How to understand F-test based lmfit confidence intervals - lmfit

The excellent lmfit package lets one to run nonlinear regression. It can report two different conf intervals - one based on the covarience matrix the other using a more sophisticated tecnique based on an F-test. Details can be found on the doc. I would like to understand he reasoning behind this technique in depth. Which topics should i read about? Note: i have sufficient stats knowledge

F stats and other associated methods for obtaining confidence intervals are far superior to a simple estimation of te co variance matrix for non-linear models (and others).
The primary reason for this is the lack of assumptions about the Gaussian nature of error when using these methods. For non-linear systems, confidence intervals can (they don't have to be) be asymmetric. This means that the parameter value can effect the error surface differently and therefore the one, two, or three sigma limits have different magnitudes in either direction from the best fit.
The analytical ultracentrifugation community has excellent articles involving error analysis (Tom Laue, John J. Correia, Jim Cole, Peter Schuck are some good names for article searches). If you want a good general read about proper error analysis, check out this article by Michael Johnson:
http://www.researchgate.net/profile/Michael_Johnson53/publication/5881059_Nonlinear_least-squares_fitting_methods/links/0deec534d0d97a13a8000000.pdf
Cheers!

Related

How `vw --audit` internally computes the weights of the features?

In vowpawabbit there is an option --audit that prints the weights of the features.
If we have a vw contextual bandit model with four arms, how is this feature weight created?
From what I understand vowpawabbit tries to fit one linear model to each arm.
So if weights were calculated using an average across all the arms, then they would correlate with getting a reward generally, instead of which features makes the model pick one variant from another.
I am interested know out how they are calculated to see how I can interpret the results obtained. I tried searching its Github repository but could not find anything meaningful.
I am interested know out how they are calculated to see how I can interpret the results obtained.
Unfortunately knowing the first does not lead to knowing the second.
Your question is concerned with contextual bandits, but it is important to note that interpreting model parameters is an issue that also occurs in supervised learning. Machine learning has made progress recently (i.e., my lifetime) largely by focusing concern on quality of predictions rather than meaningfulness of model parameters. In a blog post, Phoebe Wong outlines the issue while being entertaining.
The bottom line is that our models are not causal, so you simply cannot conclude because "the weight of feature X is for arm A is large means that if I were to intervene in the system and increase this feature value that I will get more reward for playing arm A".
We are currently working on tools for model inspection that leverage techniques such as permutation importance that will help you answer questions like "if I were to stop using a particular feature how would the frequency of playing each arm change for the trained policy". We're hoping that is helpful information.
Having said all that, let me try to answer your original question ...
In vowpawabbit there is an option --audit that prints the weights of the features.
If we have a vw contextual bandit model with four arms, how is this feature weight created?
The format is documented here. Assuming you are using --cb (not --cb_adf) then there are a fixed number of arms and so the offset field will increment over the arms. So for an example like
1:2:0.4 |foo bar
with --cb 4 you'll get an audit output with namespace of foo, feature of bar, and offset of 0, 1, 2, and 3.
Interpreting the output when using --cb_adf is possible but difficult to explain succinctly.
From what I understand vowpawabbit tries to fit one linear model to each arm.
Shorter answer: With --cb_type dm, essentially VW independently tries to predict the average reward for each arm using only examples where the policy played that arm. So the weight you get from audit at a particular offset N is analogous to what you would get from a supervised learning model trained to predict reward on a subset of the historical data consisting solely of times the historical policy played arm N. With other --cb_type settings the interpretation is more complicated.
Longer answer: "Linear model" refers to the representation being used. VW can incorporate nonlinearities into the model but let's ignore that for now. "Fit" is where some important details are. VW takes the partial feedback information of a CB problem (partial feedback = "for this example you don't know the reward of the arms not pulled") and reduces it to a full feedback supervised learning problem (full feedback = "for this example you do the reward of all arms"). The --cb_type argument selects the reduction strategy. There are several papers on the topic, a good place to start is Dudik et. al. and then look for papers that cite this paper. In terms of code, ultimately things are grounded here, but the code is written more for performance than intelligibility.

