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VSSML17 Review. Summary Day 1 Sessions

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Valencian Summer School in Machine Learning 2017 - Day 1
Lectures Review: Summary Day 1 Sessions. By Mercè Martín (BigML).
https://bigml.com/events/valencian-summer-school-in-machine-learning-2017

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VSSML17 Review. Summary Day 1 Sessions

  1. 1. Class summary
  2. 2. BigML, Inc. 2 Day 1 – Morning sessions Class su
  3. 3. BigML, Inc. 3 Introduction, models and evaluations Charles Parker ● Experts who extract some rules to predict new results ● Programmers who tailor a computer program that predicts following the expert's rules. ● Non easily scalable to the entire organization ● Data (often easily to be found and more accurate than the expert) ● ML algorithms (faster, more modular, measurable performance) ● Scalable to the entire organization What is your company's strategy based on? Expert-driven decisions Data-driven decisions
  4. 4. BigML, Inc. 4 Introduction, models and evaluations When data-driven decisions are a good idea ● Experts are hard to find or expensive ● Expert knowledge is difficult to be programmed into production environments accurately/quickly enough ● Experts cannot explain how they do it: character or speech recognition ● There's a performance-critical hand-made system ● Highly personalized applications using huge amounts of data. ● Experts are easily found and cheap ● Expert knowledge is easily programmed into production environments ● The data is difficult or expensive to acquire When data-driven decisions are a bad idea
  5. 5. BigML, Inc. 5 Introduction, models and evaluations Steps to create a ML program from data ● Acquiring data In tabular format: each row stores the information about the thing that has a property that you want to predict. Each column is a different attribute (field or feature). ● Defining the objective (SL) The property that you are trying to predict ● Using an ML algorithm The algorithm builds a program (the model or classifier) whose inputs are the attributes of the new instance to be predicted and whose output is the predicted value for the target field (the objective).
  6. 6. BigML, Inc. 6 Introduction, models and evaluations Modeling: creating a program with an ML algorithm ● The algorithm searches in a Hypothesis Space the set of variables that best fits your data Examples of Hypothesis Spaces: ● Logistic regression: Features coefficients + bias ● Neural network: weights for the nodes in the network ● Support vector machines: coefficients on each training point ● Decision trees: combination of features ranges
  7. 7. BigML, Inc. 7 Introduction, models and evaluations Decision tree construction ● What question splits better you data? try all possible splits and choose the one that achieves more purity ● When should we stop? When the subset is totally pure When the size reaches a predetermined minimum When the number of nodes or tree depth is too large When you can’t get any statistically significant improvement ● Nodes that don’t meet the latter criteria can be removed after tree construction via pruning The recursive algorithm analyzes the data to find
  8. 8. BigML, Inc. 8 Introduction, models and evaluations Visualizing a decision tree Root node (split at petal length=2.45) Branches Leaf (splitting stops)
  9. 9. BigML, Inc. 9 Introduction, models and evaluations Decision tree outputs ● Prediction: Start from the root node. Use the inputs to answer the question associated to each node you reach. The answer will decide which branch will be used to descend the tree. If you reach a leaf node, the majority class in the leaf will be the prediction. ● Confidence: Degree of reliability of the prediction. Depends on the purity of the final node and the number of instances that it classifies. ● Field importance: Which field is more decisive in the model's classification. Depends on the number of times it is used as the best split and the error reduction it achieves. Inputs: values of the features for a new instance
  10. 10. BigML, Inc. 10 Introduction, models and evaluations Evaluating your models ● Testing your model with new data is the key to measure its performance. Never evaluate with training data! ● Simplest approach: split your data into a training dataset and a test dataset (80-20% usually) ● Advanced approach: to avoid biased splits, do it repeatedly and average evaluations or k-fold cross-validate. ● Accuracy is not a good metric when classes are unbalanced. Use the confusion matrix instead or phi, F1- score or balanced accuracy. Which evaluation metric to choose?
