To avoid facing the ticking clock, I've decided to read a textbook and start a new project Machine Learning: a Probabilistic Perspective in Python. I've been meaning to learn more about the math behind machine learning and the Python ecosystem for scientific computing, so I've decided to code up various solutions for the textbook in Jupyter notebooks. Here are a couple of the more interesting exercises.

## Cross Validation and Nearest Neighbors

A classic problem in machine learning that is often used to benchmark classification algorithms is digit recognition. The standard dataset is The MNIST database of handwritten digits. A digit is represented as $26 \times 26$ grid of grayscale pixels like the following examples.

Surprisingly, a simple nearest neighbor approach works well despite the curse of dimensionality. When using $1$ neighbor and euclidean distance, we find that the error rate is only 3.8% on 1,000 test cases. Here are some correct predictions.

Of course we get some predictions wrong. Here are some.

The notebook to generate these figures is here, KNN classifier on shuffled MNIST data.

### Model Selection

How should we know how many neighbors to use? For a parametric models, we can pick our models using a maximum likelihood estimate (MLE) or a Bayesian approach, using either the posterior mean or maximum a posteriori probability (MAP) estimate. However, nearest neighbors is a nonparametric model since the number of parameters increases with the amount of data.

To measure model performance, we use empirical measures, that is, we directly measure prediction accuracy. There are a few ways of going about this.

- We can test the accuracy on the data that we trained on. This is called the
*training set error*. Generally, it's not a very good metric since it's prone to overfitting. For instance, using 1 neighbor leads to 0% error. - We can withhold some of our data and call it the
*test set*. We fit our model on the data not in the test set and calculate the misclassification rate on the test set. This is the*test set error*. It generally gives a good idea how the model will perform with new data, but it cannot be used when you have a limited number of test cases and cannot afford to throw away data. - A compromise is the
*cross validation error*. Here, we split our data into $k$ folds. For each fold, we fit our model on the remaining $k - 1$ folds and use the chosen fold as our test set. In this way, we compute $k$ different error rates. Then, we take the average of those error rates.

All three approaches were tried and compared in this notebook, CV for KNN.

The test set error and cross validation error are quite close, which indicates that the cross validation error is a good proxy for the test set error when faced with limited data. The training set error will almost always underpredict the true error rate and is often vulnerable to overfitting. In this rare case, all three error rates actually agree that using 1 neighbor is optional, but usually, model that achieves the best training set error is overfitted to the data and predicts future test cases badly.

## Discriminant Analysis

Some of the simplest models are the various flavors of discriminant analysis. Suppose we have classes $k = 1,2,\ldots,K$. We make $N$ obervations $(\mathbf{x}_i, y_i)$, where $i \in \{1,2,\ldots, N\}$ and $y_i \in \{1,2,\ldots,K\}$. $\mathbf{x}_i$ is our data and $y_i$ is our class label. Based off some new data $\mathbf{x}^\prime$, we would want to predict its class label $y^\prime$.

Discriminant analysis makes the strong assumption that $\mathbf{x}$ is generated from a multivariate normal distribution. The distribution has different parameters for each class, so if $\mathbf{x}$ belongs to class $y = k$, $\left(\mathbf{x} \mid y = k\right) \sim \mathcal{N}(\boldsymbol\mu_k,\Sigma_k)$. An example would be trying to predict the gender of a person after observing their height and weight.

Using the MLE, we can fit a multivariate normal to males as I do in the notebook Whitening versus standardizing.

We can do a similar thing for our female observations. Thus, given an observation $\mathbf{x}$, we have estimated the distribution of $\mathbf{x} \mid y = k$. Now, the distribution of $y$ is just a multinomial distribution, with parameters $\boldsymbol\pi \in \left\{(\pi_1,\pi_2,\ldots, pi_K) \in \mathbb{R}^K : \sum_{k=1}^Kx_k = 1,~0 < x_k < 1\right\}$. The MLE estimate for $\boldsymbol\pi$ is just \begin{equation} \boldsymbol{\hat{\pi}} = \left(\frac{N_1}{N}, \frac{N_2}{N},\ldots,\frac{N_K}{N}\right), \end{equation} where $N_k$ is the number of our observations of class $k$.

Let $f(\mathbf{x} \mid \boldsymbol\mu,\Sigma)$ be the probability density function of a multivariate normal with mean $boldsymbol\mu$ and covariance $\Sigma$. Now, we apply Bayes' rule which gives us that \begin{align} p(y = k \mid \mathbf{x}) &= \frac{p(\mathbf{x} \mid y = k)p(y=k)}{\sum_{k^\prime = 1}^Kp(\mathbf{x} \mid y = k^\prime)p(y=k^\prime)}\nonumber\\ &= \frac{f(\mathbf{x} \mid \boldsymbol{\hat{\mu}}_k, \hat{\Sigma}_k)\frac{N_k}{N}}{\sum_{k^\prime = 1}^K f(\mathbf{x} \mid \boldsymbol{\hat{\mu}}_{k^\prime}, \hat{\Sigma}_{k^\prime})\frac{N_{k^\prime}}{N}} \nonumber\\ &= \frac{f(\mathbf{x} \mid \boldsymbol{\hat{\mu}}_k, \hat{\Sigma}_k)N_k}{\sum_{k^\prime = 1}^K f(\mathbf{x} \mid \boldsymbol{\hat{\mu}}_{k^\prime}, \hat{\Sigma}_{k^\prime})N_{k^\prime}}. \end{align}

This gives us the quadratic disriminant analysis (QDA) classifier. Now, we can fix $\Sigma_k = \Sigma$ for all $k$, which leads to further cancellations. This gives the linear discriminant analysis (LDA) classifier. The names quadractic and linear come from the shape of boundaries as seen in the notebook LDA/QDA on height/weight data.

In this case, they lead to the same misclassification rate.

See more notebooks as I add them at Machine Learning: a Probabilistic Perspective in Python.

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