Finding an optimum learning rule for an ANN

How do you find an optimum learning rule for a given problem, say a multiple category classification?
I was thinking of using Genetic Algorithms, but I know there are issues surrounding performance. I am looking for real world examples where you have not used the textbook learning rules, and how you found those learning rules.
Nice question BTW.
classification algorithms can be classified using many Characteristics like:
What does the algorithm strongly prefer (or what type of data that is most suitable for this algorithm).
training overhead. (does it take a lot of time to be trained)
When is it effective. ( large data - medium data - small amount of data ).
the complexity of analyses it can deliver.
Therefore, for your problem classifying multiple categories I will use Online Logistic Regression (FROM SGD) because it's perfect with small to medium data size (less than tens of millions of training examples) and it's really fast.
Another Example:
let's say that you have to classify a large amount of text data. then Naive Bayes is your baby. because it strongly prefers text analysis. even that SVM and SGD are faster, and as I experienced easier to train. but these rules "SVM and SGD" can be applied when the data size is considered as medium or small and not large.
In general any data mining person will ask him self the four afomentioned points when he wants to start any ML or Simple mining project.
After that you have to measure its AUC, or any relevant, to see what have you done. because you might use more than just one classifier in one project. or sometimes when you think that you have found your perfect classifier, the results appear to be not good using some measurement techniques. so you'll start to check your questions again to find where you went wrong.
Hope that I helped.
When you input a vector x to the net, the net will give an output depend on all the weights (vector w). There would be an error between the output and the true answer. The average error (e) is a function of the w, let's say e = F(w). Suppose you have one-layer-two-dimension network, then the image of F may look like this:
When we talk about training, we are actually talking about finding the w which makes the minimal e. In another word, we are searching the minimum of a function. To train is to search.
So, you question is how to choose the method to search. My suggestion would be: It depends on how the surface of F(w) looks like. The wavier it is, the more randomized method should be used, because the simple method based on gradient descending would have bigger chance to guide you trapped by a local minimum - so you lose the chance to find the global minimum. On the another side, if the suface of F(w) looks like a big pit, then forget the genetic algorithm. A simple back propagation or anything based on gradient descending would be very good in this case.
You may ask that how can I know how the surface look like? That's a skill of experience. Or you might want to randomly sample some w, and calculate F(w) to get an intuitive view of the surface.

Methods to identify duplicate questions on Twitter?

As stated in the title, I'm simply looking for algorithms or solutions one might use to take in the twitter firehose (or a portion of it) and
a) identify questions in general
b) for a question, identify questions that could be the same, with some degree of confidence
Thanks!
(A)
I would try to identify questions using machine learning and the Bag of Words model.
Create a labeled set of twits, and label each of them with a binary
flag: question or not question.
Extract the features from the training set. The features are traditionally words, but at least for any time I tried it - using bi-grams significantly improved the results. (3-grams were not helpful for my cases).
Build a classifier from the data. I usually found out SVM gives better performance then other classifiers, but you can use others as well - such as Naive Bayes or KNN (But you will probably need feature selection algorithm for these).
Now you can use your classifier to classify a tweet.1
(B)
This issue is referred in the world of Information-Retrieval as "duplicate detection" or "near-duplicate detection".
You can at least find questions which are very similar to each other using Semantic Interpretation, as described by Markovitch and Gabrilovich in their wonderful article Wikipedia-based Semantic Interpretation for Natural Language Processing. At the very least, it will help you identify if two questions are discussing the same issues (even though not identical).
The idea goes like this:
Use wikipedia to build a vector that represents its semantics, for a term t, the entry vector_t[i] is the tf-idf score of the term i as it co-appeared with the term t. The idea is described in details in the article. Reading the 3-4 first pages are enough to understand it. No need to read it all.2
For each tweet, construct a vector which is a function of the vectors of its terms. Compare between two vectors - and you can identify if two questions are discussing the same issues.
EDIT:
On 2nd thought, the BoW model is not a good fit here, since it ignores the position of terms. However, I believe if you add NLP processing for extracting feature (for examples, for each term, also denote if it is pre-subject or post-subject, and this was determined using NLP procssing), combining with Machine Learning will yield pretty good results.
(1) For evaluation of your classifier, you can use cross-validation, and check the expected accuracy.
(2) I know Evgeny Gabrilovich published the implemented algorithm they created as an open source project, just need to look for it.

What are good algorithms for detecting abnormality?

