From 70d83f4469c1e655eebe6585eae42d3b88455206 Mon Sep 17 00:00:00 2001 From: ludwigbothmann <46222472+ludwigbothmann@users.noreply.github.com> Date: Thu, 21 Dec 2023 12:16:55 +0100 Subject: [PATCH] update svm pros cons and regu/inf theory changes --- .../slides-info-mutual-info.tex | 1 + .../slides-info-mutual-info2.tex | 3 + .../slides-info-sourcecoding.tex | 18 ++-- .../slides-nonlinsvm-uniapprox.tex | 77 ++++++++++++++++++ .../figure_man/path-ridge-vs-sgd-ali2020.png | Bin 0 -> 128378 bytes .../figure_man/ridge-vs-sgd-path.png | Bin 0 -> 68084 bytes .../rsrc/make_ridge_vs_sgd_path.py | 75 +++++++++++++++++ .../slides-regu-early-stopping.tex | 39 ++++++--- .../slides-regu-geom-l2-wdecay.tex | 5 +- slides/regularization/slides-regu-l1vsl2.tex | 3 +- .../slides-regu-nonlin-bayes.tex | 4 +- .../slides-regu-ridge-deepdive.tex | 47 +++++++++++ 12 files changed, 247 insertions(+), 25 deletions(-) create mode 100644 slides/regularization/figure_man/path-ridge-vs-sgd-ali2020.png create mode 100644 slides/regularization/figure_man/ridge-vs-sgd-path.png create mode 100644 slides/regularization/rsrc/make_ridge_vs_sgd_path.py diff --git a/slides/information-theory/slides-info-mutual-info.tex b/slides/information-theory/slides-info-mutual-info.tex index 3e22f9db..bc78df2b 100644 --- a/slides/information-theory/slides-info-mutual-info.tex +++ b/slides/information-theory/slides-info-mutual-info.tex @@ -229,6 +229,7 @@ \begin{aligned} I(X ; Y) &= H(X) - H(X | Y) \\ I(X ; Y) &= H(Y) - H(Y | X) \\ +I(X ; Y) &\leq \min\{H(X),H(Y)\} \\ I(X ; Y) &= H(X) + H(Y) - H(X, Y) \\ I(X ; Y) &= I(Y ; X) \\ I(X ; X) &= H(X)\\ diff --git a/slides/information-theory/slides-info-mutual-info2.tex b/slides/information-theory/slides-info-mutual-info2.tex index 68706fd7..0298bfd5 100644 --- a/slides/information-theory/slides-info-mutual-info2.tex +++ b/slides/information-theory/slides-info-mutual-info2.tex @@ -39,6 +39,9 @@ \textbf{Proof:}$\quad 0 \leq I(X ; Y)=H(X)-H(X | Y)$ Intuitively, the theorem says that knowing another random variable $Y$ can only reduce the uncertainty in $X$. Note that this is true only on the average. +\vspace{0.5cm} + +\textbf{Remark}: Because $H(X)\geq H(X|Y)$ and $H(X)$ is only bounded from below, $I(X ; Y)$ is unbounded from above (lives in all of $\mathbb{R}_{0}^{+}$) \framebreak diff --git a/slides/information-theory/slides-info-sourcecoding.tex b/slides/information-theory/slides-info-sourcecoding.tex index 2be52c14..4edd9f32 100644 --- a/slides/information-theory/slides-info-sourcecoding.tex +++ b/slides/information-theory/slides-info-sourcecoding.tex @@ -53,21 +53,21 @@ \scalebox{1.05}{\includegraphics{figure_man/length_same.png}} \tiny{\\ Credit: Chris Olah} \end{figure} - \item The length $L(x)$ is simply the number of bits in the corresponding codeword. In this example, all codewords have length 2. + \item Length $L(x)$ is simply number of bits in corresponding codeword. Here all codewords have length 2. \end{itemize} -\framebreak +%\framebreak - \begin{figure} - \centering - \scalebox{1}{\includegraphics{figure_man/length_same.png}} - \end{figure} +% \begin{figure} +% \centering +% \scalebox{1}{\includegraphics{figure_man/length_same.png}} +% \end{figure} \begin{itemize} - \item For this code, the expected length of a message emitted by the source is, naturally: + %\item For this code, the expected length of a message emitted by the source is, naturally: - $$\E[L(X)] = \frac{1}{2} \cdot 2 + \frac{1}{4} \cdot 2 + \frac{1}{8} \cdot 2 + \frac{1}{8} \cdot 2 = 2 \text{ bits.