Transcript ppt - CUNY

Lecture 4: Logistic Regression
Machine Learning
CUNY Graduate Center
Today
• Linear Regression
– Bayesians v. Frequentists
– Bayesian Linear Regression
• Logistic Regression
– Linear Model for Classification
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Regularization:
Penalize large weights
• Introduce a penalty term in the loss
function.
Regularized Regression
(L2-Regularization or Ridge Regression)
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More regularization
• The penalty term
defines the styles of
regularization
• L2-Regularization
• L1-Regularization
• L0-Regularization
– L0-norm is the
optimal subset of
features
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Curse of dimensionality
• Increasing dimensionality of features increases the
data requirements exponentially.
• For example, if a single feature can be accurately
approximated with 100 data points, to optimize the
joint over two features requires 100*100 data points.
• Models should be small relative to the amount of
available data
• Dimensionality reduction techniques – feature
selection – can help.
– L0-regularization is explicit feature selection
– L1- and L2-regularizations approximate feature selection.
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Bayesians v. Frequentists
• What is a probability?
• Frequentists
– A probability is the likelihood that an event will happen
– It is approximated by the ratio of the number of observed events to the
number of total events
– Assessment is vital to selecting a model
– Point estimates are absolutely fine
• Bayesians
– A probability is a degree of believability of a proposition.
– Bayesians require that probabilities be prior beliefs conditioned on data.
– The Bayesian approach “is optimal”, given a good model, a good prior
and a good loss function. Don’t worry so much about assessment.
– If you are ever making a point estimate, you’ve made a mistake. The
only valid probabilities are posteriors based on evidence given some
prior
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Bayesian Linear Regression
• The previous MLE derivation of linear regression uses
point estimates for the weight vector, w.
• Bayesians say, “hold it right there”.
– Use a prior distribution over w to estimate parameters
• Alpha is a hyperparameter over w, where alpha is the
precision or inverse variance of the distribution.
• Now optimize:
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Optimize the Bayesian posterior
As usual it’s easier to optimize after a log transform.
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Optimize the Bayesian posterior
As usual it’s easier to optimize after a log transform.
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Optimize the Bayesian posterior
Ignoring terms that do not depend on w
IDENTICAL formulation as L2-regularization
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Context
• Overfitting is bad.
• Bayesians vs. Frequentists
– Is one better?
– Machine Learning uses techniques from both
camps.
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Logistic Regression
• Linear model applied to classification
• Supervised: target information is available
– Each data point xi has a corresponding target
ti.
• Goal: Identify a function
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Target Variables
• In binary classification, it is convenient to represent ti
as a scalar with a range of [0,1]
– Interpretation of ti as the likelihood that xi is the member of
the positive class
– Used to represent the confidence of a prediction.
• For L > 2 classes, ti is often represented as a K
element vector.
– tij represents the degree of membership in class j.
– |ti| = 1
– E.g. 5-way classification vector:
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Graphical Example of Classification
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Decision Boundaries
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Graphical Example of Classification
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Classification approaches
• Generative
– Models the joint distribution
between c and x
– Highest data requirements
• Discriminative
– Fewer parameters to approximate
• Discriminant Function
– May still be trained probabilistically,
but not necessarily modeling a
likelihood.
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Treating Classification as a
Linear model
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Relationship between
Regression and Classification
• Since we’re classifying two classes, why not
set one class to ‘0’ and the other to ‘1’ then
use linear regression.
– Regression: -infinity to infinity, while class labels
are 0, 1
• Can use a threshold, e.g.
– y >= 0.5 then class 1
– y < 0.5 then class 2
1
Happy/Good/ClassA
f(x)>=0.5?
Sad/Not Good/ClassB
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Odds-ratio
• Rather than thresholding, we’ll relate the
regression to the class-conditional
probability.
• Ratio of the odd of prediction y = 1 or y = 0
– If p(y=1|x) = 0.8 and p(y=0|x) = 0.2
– Odds ratio = 0.8/0.2 = 4
• Use a linear model to predict odds rather
than a class label.