Background
Here is the problem:
A black box outputs a new number each day.
Those numbers have been recorded for a period of time.
Detect when a new number from the black box falls outside the pattern of numbers established over the time period.
The numbers are integers, and the time period is a year.
Question
What algorithm will identify a pattern in the numbers?
The pattern might be simple, like always ascending or always descending, or the numbers might fall within a narrow range, and so forth.
Ideas
I have some ideas, but am uncertain as to the best approach, or what solutions already exist:
Machine learning algorithms?
Neural network?
Classify normal and abnormal numbers?
Statistical analysis?
Cluster your data.
If you don't know how many modes your data will have, use something like a Gaussian Mixture Model (GMM) along with a scoring function (e.g., Bayesian Information Criterion (BIC)) so you can automatically detect the likely number of clusters in your data. I recommend this instead of k-means if you have no idea what value k is likely to be. Once you've constructed a GMM for you data for the past year, given a new datapoint x, you can calculate the probability that it was generated by any one of the clusters (modeled by a Gaussian in the GMM). If your new data point has low probability of being generated by any one of your clusters, it is very likely a true outlier.
If this sounds a little too involved, you will be happy to know that the entire GMM + BIC procedure for automatic cluster identification has been implemented for you in the excellent MCLUST package for R. I have used it several times to great success for such problems.
Not only will it allow you to identify outliers, you will have the ability to put a p-value on a point being an outlier if you need this capability (or want it) at some point.
You could try line fitting prediction using linear regression and see how it goes, it would be fairly easy to implement in your language of choice.
After you fitted a line to your data, you could calculate the mean standard deviation along the line.
If the novel point is on the trend line +- the standard deviation, it should not be regarded as an abnormality.
PCA is an other technique that comes to mind, when dealing with this type of data.
You could also look in to unsuperviced learning. This is a machine learning technique that can be used to detect differences in larger data sets.
Sounds like a fun problem! Good luck
There is little magic in all the techniques you mention. I believe you should first try to narrow the typical abnormalities you may encounter, it helps keeping things simple.
Then, you may want to compute derived quantities relevant to those features. For instance: "I want to detect numbers changing abruptly direction" => compute u_{n+1} - u_n, and expect it to have constant sign, or fall in some range. You may want to keep this flexible, and allow your code design to be extensible (Strategy pattern may be worth looking at if you do OOP)
Then, when you have some derived quantities of interest, you do statistical analysis on them. For instance, for a derived quantity A, you assume it should have some distribution P(a, b) (uniform([a, b]), or Beta(a, b), possibly more complex), you put a priori laws on a, b and you ajust them based on successive information. Then, the posterior likelihood of the info provided by the last point added should give you some insight about it being normal or not. Relative entropy between posterior and prior law at each step is a good thing to monitor too. Consult a book on Bayesian methods for more info.
I see little point in complex traditional machine learning stuff (perceptron layers or SVM to cite only them) if you want to detect outliers. These methods work great when classifying data which is known to be reasonably clean.