}$$ + %$$\E[L(X)] = \frac{1}{2} \cdot 2 + \frac{1}{4} \cdot 2 + \frac{1}{8} \cdot 2 + \frac{1}{8} \cdot 2 = 2 \text{ bits.}$$ - \item The area of a rectangle in the image on the right reflects the size of the corresponding term in the expectation. + \item Area of rectangles on the right reflect contributions to $\E[L(X)]$ \end{itemize} diff --git a/slides/nonlinear-svm/slides-nonlinsvm-uniapprox.tex b/slides/nonlinear-svm/slides-nonlinsvm-uniapprox.tex index 9d724ae6..77d54b83 100644 --- a/slides/nonlinear-svm/slides-nonlinsvm-uniapprox.tex +++ b/slides/nonlinear-svm/slides-nonlinsvm-uniapprox.tex @@ -115,6 +115,83 @@ \section{SVMs as Non-Parametric Models} \end{vbframe} +\begin{vbframe}{SVM -- Pro's \& Con's} + +\begin{columns}[T, totalwidth=\textwidth] + \begin{column}{0.5\textwidth} + \textbf{Advantages} + \normalsize + \begin{itemize} + % \item High \textbf{accuracy} + \item Often \textbf{sparse} solution (w.r.t. observations) + \item Robust against overfitting (\textbf{regularized}); especially in + high-dimensional space + \item \textbf{Stable} solutions (w.r.t. changes in train data)\\ + $\rightarrow$ Non-SV do not affect decision boundary + \item Convex optimization problem \\ + $\rightarrow$ local minimum $\hat{=}$ global minimum + %\item \textbf{memory efficient} (only use non-SVs) + \end{itemize} + + % \textbf{Advantages (nonlinear SVM)} + % \begin{itemize} + % \item Can learn \textbf{nonlinear decision boundaries} + % \item \textbf{Very flexible} due to custom kernels \\ + % $\rightarrow$ RBF kernel yields local model \\ + % $\rightarrow$ kernel for time series, strings etc. + % \end{itemize} + \end{column} + + \begin{column}{0.5\textwidth} + \textbf{Disadvantages} + \normalsize + \begin{itemize} + \item \textbf{Long} training times $\rightarrow O(n^2 p + n^3)$ + %\item \textbf{Limited scalability} to larger data sets + %\textcolor{blue}{\textbf{??}} + \item Confined to \textbf{linear model} + \item Restricted to \textbf{continuous features} + \item Optimization can also fail or get stuck + % \item Poor \textbf{interpretability} + %\item No handling of \textbf{missing} data + \end{itemize} + + % \textbf{Disadvantages (nonlinear SVM)} + % \begin{itemize} + % \item Poor \textbf{interpretability} due to complex kernel + % \item \textbf{Not easy tunable} as it is highly important to choose the right kernel (which also introduces further hyperparameters) + % \end{itemize} + \end{column} +\end{columns} + +\framebreak +\lz + +\begin{columns}[t, totalwidth=\textwidth] + \begin{column}{0.5\textwidth} + \textbf{Advantages (nonlinear SVM)} + \begin{itemize} + \item Can learn \textbf{nonlin. decision boundaries} + \item \textbf{Very flexible} due to custom kernels \\ + $\rightarrow$ RBF kernel yields local model \\ + $\rightarrow$ kernel for time series, strings etc. + \end{itemize} + \end{column} + + \begin{column}{0.5\textwidth} + \textbf{Disadvantages (nonlin. SVM)} + \begin{itemize} + \item