  11. 11. BigML, Inc. 11 ● Confusion matrix can tell the number of correctly classified (TP, TN) or misclassified instances (FP, FN) but this does not tell you how misclassifications will impact your business. ● You can change the probability threshold for the prediction of the positive class to improve your results according to the domain needs. ● As a domain expert, you can assign a cost to each FP or FN (cost matrix). This cost/gain ratio is the significant performance measure for your models. Introduction, models and evaluations Domain specific evaluation
  12. 12. BigML, Inc. 12 ● Ensembles are groups of different models built on samples of data. ● Randomness is introduced in the models. Each model is a good approximation for a different random sample of data. ● A single ML Algorithm may not adapt nicely to some datasets. Combining different models can. ● Combining models can reduce the over-fitting caused by anomalies, errors or outliers. ● The combination of several accurate models gets us closer to the real model. Ensembles and Logistic Regressions Can a group of weaker models outperform a stronger single model? Poul Petersen
  13. 13. BigML, Inc. 13 ● Decision Forest (bagging) models are built on random samples (with replacement) of n instances. ● Random Decision Forest in addition to the random samples of bagging, the models are built by choosing randomly the candidate features at each split (random candidates). ● Plurality majority wins ● Confidence weighted each vote is weighted by confidence and majority wins ● Probability weighted each tree votes according to the distribution at its prediction node ● K-Threshold a class is predicted only if enough models vote for it ● Confidence Threshold votes for a class are only computed if their confidence is over the threshold Ensembles and Logistic Regressions Types of ensembles: Decision Forests Types of combinations
  14. 14. BigML, Inc. 14 ● Each model is computing corrections to the previous predictions. Therefore, the final prediction adds up the individual model predictions and models need to be computed in a serial way. ● Weights ● Missing splits ● Node threshold Ensembles and Logistic Regressions Types of ensembles: Boosting Parameters Number of models Deterministic or random sampling Replacement Random candidates (RDF) Number of iterations Early out of bag Early holdout Learning rate DF / RDF Boosting
  15. 15. BigML, Inc. 15 ● How many trees / iterations? ● How many nodes? ● Missing splits? ● Random Candidates? ● SMACdown: automatic optimization of ensembles by exploring the configuration space. ● Stacked generalization: Building different models and creating a meta-model to choose the optimal for each prediction. Ensembles and Logistic Regressions Configuration parameters Too many parameters? Complex algorithms?Automate!
  16. 16. BigML, Inc. 16 ● Regressions are typically used to relate two numeric variables ● But using the proper function we can relate discrete variables too Ensembles and Logistic Regressions How comes we use a regression to classify? Logistic Regression is a classification ML Algorithm
  17. 17. BigML, Inc. 17 ● We should use feature engineering to transform raw features in linearly related predictors, if needed. ● The ML algorithm searches for the coefficients to solve the problem by transforming it into a linear regression problem In general, the algorithm will find a coefficient per feature plus a bias coefficient and a missing coefficient Ensembles and Logistic Regressions Assumption: The output is linearly related to the predictors.
  18. 18. BigML, Inc. 18 Default numeric: Replaces missing numeric values. Missing numeric: Adds a field for missing numerics. Bias: Allows an intercept term. Important if P(x=0) != 0 Strength “C”: Higher values reduce regularization. Regularization L1: prefers zeroing individual coefficients L2: prefers pushing all coefficients towards zero EPS: The minimum error between steps to stop. Auto-scaling: Ensures that all features contribute equally. Recommended unless there is a specific need to not auto- scale. Ensembles and Logistic Regressions Configuration parameters
  19. 19. BigML, Inc. 19 • Multi-class LR: Each class has its own LR computed as a binary problem (one-vs-the-rest). A set of coefficients is computed for each class. • Non-numeric predictors: As LR works for numeric predictors, the algorithm needs to do some encoding of the non-numeric features to be able to use them. These are the field-encodings. – Categorical: one-shot, dummy encoding, contrast encoding – Text and Items: frequencies of terms ● Curvilinear LR: adding quadratic features as new features Ensembles and Logistic Regressions Extending the domain for the algorithm
  20. 20. BigML, Inc. 20 Ensembles and Logistic Regressions Logistic Regressions versus Decision Trees ● Expects a "smooth" linear relationship with predictors ● L R i s c o n c e r n e d w i t h probability of a discrete outcome. ● Lots of parameters to get wrong: regularization, scaling, codings ● Slightly less prone to over- fitting ● Because fits a shape, might work better when less data available. ● Adapts well to ragged non- linear relationships ● No concern: classification, regression, multi-class all fine. ● Virtually parameter free ● Slightly more prone to over- fitting ● Prefers surfaces parallel to parameter axes, but given enough data will discover any shape.
