cs 59000 statistical machine learning lecture 6
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CS 59000 Statistical Machine learning Lecture 6. Yuan (Alan) Qi Purdue CS Sept. 11 2008. Acknowledgement: Sargur Srihari’s slides. Outline. Review of t-distributions, mixture of Gaussians, Exponential family Nonparametric methods Linear Regression. Student’s t-Distribution. - PowerPoint PPT PresentationTRANSCRIPT
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CS 59000 Statistical Machine learningLecture 6
Yuan (Alan) QiPurdue CS
Sept. 11 2008
Acknowledgement: Sargur Srihari’s slides
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Outline
Review of t-distributions, mixture of Gaussians,
Exponential familyNonparametric methodsLinear Regression
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Student’s t-Distribution
The D-variate case:
where .
Properties:
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Student’s t-Distribution
Robustness to outliers: Gaussian vs t-distribution.
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Mixtures of Gaussians (1)
Old Faithful data set
Single Gaussian Mixture of two Gaussians
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Mixtures of Gaussians (2)
Combine simple models into a complex model:
Component
Mixing coefficientK=3
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Mixtures of Gaussians (3)
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The Exponential Family (1)
where ´ is the natural parameter and
so g(´) can be interpreted as a normalization coefficient.
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The Exponential Family (2.1)
The Bernoulli Distribution
Comparing with the general form we see that
and so
Logistic sigmoid
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The Exponential Family (4)
The Gaussian Distribution
where
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Property of Normalization Coefficient
From the definition of g(´) we get
Thus
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Conjugate priors
For any member of the exponential family, there exists a prior
Combining with the likelihood function, we get
Prior corresponds to º pseudo-observations with value Â.
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Noninformative Priors (1)
With little or no information available a-priori, we might choose a non-informative prior.• ¸ discrete, K-nomial :• ¸2[a,b] real and bounded: • ¸ real and unbounded: improper!
A constant prior may no longer be constant after a change of variable; consider p(¸) constant and ¸=´2:
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Noninformative Priors (2)
Translation invariant priors. Consider
For a corresponding prior over ¹, we have
for any A and B. Thus p(¹) = p(¹ { c) and p(¹) must be constant.
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Noninformative Priors (3)
Example: The mean of a Gaussian, ¹ ; the conjugate prior is also a Gaussian,
As , this will become constant over ¹ .
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Noninformative Priors (4)
Scale invariant priors. Consider and make the change of variable
For a corresponding prior over ¾, we have
for any A and B. Thus p(¾) / 1/¾ and so this prior is improper too. Note that this corresponds to p(ln
¾) being constant.
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Noninformative Priors (5)
Example: For the variance of a Gaussian, ¾2, we have
If ¸ = 1/¾2 and p(¾) / 1/¾ , then p(¸) / 1/ ¸.
We know that the conjugate distribution for ¸ is the Gamma distribution,
A noninformative prior is obtained when a0 = 0 and b0 = 0.
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Nonparametric Methods (1)
Parametric distribution models are restricted to specific forms, which may not always be suitable; for example, consider modelling a multimodal distribution with a single, unimodal model.
Nonparametric approaches make few assumptions about the overall shape of the distribution being modelled.
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Nonparametric Methods (2)
Histogram methods partition the data space into distinct bins with widths ¢i and count the number of observations, ni, in each bin.
•Often, the same width is used for all bins, ¢i = ¢.•¢ acts as a smoothing parameter.
•In a D-dimensional space, using M bins in each dimen-sion will require MD bins!
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Nonparametric Methods (3)
Assume observations drawn from a density p(x) and consider a small region R containing x such that
The probability that K out of N observations lie inside R is Bin(KjN,P ) and if N is large
If the volume of R, V, is sufficiently small, p(x) is approximately constant over R and
Thus
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Nonparametric Methods (4)
Kernel Density Estimation: fix V, estimate K from the data. Let R be a hypercube centred on x and define the kernel function (Parzen window)
It follows that
and hence
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Nonparametric Methods (5)
To avoid discontinuities in p(x), use a smooth kernel, e.g. a Gaussian
Any kernel such that
will work.
h acts as a smoother.
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Nonparametric Methods (6)
Nearest Neighbour Density Estimation: fix K, estimate V from the data. Consider a hypersphere centred on x and let it grow to a volume, V ?, that includes K of the given N data points. Then
K acts as a smoother.
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K-Nearest-Neighbours for Classification (1)
Given a data set with Nk data points from class Ck and , we have
and correspondingly
Since , Bayes’ theorem gives
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K-Nearest-Neighbours for Classification (2)
K = 1K = 3
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K-Nearest-Neighbours for Classification (3)
• K acts as a smother• For , the error rate of the 1-nearest-neighbour classifier is never more than twice the optimal error (obtained from the true conditional class distributions).
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Nonparametric vs Parametric
Nonparametric models (not histograms) requires storing and computing with the entire data set.
Parametric models, once fitted, are much more efficient in terms of storage and computation.
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Linear Regression
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Basis Functions
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Examples of Basis Functions (1)
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Examples of Basis Functions (2)
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Maximum Likelihood Estimation (1)
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Maximum Likelihood Estimation (2)
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Maximum Likelihood Estimation (3)
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Maximum Likelihood Estimation (4)