Poor \textbf{interpretability} due to complex kernel + \item \textbf{Not easy tunable} as it is highly important to choose the right kernel (which also introduces further hyperparameters) + \end{itemize} + \end{column} +\end{columns} + +% \conclbox{Very accurate solution for high-dimensional data that is linearly +% separable} + +\end{vbframe} + \section{Kernels on Infinite-Dimensional Vector Spaces} diff --git a/slides/regularization/figure_man/path-ridge-vs-sgd-ali2020.png b/slides/regularization/figure_man/path-ridge-vs-sgd-ali2020.png new file mode 100644 index 0000000000000000000000000000000000000000..d012d39c1227b889fc328b159766a1cdf6f8e234 GIT binary patch literal 128378 zcmeFZ_dA=>|2S+^?NwWhqEyYQy=%8rmD*zO*c7p=_DmOAilS5zdk3*;QPc>D9eZyP z>q+~5e?H&u_520T56`)-JGt(hoV@PyI5fxEfotfH%ehgSt5zqBR7-IIDhG4sR2qw4;9;im~w z0r2o{3ZJU07=o>~XNhg-964|A-{0_@2K<@}>F20+ASKJc%dckmmBdXV`K#?7*6H(wu$HTYd^-ralK_5QBY)F7pLMo4)l}LDpdm{N z(OmAgrdTPF);#KEcsnrL=utw45_^UP6aUcVO1_7O6RrO!>!-1FvA|gGZ?C(1>rq6Udt4e zd9@2WBNl+@*7{msrW2scSuwr4XHW~NSL$yRkR+R}psZMOYVfi%6B5bPYtu&h?OhdL z`JsF&^xu=r<+ob@nV4E*6xNB0>1Dv7;G+Qn*6usI5A@voVt#d)0+=QT8!O{8mv8(OSk`IsHmhnxFukU5^GFeWj%)_*p5QNT8@k- zbM}-iQQ^XpEugVVW~&DE)Ia-LdFtw7qcpn_EX3it@w>X2=nq5Ty#a}7j8r!R#QPWB zyDon&>AV|oT&Ew*6u#>G3iOAC4w0+%RsH2}m%PTd3$0_%$=d}t2hviR+}>;L?i3&^ ze7#l~0(g$MLD*BDq{b-18sfa5nD6^b@zy?_%4yp@@ue8Qb@Af!r6)r2p~QJ&N z8TB?u)bQ7z?Guf=m-o~Y8~XN}|3JbB%D4Nxtl=@Sl1STM;e80Ho(FYpo)0GMaIEk8 zp@&Rb&kG!qmBiGdpt!IKis@-gh;M8F*khABc4_RRynW&_X0H@ZE)*UJ8B2pTueY&F zg*TTRp5AquD7VIj5DIMaH08yt=F<+MT`T>I`GF5ZdN|Q!@Y_S^0?eOoO(sqtLO$b{ zu7wV$$Xl~e9I5jN``Ew4DqEl2Si_RrDo;z?l}y>`B{ElrVnAQZ6_{(h$j1zY(fPwt zyR4lFzQmEIkr3 z#~Y@eZTzkCz}29wd>aC2Jw|IV>C~b%&hfY~Gh{6{OEA;mv|NsR>R&1>xQQw968JrQ zA4G<`?X}O(&zlm^&@e~8ZO@Wvap&J$dwA30N+R1ra=@R)@G6GD6yTqw)uf`Xh`x6%Dhg@an;de9X zy&<6S>^=_xY8~;+bj2IVfA+4><{!>ar&L--->P>SpLTQffDY@T8?@2n! zxr|<%mGWR)Uoq+_+@Sq0k-`N#$bIsNB@}1FVi5)Z$(BHi0?E!VxzHs}?>iCCvZHga zr&8@R2p4i-5+KF1+jD!f%yDxf@fqPwj`B7>50J!esn0aksQsmRNxqvr@9EAB@2W2_ zp;`Y7CglD&QhL?oVLXKPg6FTn}+KV$Fov20P573quF|LwUY536D`9aNY7Ew zCHTsO876GdUzmak`UNp<+pzuuW4Luz*2ZsEz#@0Np1@=u(0FG( zVWtq2=RbTlT52Z3cDdqqnHNCjJ08v+W=?MyNG2bDZY|QIFMBqcNjf2SrUDgwDYiUj zHWk!GNK~pA*Py%}H_00|zN02$iynTtk3Q7JoXrT|YI2V8`pN1tnMWMlX3FuK)AE+* zj&(GPvQQVcwa;fUmQz(|xBp`ejkb|TJk$JoLWY2&|KSf0?p>yE{D|-ip86m6ITZw3 zlJj_ z&L_)xM}i+a8y?KZ$i8grx|F=|UNvS8Jh(K+tZ zv@l(dWi6nxL1{VCTv!d_J25?8wcGE^N`6p5=%>7s`Hp4hyvFXe^X*0)U#@ z8xBz58mj zxctC?qb_&nO-_ZRI@f)4LcGOAl}j(RX??h8s&ykioQ8Zxd__Iaz-V;8M|$L_P`e+r zn^9?RDrc({um^nYqXYTj)0QO43cuppbZp>uZruep{P4Q$-6NgRs)8jsR-~z2m}St4 zluizUu}3KwwbKAaA;q}-U+Hv+xb*YH1K?xOnLm!SheB7;oDjnvkZ z>bxB{X+q`P?t6mi)$7*gdWo;hyQIFQG$yGHI4@lEY*npcf`BIS9A<~~D(A@Ie4Sy$ z$jEdmQ-W-40s0NK3A!5zFUGS@gh(7c*HmYh4^R453 zp=7vBGeyN(!Zr21P0alz##7PENX~R<-yE9ByG!&Is2o>vSpcv;sM2kBp+QA@v=)X_J}VJFrL?}+wy+owo2#v<>7#q>F@V5Gl^*q zLTB$Nc2BZo#`913efl&~_fg8*t8IuSj@5E=i2Npp3Mgf^w6@!_r@NouQy@xZXRJiOp$=0!u^o^l@=P9{ zpKB~!n&c$rX%9D5AOj7j%>PilT<@&)(+P1idSu4g2GI$Co{j_|i#2z9rA(j>H$%Nw zudd-PqF~mG&K{F3soj@QD@NF!{ZM{gw*OebSmlvmZTLhrNaQzPauwKxC>Kzn*s?`X z7xmKIjcDe}j#r(jLLz71%XW8_i2W#D3wpUx$KF^t?Yx3 zy;`d(j0Z!lLL?A;&~x*Uwzqv<^LdJv1jhi zK11ab;J|kQzoun`_dlHu09H;83Xgo^dU#8XTW|J|yfETj88KVfsI{91d59bfQ==;p zGQ5I4@ROd0OhxQgh)pLgp{o2-3wPo^-=iIpi z337~NbHyjZPS?ANwW}W{U96R@pB#bLL)QDMWdUyJA;NfYn`Z)>STtY01ot)9tC1h) zNH^Z?