  21. 21. BigML, Inc. 21 Day 1 – Evening sessions
  22. 22. BigML, Inc. 22 ● Clustering is a ML technique designed to find and group of similar instances in your data. ● It's unsupervised learning, as opposed to supervised learning algorithms, like decision trees, where training data has been labeled and the model learns to predict that label. Clusters are built on raw data. ● Goal: finding k clusters in which similar data can be grouped together. Data in each cluster is similar self similar and dissimilar to the rest. Clusters and Anomaly Detection Clusters: looking for similarity Poul Petersen
  23. 23. BigML, Inc. 23 ● Customer segmentation: grouping users to act on each group differently ● Item discovery: grouping items to find similar alternatives ● Similarity: Grouping products or cases to act on each group differently ● Recommender: grouping products to recommend similar ones ● Active learning: grouping partially labeled data as alternative to labeling each instance Clustering can help us to identify new features shared by the data in the groups Clusters and Anomaly Detection Use cases
  24. 24. BigML, Inc. 24 ● K-means: The number of expected groups is given by the user. The algorithm starts using random data points as centers. – K++: the first center is chosen randomly from instances and each subsequent center is chosen from the remaining instances with probability proportional to its squared distance from the point's closest existing cluster center Clusters and Anomaly Detection Types of clustering algorithm The algorithm computes distances based on each instance features. Each instance is assigned to the nearest center or centroid. Centroids are recalculated as the center of all the data points in each cluster and process is repeated till the groups converge. ● G-means: The number of groups is also determined by the algorithm. Starting from k=2, each group is split if the data distribution in it is not Gaussian-like.
  25. 25. BigML, Inc. 25 How distance between two instances is defined? For clustering to work we need a distance function that must be computable for all the features in your data. Scaled euclidean distance is used for numeric features. What about the rest of field types? Categorical: Features contribute to the distance if categories for both points are not the same Text and Items: Words are parsed and its frequencies are stored in a vector format. Cosine distance (1 – cosine similarity) is computed. Missing values: Distance to a missing value cannot be defined. Either you ignore the instances with missing values or you previously assign a common value (mean, median, zero, etc.) Clusters and Anomaly Detection Extending clustering to different data types
  26. 26. BigML, Inc. 26 K-means: (user inputs k) k groups of self-similar instances Centroids describing the instances in each group Models describing the features that determine whether an instance belongs to a cluster. G-means: (assuming gaussian clusters) The optimal number of clusters (no need for the user to set it) Centroids describing the instances In each group Models describing the features that determine whether an instance belongs to a cluster. Clusters and Anomaly Detection Clusters output
  27. 27. BigML, Inc. 27 ● Anomaly detectors use ML algorithms designed to single out instances in your data which do not follow the general pattern. ● As clustering, they fall into the unsupervised learning category, so no labeling is required. Anomaly detectors are built on raw data. ● Goal: Assigning to each data instance an anomaly score, ranging from 0 to 1, where 0 means very similar to the rest of instances and 1 means very dissimilar (anomalous). Clusters and Anomaly Detection Anomaly detection: looking for the unusual Poul Petersen
  28. 28. BigML, Inc. 28 ● Unusual instance discovery ● Intrusion Detection: users whose behaviour does not comply to the general pattern may indicate an intrusion ● Fraud: Cluster per profile and look for anomalous transactions at different levels (card, user, user groups) ● Identify Incorrect Data ● Remove Outliers ● Model Competence / Input Data Drift: Models performance can be downgraded because new data has evolved to be statistically different. Check the prediction's anomaly score. Clusters and Anomaly Detection Use cases
  29. 29. BigML, Inc. 29 Clusters and Anomaly Detection Statistical anomaly indicators ● Univariate-approach: Given a single variable, and assuming normal distribution (Gaussian). Compute the standard deviation and choose a multiple of it as threshold to define what's anomalous. ● Benford's law: In real-life numeric sets the small digits occur disproportionately often as leading significant digits.
