) being modeled, and with the goal being that you would like to predict the value or class of the unseen data. Unsupervised learning involves learning from a dataset that has no label or response variable, and is therefore more about finding patterns than prediction.

As i’m a huge NFL and Chicago Bears fan, my team will help exemplify these types of learning! Suppose you have a ton of Chicago Bears data and stats dating from when the team became a chartered member of the NFL (1920) until the present (2016).

Imagine that each row of the data is essentially a team snapshot (or observation) of relevant statistics for every game since 1920. The columns in this case, and the data contained in each, represent the features (values) of the data, and may include feature data such as game date, game opponent, season wins, season losses, season ending divisional position, post-season berth (Y/N), post-season stats, and perhaps stats specific to the three phases of the game: offense, defense, and special teams.

In the supervised case, your goal may be to use this data to predict if the Bears will win or lose against a certain team during a given game, and at a given field (home or away). Keep in mind that anything can happen in football in terms of pre and game-time injuries, weather conditions, bad referee calls, and so on, so take this simply as an example of an application of supervised learning with a yes or no response (prediction), as opposed to determining the probability or likelihood of ‘Da Bears’ getting the win.

Since you have historic data of wins and losses (the response) against certain teams at certain football fields, you can leverage supervised learning to create a model to make that prediction.

Now suppose that your goal is to find patterns in the historic data and learn something that you don’t already know, or group the team in certain ways throughout history. To do so, you run an unsupervised machine learning algorithm that clusters (groups) the data automatically, and then analyze the clustering results.

With a bit of analysis, one may find that these automatically generated clusters seemingly groups the team into the following example categories over time:

• Strong defense, weak running offense, strong passing offense, weak special teams, playoff berth
• Strong defense, strong running offense, weak passing offense, average special teams, playoff berth
• Weak defense, strong all-around offense, strong special teams, missed the playoffs
• and so on

An example of unsupervised cluster analysis would be to find a potential reason why they missed the playoffs in the third cluster above. Perhaps due to the weak defense? Bears have traditionally been a strong defensive team, and some say that defense wins championships. Just saying…

In either case, each of the above classifications may be found to relate to a certain time frame, which one would expect. Perhaps the team was characterized by one of these groupings more than once throughout their history, and for differing periods of time.

To characterize the team in this way without machine learning techniques, one would have to pour through all historic data and stats, manually find the patterns and assign the classifications (clusters) for every year taking all data into account, and compile the information. That would definitely not be a quick and easy task.

Alternatively, you could write an explicitly coded program to pour through the data, and that has to know what team stats to consider, what thresholds to take into account for each stat, and so forth. It would take a substantial amount of time to write the code, and different programs would need to be written for every problem needing an answer.

Or… you can employ a machine learning algorithm to do all of this automatically for you in a few seconds.

Machine Learning Goals and Outputs

Machine learning algorithms are used primarily for the following types of output:

• Clustering (Unsupervised)
• Two-class and multi-class classification (Supervised)
• Regression: Univariate, Multivariate, etc. (Supervised)
• Anomaly detection (Unsupervised and Supervised)
• Recommendation systems (aka recommendation engine)

Specific algorithms that are used for each output type are discussed in the next section, but first, let’s give a general overview of each of the above output, or problem types.

As discussed, clustering is an unsupervised technique for discovering the composition and structure of a given set of data. It is a process of clumping data into clusters to see what groupings emerge, if any. Each cluster is characterized by a contained set of data points, and a cluster centroid. The cluster centroid is basically the mean (average) of all of the data points that the cluster contains, across all features.

Classification problems involve placing a data point (aka observation) into a pre-defined class or category. Sometimes classification problems simply assign a class to an observation, and in other cases the goal is to estimate the probabilities that an observation belongs to each of the given classes.

A great example of a two-class classification is assigning the class of Spam or Ham to an incoming email, where ham just means ‘not spam’. Multi-class classification just means more than two possible classes. So in the spam example, perhaps a third class would be ‘Unknown’.

Regression is just a fancy word for saying that a model will assign a continuous value (response) to a data observation, as opposed to a discrete class. A great example of this would be predicting the closing price of the Dow Jones Industrial Average on any given day. This value could be any number, and would therefore be a perfect candidate for regression.