+i*`k*IYId$?_C?8bFI4z)0S{RwcG)v&gaki;AD$Bbs;)Rbtl=t%=D;NVw}3 z;j1%>&yt+dr8^-_)EWv$#Owm{jE<^rJ_98y2B&MwuyFej_uhacJ&&EF zD1CXJs;;5`}CRz^vVn!XOg>wQU*bG?X(z6vff(=u$v}j&w3>et; 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z|G<4S=gM2JDq@`MxsXb_9;u&oRS;`8h6s)N~b>4|9O|Ndt z=X8W003f>yv7T~wcee^^Fc03L3mjzWz(T#n6-S0TwI2=+x;#grmvkc#Z!SA4!7kXW zNWJIdN1|P*a8(B8@zCmYZefk${GZtLAqx(6m= zYiJO2tnecXloRc!j$#E(i0qPrKs(KR=?)2(E5nDl{ zc5dFhxda|gCK9b-`wO@J`t{tp_SC5q7T$dwli^&mbG`8^%-4uiqLPSTlfHr+))c~8 zhTCfh)`vV(qt=TbtS}Gq#OD+2<<5lal```LCQgV5o6OX zcwW_Q^2-lN0U&rM@QAzQxo?cl+HgVSGYfF)SrT|GLMD=bLod90|Bv`==WkN|-{1V- hM{fTY!QRICh1!)D2I6(qT^R76w78sDfr!4}{{VTD|4IM= literal 0 HcmV?d00001 diff --git a/slides/regularization/rsrc/make_ridge_vs_sgd_path.py b/slides/regularization/rsrc/make_ridge_vs_sgd_path.py new file mode 100644 index 00000000..449fb04c --- /dev/null +++ b/slides/regularization/rsrc/make_ridge_vs_sgd_path.py @@ -0,0 +1,75 @@ +import numpy as np +import matplotlib.pyplot as plt +from sklearn.utils import shuffle + +# Set the random seed for reproducibility +np.random.seed(6) + +# Function to generate data +def generate_data(n, p): + X = np.random.normal(0, 1, (n, p)) + true_coef = np.linspace(-1, 1, p) + noise = np.random.normal(0, 1, n) + y = X.dot(true_coef) + noise + return X, y, true_coef + +# Function to compute the ridge coefficients analytically +def compute_ridge_path(X, y, alphas): + coefs = [np.zeros(X.shape[1])] # Start with a row of zeros + n, p = X.shape + for alpha in alphas: + ridge_coefs = np.linalg.inv(X.T @ X + alpha * np.identity(p)) @ X.T @ y + coefs.append(ridge_coefs) + return np.array(coefs) + +# Function to compute the optimization trajectory for SGD +def compute_sgd_trajectory(X, y, batch_size, learning_rate, n_iter): + w = np.zeros(X.shape[1]) + coefs = [w.copy()] # Start with a row of zeros + for i in range(n_iter): + X_shuffled, y_shuffled = shuffle(X, y) + for j in range(0, n, batch_size): + X_batch = X_shuffled[j:j+batch_size] + y_batch = y_shuffled[j:j+batch_size] + gradient = -2 * X_batch.T @ (y_batch - X_batch @ w) / batch_size + w -= learning_rate * gradient + coefs.append(w.copy()) + return np.array(coefs) + +# Parameters +n = 100 +p = 10 +batch_size = 4 +learning_rate = 0.01 +n_iter = 50 +t_values = np.arange(0.001, n_iter + 1) # Include 0 in t_values for the zero coefficients +alphas = 1/(learning_rate * t_values[0:]) # Exclude 0 to avoid division by zero + +# Generate data +X, y, true_coef = generate_data(n, p) + +# Compute the regularization path for ridge regression +ridge_coefs = compute_ridge_path(X, y, alphas) + +# Compute the optimization trajectory for SGD +sgd_coefs = compute_sgd_trajectory(X, y, batch_size, learning_rate, n_iter) + +# Plotting +fig, axs = plt.subplots(1, 2, figsize=(14, 5)) +# Regularization path for ridge regression +# Skip the first element (0) in t_values for plotting to match dimensions with ridge_coefs +axs[0].plot(1/alphas, ridge_coefs[1:]) +axs[0].set_xlabel('1/(lr * lambda)', fontsize=18) +axs[0].set_ylabel('Parameters', fontsize=18) +axs[0].set_title('Ridge Regression Path', fontsize=22) + +# Optimization trajectory for SGD +# Use t_values for x-axis to include the