  30. 30. BigML, Inc. 30 Clusters and Anomaly Detection Isolation forests ● Train several random decision trees that over-fit data till each instance is completely isolated ● Use the medium depth of these trees as threshold to compute the anomaly score, a number from 0 to 1 where 0 is similar and 1 is dissimilar ● New instances are run through the trees and assigned an anomaly score according to the average depth they reach
  31. 31. BigML, Inc. 31 Clusters and Anomaly Detection Anomaly Detector output ● Subset of instances that don’t comply with the general patterns in the dataset. ● Each anomalous instance has information about which fields makes it anomalous.
  32. 32. BigML, Inc. 32 ● Association Discovery is an unsupervised technique, like clustering and anomaly detection. ● Uses the “Magnum Opus” algorithm by Geoff Webb Association Discovery Poul Petersen Looking for “interesting” relations between variables date customer account auth class zip amount Mon Bob 3421 pin clothes 46140 135 Tue Bob 3421 sign food 46140 401 Tue Alice 2456 pin food 12222 234 Wed Sally 6788 pin gas 26339 94 Wed Bob 3421 pin tech 21350 2459 Wed Bob 3421 pin gas 46140 83 Tue Sally 6788 sign food 26339 51 {class = gas} amount < 100 {customer = Bob, account = 3421} zip = 46140 Antecedent Consequent
  33. 33. BigML, Inc. 33 Association Discovery Use Cases Market Basket Analysis Web usage patterns Intrusion detection Fraud detection Bioinformatics Medical risk factors
  34. 34. BigML, Inc. 34 ● Very high support patterns can be spurious ● Very infrequent patterns can be significant So the user selects the measure of interest System finds the top-k associations on that measure within constraints – Must be statistically significant interaction between antecedent and consequent – Every item in the antecedent must increase the strength of association Association Discovery It turns out that: Problems with frequent pattern mining ● Often results in too few or too many patterns ● Some high value patterns are infrequent, etc.
  35. 35. BigML, Inc. 35 Association Discovery Measures: Coverage Support Confidence Lift Leverage Support/ Coverage Ratio Difference
  36. 36. BigML, Inc. 36 Association Discovery Output: meaningful relations and metrics
  37. 37. BigML, Inc. 37 A document can be analyzed from different levels ● According to its terms (one or more words) ● According to its topics (distributions of terms ~ semantics) ● Documents are generated by repeatedly drawing a topic and a term in that topic at random ● Goal: To infer the topic distribution How? Dirichlet Process is used to model the term| topic, and topic|document distributions Latent Dirichlet Allocation Thinking of documents in terms of Topics Generative Models for documents
  38. 38. BigML, Inc. 39 ● Topics can reduce the feature space ● Are nicely interpretable ● Automatically tailored to the document ● Need to choose the number of topics ● Takes a lot of time to fit or do inference ● Takes a lot of text to make it meaningful ● Tends to focus on “meaningless minutiae” Latent Dirichlet Allocation Nice properties about topics Caveats
  39. 39. BigML, Inc. 40 ● Set of topics detected in the training collection of documents ● Terms related to each topic and their probability distibution ● Topic distribution to classify documents Latent Dirichlet Allocation Topic Models outputs

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