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Logit – Log odds ratio function
• LHS: 0 to infinity
• RHS: -infinity to
infinity
• Use a log function.
– Has the added bonus
of disolving the
division leading to
easy manipulation
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Logistic Regression
• A linear model used to predict log-odds
ratio of two classes
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Logit to probability
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Sigmoid function
• Squashing function to map the reals to a
finite domain.
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Gaussian Class-conditional
• Assume the data is generated from a
gaussian distribution for each class.
• Leads to a bayesian formulation of logistic
regression.
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Bayesian Logistic Regression
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Maximum Likelihood Extimation
Logistic Regression
• Class-conditional Gaussian.
• Multinomial Class distribution.
• As ever, take the derivative of this
likelihood function w.r.t.
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Maximum Likelihood Estimation
of the prior
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Maximum Likelihood Estimation
of the prior
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Maximum Likelihood Estimation
of the prior
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Discriminative Training
• Take the derivatives w.r.t.
– Be prepared for this for homework.
• In the generative formulation, we need to
estimate the joint of t and x.
– But we get an intuitive regularization
technique.
• Discriminative Training
– Model p(t|x) directly.
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What’s the problem with
generative training
• Formulated this way, in D dimensions, this
function has D parameters.
• In the generative case, 2D means, and
D(D+1)/2 covariance values
• Quadratic growth in the number of
parameters.
• We’d rather linear growth.
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Discriminative Training
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Optimization
• Take the gradient in terms of w
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Optimization
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Optimization
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Optimization
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Optimization: putting it together
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Optimization
• We know the gradient of the error function,
but how do we find the maximum value?
• Setting to zero is nontrivial
• Numerical approximation
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Gradient Descent
• Take a guess.
• Move in the direction of the negative
gradient
• Jump again.
• In a convex function this will converge
• Other methods include Newton-Raphson
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Multi-class discriminant
functions
• Can extend to multiple classes
• Other approaches include constructing K-1
binary classifiers.
• Each classifier compares cn to not cn
• Computationally simpler, but not without
problems
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Exponential Model
• Logistic Regression is a type of
exponential model.
– Linear combination of weights and features to
produce a probabilistic model.
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Problems with Binary
Discriminant functions
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K-class discriminant
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Entropy
• Measure of uncertainty, or Measure of
“Information”
• High uncertainty equals high entropy.
• Rare events are more “informative” than
common events.
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Entropy
• How much information is received when
observing ‘x’?
• If independent, p(x,y) = p(x)p(y).
– H(x,y) = H(x) + H(y)
– The information contained in two unrelated
events is equal to their sum.
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Entropy
• Binary coding of p(x): -log p(x)
– “How many bits does it take to represent a
value p(x)?”
– How many “decimal” places? How many
binary decimal places?
• Expected value of observed information
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Examples of Entropy
• Uniform distributions have higher
distributions.
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Maximum Entropy
• Logistic Regression is also known as
Maximum Entropy.
• Entropy is convex.
– Convergence Expectation.
• Constrain this optimization to enforce good
classification.
• Increase maximum likelihood of the data
while making the distribution of weights most
even.
– Include as many useful features as possible.
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Maximum Entropy with
Constraints
•
From Klein and Manning Tutorial
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Optimization formulation
• If we let the weights represent likelihoods
of value for each feature.
For each feature i
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Solving MaxEnt formulation
• Convex optimization with a concave
objective function and linear constraints.
• Lagrange Multipliers
Dual representation of the
maximum likelihood estimation of
Logistic Regression
For each feature i
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Summary
• Bayesian Regularization
– Introduction of a prior over parameters serves to
constrain weights
• Logistic Regression
–
–
–
–
Log odds to construct a linear model
Formulation with Gaussian Class Conditionals
Discriminative Training
Gradient Descent
• Entropy
– Logistic Regression as Maximum Entropy.
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Next Time
• Graphical Models
• Read Chapter 8.1, 8.2
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