Pagerank and its mathematics: Explanation needed

I am a student interested in developing a search engine that indexes pages from my country. I have been researching algorithms to use for sometime now and I have identified HITS and PageRank as the best out there. I have decided to go with PageRank since it is more stable than the HITS algorithm (or so I have read).
I have found countless articles and academic papers related to PageRank, but my problem is that I don't understand most of the mathematical symbols that form the algorithm in these papers. Specifically, I don't understand how the Google Matrix (the irreducible,stochastic matrix) is calculated.
My understanding is based on these two articles:
http://online.redwoods.cc.ca.us/instruct/darnold/LAPROJ/fall2005/levicob/LinAlgPaperFinal2-Screen.pdf
http://ilpubs.stanford.edu:8090/386/1/1999-31.pdf
Could someone provide a basic explanation (examples would be nice) with less mathematical symbols?
Thanks in advance.
The formal defintion of PageRank, as defined at page 4 of the cited document, is expressed in the mathematical equation with the funny "E" symbol (it is in fact the capital Sigma Greek letter. Sigma is the letter "S" which here stands for Summation).
In a nutshell this formula says that to calculate the PageRank of page X...
For all the backlinks to this page (=all the pages that link to X)
you need to calculate a value that is
The PageRank of the page that links to X [R'(v)]
divided by
the number of links found on this page. [Nv]
to which you add
some "source of rank", [E(u)] normalized by c
(we'll get to the purpose of that later.)
And you need to make the sum of all these values [The Sigma thing]
and finally, multiply it by a constant [c]
(this constant is just to keep the range of PageRank manageable)
The key idea being this formula is that all web pages that link to a given page X are adding to value to its "worth". By linking to some page they are "voting" in favor of this page. However this "vote" has more or less weight, depending on two factors:
The popularity of the page that links to X [R'(v)]
The fact that the page that links to X also links to many other pages or not. [Nv]
These two factors reflect very intuitive ideas:
It's generally better to get a letter of recommendation from a recognized expert in the field than from a unknown person.
Regardless of who gives the recommendation, by also giving recommendation to other people, they are diminishing the value of their recommendation to you.
As you notice, this formula makes use of somewhat of a circular reference, because to know the page range of X, you need to know the PageRank of all pages linking to X. Then how do you figure these PageRank values?... That's where the next issue of convergence explained in the section of the document kick in.
Essentially, by starting with some "random" (or preferably "decent guess" values of PageRank, for all pages, and by calculating the PageRank with the formula above, the new calculated values get "better", as you iterate this process a few times. The values converge, i.e. they each get closer and closer to what is the actual/theorical value. Therefore by iterating a sufficient amount of times, we reach a moment when additional iterations would not add any practical precision to the values provided by the last iteration.
Now... That is nice and dandy, in theory. The trick is to convert this algorithm to something equivalent but which can be done more quickly. There are several papers that describe how this, and similar tasks, can be done. I don't have such references off-hand, but will add these later. Beware they do will involve a healthy dose of linear algebra.
EDIT: as promised, here are a few links regarding algorithms to calculate page rank.
Efficient Computation of PageRank Haveliwala 1999 ///
Exploiting the Block Structure of the Web for Computing PR Kamvar etal 2003 ///
A fast two-stage algorithm for computing PageRank Lee et al. 2002
Although many of the authors of the links provided above are from Stanford, it doesn't take long to realize that the quest for efficient PageRank-like calculation is a hot field of research. I realize this material goes beyond the scope of the OP, but it is important to hint at the fact that the basic algorithm isn't practical for big webs.
To finish with a very accessible text (yet with many links to in-depth info), I'd like to mention Wikipedia's excellent article
If you're serious about this kind of things, you may consider an introductory/refresher class in maths, particularly linear algebra, as well a computer science class that deal with graphs in general. BTW, great suggestion from Michael Dorfman, in this post, for OCW's video of 1806's lectures.
I hope this helps a bit...
If you are serious about developing an algorithm for a search engine, I'd seriously recommend you take a Linear Algebra course. In the absence of an in-person course, the MIT OCW course by Gilbert Strang is quite good (video lectures at http://ocw.mit.edu/OcwWeb/Mathematics/18-06Spring-2005/VideoLectures/).
A class like this would certainly allow you to understand the mathematical symbols in the document you provide-- there's nothing in that paper that wouldn't be covered in a first-year Linear Algebra course.
I know this isn't the answer you are looking for, but it's really the best option for you. Having someone try to explain the individual symbols or algorithms to you when you don't have a good grasp of the basic concepts isn't a very good use of anybody's time.
This is the paper that you need: http://infolab.stanford.edu/~backrub/google.html (If you do not recognise the names of the authors, you will find more information about them here: http://www.google.com/corporate/execs.html).
The symbols used in the document, are described in the document in lay English.
Thanks for making me google this.
You might also want to read the introductory tutorial on the mathematics behind the construction of the Pagerank matrix written by David Austin's entitled How Google Finds Your Needle in the Web's Haystack; it starts with a simple example and builds to the full definition.
"The $25,000,000,000 Eigenvector: The Linear Algebra Behind Google". from Rose-Hulman is a bit out of date, because now Page Rank is the $491B linear algebra problem. I think the paper is very well written.
"Programming Collective Intelligence" has a nice discussion of Page Rank as well.
Duffymo posted the best refernce in my opinion. I studied the page rank algorithm in my senior undergrad year. Page rank is doing the following:
Define the set of current webpages as the states of a finite markov chain.
Define the probability of transitioning from site u to v where the there is an outgoing link to v from u to be
1/u_{n} where u_{n} is the number of out going links from u.
Assume the markov chain defined above is irreducible (this can be enforced with only a slight degradation of the results)
It can be shown every finite irreducible markov chain has a stationary distribution. Define the page rank to be the stationary distribution, that is to say the vector that holds the probability of a random particle to end up at each given site as the number of state transitions goes to infinity.
Google uses a slight variation on the power method to find the stationary distribution (the power method finds dominant eigenvalues). Other than that there is nothing to it. Its rather simple and elegant and probably one of the simplest applications of markov chains I can think of, but it is wortha lot of money!
So all the pagerank algorithm does is take into account the topology of the web as an indication of whether a website should be important. The more incoming links a site has the greater the probability of a random particle spending its time at the site over an infinite amount of time.
If you want to learn more about page rank with less math, then this is very good tutorial on basic matrix operations. I recommend it for everyone who has little math background but wants to dive into ranking algorithms.

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