Note that sometimes the word regression is used in the name of an algorithm that is actually used for classification problems, or to predict a discrete categorical response (e.g., spam or ham). A good example is logistic regression, which predicts probabilities of a given discrete value.

Another problem type is anomaly detection. While we’d love to think that data is well behaved and sensible, unfortunately this is often not the case. Sometimes there are erroneous data points due to malfunctions or errors in measurement, or sometimes due to fraud. Other times it could be that anomalous measurements are indicative of a failing piece of hardware or electronics.

Sometimes anomalies are indicative of a real problem and are not easily explained, such as a manufacturing defect, and in this case, detecting anomalies provides a measure of quality control, as well as insight into whether steps taken to reduce defects have worked or not. In either case, there are times where it is beneficial to find these anomalous values, and certain machine learning algorithms can be used to do just that.

The final type of problem is addressed with a recommendation system, or also called recommendation engine. Recommendation systems are a type of information filtering system, and are intended to make recommendations in many applications, including movies, music, books, restaurants, articles, products, and so on. The two most common approaches are content-based and collaborative filtering.

Two great examples of popular recommendation engines are those offered by Netflix and Amazon. Netflix makes recommendations in order to keep viewers engaged and supplied with plenty of content to watch. In other words, to keep people using Netflix. They do this with their “Because you watched …”, “Top Picks for Alex”, and “Suggestions for you” recommendations.

Amazon does a similar thing in order to increase sales through up-selling, maintain sales through user engagement, and so on. They do this through their “Customers Who Bought This Item Also Bought”, “Recommendations for You, Alex”, “Related to Items You Viewed”, and “More Items to Consider” recommendations.

Machine Learning Algorithms

We’ve now covered the machine learning problem types and desired outputs. Now we will give a high level overview of relevant machine learning algorithms.

Here is a list of algorithms, both supervised and unsupervised, that are very popular and worth knowing about at a high level. Note that some of these algorithms will be discussed in greater depth later in this series.

Supervised Regression

• Simple and multiple linear regression
• Decision tree or forest regression
• Artificial Neural networks
• Ordinal regression
• Poisson regression
• Nearest neighbor methods (e.g., k-NN or k-Nearest Neighbors)

Supervised Two-class & Multi-class Classification

• Logistic regression and multinomial regression
• Artificial Neural networks
• Decision tree, forest, and jungles
• SVM (support vector machine)
• Perceptron methods
• Bayesian classifiers (e.g., Naive Bayes)
• Nearest neighbor methods (e.g., k-NN or k-Nearest Neighbors)
• One versus all multiclass

Unsupervised

• K-means clustering
• Hierarchical clustering

Anomaly Detection

• Support vector machine (one class)
• PCA (Principle component analysis)

Note that a technique that’s often used to improve model performance is to combine the results of multiple models. This approach leverages what’s known as ensemble methods, and random forests are a great example (discussed later).

If nothing else, it’s a good idea to at least familiarize yourself with the names of these popular algorithms, and have a basic idea as to the type of machine learning problem and output that they may be well suited for.

Summary

Machine learning, predictive analytics, and other related topics are very exciting and powerful fields.

While these topics can be very technical, many of the concepts involved are relatively simple to understand at a high level. In many cases, a simple understanding is all that’s required to have discussions based on machine learning problems, projects, techniques, and so on.

Chapter two of this series will provide an introduction to model performance, cover the machine learning process, and discuss model selection and associated tradeoffs in detail.

Stay tuned!

By Alex Castrounis on January 27, 2016

About the Author: Alex Castrounis founded InnoArchiTech. Sign up for the InnoArchiTech newsletter and follow InnoArchiTech on Twitter at @innoarchitech for the latest content updates.

References

1. Wikipedia: Machine Learning
2. Wikipedia: Supervised Learning
3. Wikipedia: Unsupervised Learning
4. Wikipedia: List of machine learning concepts
5. A Tour of Machine Learning Algorithms – Machine Learning Mastery
6. Common Machine Learning Algorithms – Analytics Vidhya
7. A Tour of Machine Learning Algorithms – Data Science Central
8. How to choose algorithms for Microsoft Azure Machine Learning
9. Wikipedia: Gradient Descent
10. Wikipedia: Loss Function
11. Wikipedia: Recommender System