initial zero coefficients +axs[1].plot(t_values, sgd_coefs) +axs[1].set_xlabel('iteration', fontsize=18) +axs[1].set_ylabel('Parameters', fontsize=18) +axs[1].set_title('SGD Trajectory', fontsize=22) + +plt.tight_layout() +plt.show() + diff --git a/slides/regularization/slides-regu-early-stopping.tex b/slides/regularization/slides-regu-early-stopping.tex index 38d53e1f..43def6d9 100644 --- a/slides/regularization/slides-regu-early-stopping.tex +++ b/slides/regularization/slides-regu-early-stopping.tex @@ -7,6 +7,7 @@ \newcommand{\learninggoals}{ \item Know how early stopping works \item Understand how early stopping acts as a regularizer + \item Know early stopping imitates $L2$ regularization in some cases } \title{Introduction to Machine Learning} @@ -39,7 +40,9 @@ \item Use parameters of the previous step for the actual model. \end{enumerate} More sophisticated forms also apply cross-validation. -\framebreak +\end{vbframe} + +\begin{vbframe}{Early Stopping and $L2$ \citebutton{Goodfellow et al., 2016, p. 249 ff.}{https://www.deeplearningbook.org/contents/regularization.html}} \begin{table} \begin{tabular}{p{4cm}|p{6cm}} Strengths & Weaknesses \\ @@ -49,18 +52,20 @@ \hline Applicable to almost any model without adjustment \note{of objective function, parameter space, training procedure} & Temporary copy of $\thetab$ (we have to save the whole model each time validation error improves) \\ \hline - Combinable with other regularization methods & Less data for training $\rightarrow$ include $\mathcal{D}_{\text{val}}$ afterwards + Combinable with other regularization methods & Less data for training $\rightarrow$ include $\mathcal{D}_{\text{val}}$ afterwards\\ \hline\hline \end{tabular} \end{table} \begin{itemize} - \item Relation between optimal early-stopping iteration $T_{\text{stop}}$ and weight-decay penalization parameter $\lambda$ for step-size $\alpha$ (see Goodfellow et al. (2016) page 251-252 for proof): - \end{itemize} - \begin{equation*} - T_{\text{stop}} \approx \frac{1}{\alpha \lambda} - \Leftrightarrow \lambda \approx \frac{1}{T_{\text{stop}} \alpha} - \end{equation*} + \item For simple case of LM with squared loss and GD optim initialized at $\thetab=0$: Early stopping has exact correspondence with $L2$ regularization/WD: %Relation between + optimal early-stopping iter $T_{\text{stop}}$ inversely proportional to $\lambda$ scaled by step-size $\alpha$ + + \end{itemize} +\begin{equation*} +T_{\text{stop}} \approx \frac{1}{\alpha \lambda} +\Leftrightarrow \lambda \approx \frac{1}{T_{\text{stop}} \alpha} +\end{equation*} \begin{itemize} - \item Small $\lambda$ (low penalization) $\Rightarrow$ high $T_{\text{stop}}$ (complex model / lots of updates). + \item Small $\lambda$ ( regu. $\downarrow$) $\Rightarrow$ large $T_{\text{stop}}$ (complexity $\uparrow$) and vice versa \end{itemize} \framebreak % \begin{itemize} @@ -75,14 +80,26 @@ \begin{figure} \centering \scalebox{0.75}{\includegraphics{figure_man/earlystop_int_hat.png}} - \tiny{\\ Credit: Goodfellow et al. (2016)\\} + \tiny{\\Goodfellow et al. (2016)\\} \end{figure} \footnotesize -\textbf{Figure:} An illustration of the effect of early stopping. \textit{Left:} The solid contour lines indicate the contours of the negative