Machine Learning in Practice
Saket Anand
Outline
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Machine Learning in practice
• Performance Evaluation
Performance Evaluation of Learning Tasks
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Measuring Performance: How well does a learned model work?
• Performance is typically measured by estimating the TRUE ERROR RATE, the
classifier’s error rate on the ENTIRE POPULATION.
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Evaluation Metrics
• Classification: Accuracy
Performance Evaluation of Learning Tasks
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Entire population is unavailable
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Finite set of training data, usually smaller than desired
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Naïve approach: use all available data
• The final model will typically overfit the training data
• More pronounced with high-capacity models (e.g., neural nets)
• The true error rate is underestimated
Underfitting vs. Overfitting
Underfitted
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Split dataset into two groups
• Training set: used to train the model
• Test set: used to estimate the error rate of the trained model
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Typical application: early stopping
Holdout
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Drawbacks
• For small training sets, setting aside a subset may be infeasible
• For a single train-and-test experiment, the holdout estimate of error rate will
be misleading if we happen to get an ‘unfortunate’ split
•
Alternatives: a family of resampling methods
• Cross Validation
• Random Subsampling • K-Fold Cross-Validation
Random Subsampling
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Random Subsampling performs K data splits of the dataset
• Random splits of (fixed) no. of examples without replacement
• Each random train/test split: retrain classifier and estimate Ei with the test split
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The true error estimate is obtained as the average of the separate
estimates E
i•
Leave-one-out is the degenerate case of K-Fold Cross Validation,
where K is chosen as the total number of examples
• For a dataset with N examples, perform N experiments
• For each experiment use N-1 examples for training and the remaining
example for testing
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As usual, the true error is estimated as the average error rate on test
examples
Validation Method: K-Fold Cross-validation
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Randomly shuffle the dataset and create a K-fold partition
• For each of K experiments, use K-1 folds for training and the remaining one
for testing
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True error is estimated as the average error rate over the validation
Bias and Variance of a Random Variable
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For learning systems, f:X--> Y, what is the random variable of
interest?
High bias Low variance
Low bias
High variance High varianceHigh bias Low varianceLow bias Ground Truth
Best Case
Validation Method: K-Fold Cross-validation
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Create a K-fold partition of the dataset
• For each of K experiments, use K-1 folds for training and the remaining one
for testing
How many folds are needed?
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Large number of folds
+ smaller bias of the true error rate estimator - larger variance of the true error rate estimator - higher computational time (many experiments)
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Small number of folds
+ lower computation time + smaller variance
- larger bias
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In practice, the choice of the number of folds depends on the size of the
dataset
• For large datasets, even 3-Fold Cross Validation is reasonable • For very sparse datasets, ‘leave-one-out’ is beneficial
Three-way data splits
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If model selection and true error estimates are to be computed
simultaneously, the data needs to be divided into three disjoint sets
• Training set: a set of examples used for learning: to fit the parameters of the
classifier
• In the MLP case, we would use the training set to find the “optimal” weights with the
back-prop rule
• Validation (dev) set: a set of examples used to tune the parameters of a classifier • In the MLP case, we would use the validation set to find the “optimal” number of hidden
units or determine a stopping point for the back propagation algorithm
• Test set: a set of examples used only to assess the performance of a fully-trained
classifier
• In the MLP case, we would use the test to estimate the error rate after we have chosen the
final model (MLP size and actual weights)
Three-way data splits
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Why separate test and validation sets?
• The error rate estimate of the final model on validation data will be biased
(smaller than the true error rate) since the validation set is used to select the final model
• After assessing the final model with the test set, YOU MUST NOT tune the
model any further
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Procedure outline
1. Divide the available data into training, validation and test set 2. Select architecture and training parameters
3. Train the model using the training set
4. Evaluate the model using the validation set
5. Repeat steps 2 through 4 using different architectures and training parameters 6. Select the best model and train it using data from the training and validation set 7. Assess this final model using the test set
Debugging ML Algorithms
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Motivating Example : Bayesian Logistic regression (BLR)
• Binary classification problem
• Often encountered in computer vision: face/not face OR spam/not spam
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BLR with gradient descent generates a test error of 20%
• What to do next?
How to Debug an ML Algorithm?
Hit and Try and Pray to God!
• Try getting more training examples. • Try a smaller set of features.
• Try a larger set of features. • Try changing the features.
• Run gradient descent for more
iterations.
• Try Newton’s method.
• Use a different value for λ. • Try using an SVM.
Systematic Diagnosis
• Analyse variance/bias
Bias vs. Variance Analysis
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Typical learning curve for high variance:
• Test error still decreasing as training set size increases.
• Suggests a larger training set will help.
• Large gap between training and test error
Bias vs. Variance Analysis
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Typical learning curve for high bias:
• Even training error is unacceptably high.
• Features are not discriminative enough
• Small gap between training and test error.
• Likely underfitting: a higher capacity model could be tried