log-likelihood. The dashed line indicates the trajectory taken by SGD beginning from the origin. Rather than stopping at the point $\thetah$ that minimizes the risk, early stopping results in the trajectory stopping at an earlier point $\hat{\thetab}_{\text{Ridge}}$. \textit{Right:} An illustration of the effect of $L2$ regularization for comparison. The dashed circles indicate the contours of the $L2$ penalty which causes the minimum of the total cost to lie closer to the origin than the minimum of the unregularized cost. +\textbf{Figure:} Effect of early stopping. \textit{Left:} The solid lines indicate contours of the square loss objective. Dashed line indicates trajectory taken by GD initialized at origin. Instead of reaching minimizer $\thetah$, ES results in trajectory stopping earlier at $\hat{\thetab}_{\text{Ridge}}$. \textit{Right:} Effect of $L2$ regularization. Dashed circles indicate contours of $L2$ constraint which push minimizer of regularized cost closer to origin than minimizer of unregularized cost. \end{vbframe} +\begin{vbframe}{SGD Trajectory and $L2$ \citebutton{Ali et al., 2020}{https://proceedings.mlr.press/v119/ali20a/ali20a.pdf}} +Solution paths for $L2$ regularized linear model closely matches SGD trajectory of unregularized LM initialized at $\thetab=0$ +\lz + \begin{figure} + \centering + %\scalebox{0.75} + {\includegraphics{figure_man/ridge-vs-sgd-path.png}} + %\scriptsize{\\Ali et al. (2020)\\} + \end{figure} +\textbf{Caveat}: Initialization at the origin is crucial for this equivalence to hold, which is almost never used in practice in ML/DL applications + +\end{vbframe} \endlecture \end{document} \ No newline at end of file diff --git a/slides/regularization/slides-regu-geom-l2-wdecay.tex b/slides/regularization/slides-regu-geom-l2-wdecay.tex index 85430db9..f88736ed 100644 --- a/slides/regularization/slides-regu-geom-l2-wdecay.tex +++ b/slides/regularization/slides-regu-geom-l2-wdecay.tex @@ -88,8 +88,6 @@ The minimum of $\mathcal{\tilde R}_{\text{emp}}(\thetab)$ occurs where $\nabla_{\thetab}\mathcal{\tilde R}_{\text{emp}}(\thetab) = \bm{H}(\thetab - \thetah)$ is $0$. -\lz - Now we $L2$-regularize $\mathcal{\tilde R}_{\text{emp}}(\thetab)$, such that \[ \mathcal{\tilde R}_{\text{reg}}(\thetab) = \mathcal{\tilde R}_{\text{emp}}(\thetab) + \frac{\lambda}{2} \|\thetab\|^2_2\] @@ -104,6 +102,9 @@ % where $\id$ is the identity matrix. This gives us a formula to see how the minimizer of the $L2$-regularized version is a transformation of the minimizer of the unpenalized version. +\vspace{0.2cm} + +\textbf{Caveat}: Equivalence of weight decay and $L2$ regularization only holds for vanilla SGD (not e.g. Adam) \framebreak diff --git a/slides/regularization/slides-regu-l1vsl2.tex b/slides/regularization/slides-regu-l1vsl2.tex index f5e442c4..5f8c30d9 100644 --- a/slides/regularization/slides-regu-l1vsl2.tex +++ b/slides/regularization/slides-regu-l1vsl2.tex @@ -76,7 +76,8 @@ \begin{itemize} \item Typically we omit $\theta_0$ in the penalty term $J(\thetab)$ so that the ``infinitely'' regularized model is the constant model (but this can be implementation-dependent). \item Penalty methods are typically not equivariant under scaling of the inputs, so one usually standardizes the features beforehand. - \item Note that for a normal LM, if you scale some features, we can simply "anti-scale" the coefficients the same way. The risk does not change. For regularized models this is not so simple. If you scale features to smaller values, coefficients have to become larger to counteract. They now are penalized more heavily in $J(\thetab)$. Such a scaling would make some features less attractive without changing anything relevant in the data. + \item Note a normal LM has the inductive bias of rescaling equivariance, i.e., if you scale some features, we can simply "anti-scale" the coefficients the same way. The risk does not change. + \item While regularized LMs exhibit low-complexity inductive bias, they lose equivariance property: if you down-scale features, coefficients have to become larger to counteract. Then they are penalized stronger in $J(\thetab)$, making some features less attractive without relevant changes in data. % \item While ridge regression usually leads to smaller estimated coefficients, but still dense $\thetab$ vectors, % the Lasso will usually create a sparse $\thetab$ vector and can therefore be used for variable selection. diff --git a/slides/regularization/slides-regu-nonlin-bayes.tex b/slides/regularization/slides-regu-nonlin-bayes.tex index 738f1a99..02bad29d 100644 --- a/slides/regularization/slides-regu-nonlin-bayes.tex +++ b/slides/regularization/slides-regu-nonlin-bayes.tex @@ -7,8 +7,8 @@ \newcommand{\learninggoals}{ \item Understand that regularization and parameter shrinkage can be applied to non-linear models \item Know structural risk minimization - \item Know how regularization risk minimization is the same as MAP - in a Bayesian perspective, where the penalty corresponds to parameter prior. + \item Know how regularization risk minimization is same as MAP + in Bayesian perspective, where penalty corresponds to a parameter prior } \title{Introduction to Machine Learning} diff --git a/slides/regularization/slides-regu-ridge-deepdive.tex b/slides/regularization/slides-regu-ridge-deepdive.tex index 199e82f8..56a32248 100644 --- a/slides/regularization/slides-regu-ridge-deepdive.tex +++ b/slides/regularization/slides-regu-ridge-deepdive.tex @@ -67,6 +67,53 @@ $\Longrightarrow$ Ridge regression on unperturbed features {\small $\xi$} turns out to be minimizing squared loss averaged over feature noise distribution! \end{vbframe} +\begin{vbframe}{Bias-Variance Decomposition for Ridge} +For linear model $\yv = \Xmat \thetab + \bm{\varepsilon}$ with $\Xmat \in \mathbb{R}^{n \times p},\,\bm{\varepsilon} \sim (\bm{0},\sigma^2 \bm{I}_n)$, bias of ridge estimator $\thetah_{\text{Ridge}}$ is given by +\begin{equation*} + \begin{aligned} + \text{Bias}(\thetah_{\text{Ridge}}) := \mathbb{E}[\thetah_{\text{Ridge}}-\bm{\theta}] &= \mathbb{E}[(\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top}\bm{y}] - \bm{\theta}\\ + &= \mathbb{E}[(\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top}(\bm{X}\bm{\theta}+\bm{\varepsilon})] - \bm{\theta} \\ + &= (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top} \bm{X} \bm{\theta} + (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top} \underbrace{\mathbb{E}[\bm{\varepsilon}]}_{=0} - \bm{\theta} \\ + &= (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top} \bm{X} \bm{\theta} - \bm{\theta} \\ + &= \left[(\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} - (\bm{X}^{\top} \bm{X})^{-1} \right] \bm{X}^{\top} \bm{X} \bm{\theta} + \end{aligned} + \end{equation*} + +\begin{itemize} + \item Last expression shows bias of Ridge estimator only vanishes for $\lambda=0$, which is simply (unbiased) OLS solution + \item It follows $\Vert \text{Bias}(\thetah_{\text{Ridge}})\Vert_2^2>0$ for all $\lambda>0$, later important +\end{itemize} + + For the variance of $\thetah_{\text{Ridge}}$, we have + \begin{equation*} + \begin{aligned} + \text{Var}(\thetah_{\text{Ridge}}) &= \text{Var}\left((\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top}\bm{y}\right) \quad \quad \big| \;\; \text{apply} \;\; \text{Var}_u(\bm{A}\bm{u}) = \bm{A} \text{Var}(\bm{u}) \bm{A}^{\top} \\ + &= (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top} \text{Var}(\bm{y}) \left( (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top} \right)^{\top} \\ + &= (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top} \text{Var}(\bm{\varepsilon}) \bm{X} (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \\ + &= (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top} \sigma^2 \bm{I}_n \bm{X} (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \\ + &= \sigma^2 (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \bm{X}^{\top} \bm{X} (\bm{X}^{\top}\bm{X} +\lambda\bm{I}_p )^{-1} \\ + \end{aligned} + \end{equation*} + +\begin{itemize} + \item $\text{Var}(\thetah_{\text{Ridge}})$ is strictly smaller than $\text{Var}(\thetah_{\text{OLS}})=\sigma^2 (\Xmat^{\top}\Xmat)^{-1}$ for any $\lambda>0$, meaning matrix of their difference $\text{Var}(\thetah_{\text{OLS}})-\text{Var}(\thetah_{\text{Ridge}})$ is positive definite (bit tedious derivation) + \item This further means $\text{trace}\big({\text{Var}(\thetah_{\text{OLS}})}-{\text{Var}(\thetah_{\text{Ridge}})}\big)>0 \, \forall \lambda>0$ +\end{itemize} + +\framebreak + +With bias and variance of the ridge estimator we can decompose its mean squared error as follows: + +$$\text{MSE}(\thetah_{\text{Ridge}})=\Vert \text{Bias}(\thetah_{\text{Ridge}})\Vert_2^2 + \text{trace}\big(\text{Var}(\thetah_{\text{Ridge}})\big)$$ + +Comparing MSEs of $\thetah_{\text{Ridge}}$ and $\thetah_{\text{OLS}}$ and using $\text{Bias}(\thetah_{\text{OLS}})=0$ we find +$$\text{MSE}(\thetah_{\text{OLS}})-\text{MSE}(\thetah_{\text{Ridge}}) = \underbrace{\text{trace}\big({\text{Var}(\thetah_{\text{OLS}})}-{\text{Var}(\thetah_{\text{Ridge}})}\big)}_{>0} - \underbrace{\Vert \text{Bias}(\thetah_{\text{Ridge}})\Vert_2^2}_{>0}$$ + +Since both terms are positive, their difference is \textit{a priori} undetermined. \citebutton{Theobald, 1973}{https://www.jstor.org/stable/2984775} and \citebutton{Farebrother, 1976}{https://www.jstor.org/stable/2984971} prove there always exists some $\lambda^{\ast}>0$ so that +$$\text{MSE}(\thetah_{\text{OLS}})-\text{MSE}(\thetah_{\text{Ridge}})>0$$ +Important theoretical result: While Gauss-Markov guarantuees $\thetah_{\text{OLS}}$ is best linear unbiased estimator (BLUE) there are biased estimators with lower MSE. + +\end{vbframe}