案例学习：预测房价

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来自 University of Washington 的课程

机器学习：回归

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案例学习：预测房价

从本节课中

Ridge Regression

You have examined how the performance of a model varies with increasing model complexity, and can describe the potential pitfall of complex models becoming overfit to the training data. In this module, you will explore a very simple, but extremely effective technique for automatically coping with this issue. This method is called "ridge regression". You start out with a complex model, but now fit the model in a manner that not only incorporates a measure of fit to the training data, but also a term that biases the solution away from overfitted functions. To this end, you will explore symptoms of overfitted functions and use this to define a quantitative measure to use in your revised optimization objective. You will derive both a closed-form and gradient descent algorithm for fitting the ridge regression objective; these forms are small modifications from the original algorithms you derived for multiple regression. To select the strength of the bias away from overfitting, you will explore a general-purpose method called "cross validation". <p>You will implement both cross-validation and gradient descent to fit a ridge regression model and select the regularization constant.

- Emily FoxAmazon Professor of Machine Learning

Statistics - Carlos GuestrinAmazon Professor of Machine Learning

Computer Science and Engineering

[MUSIC]

So instead of this closed form solution that can be computationally prohibitive

and think about using our group gradient descent algorithm to solve our ridge

regression.

And let's just talk about the element y's update that we have.

So it's the update to the jth feature weight.

And remember here I'm showing the gradient of our total cost, just as a reminder.

And what we do is we take our previous weight for

the jth feature and we subtract Ada our step size, times.

Whatever this gradient update dictates to form our new weight.

And what does this gradient tell us?

Well, this first term here on this line

is exactly what we had before from our residual sum of squares term.

So this is same as,

before this comes from our residual sum of squares term.

But now in addition to this we have another term appearing.

We have this term.

So, this is our new term that comes from,

The jth component of 2

lambda w is w vector.

Okay, so one thing we see is we have

a wjt appearing in two places.

So we can combine these and

simplify the form of this expression to get a little bit more interpretability.

So what we see is that, our update first takes wjt and

multiplies by 1- 2 x our step size x our tuning parameter.

So, times Ada and Lambda and, here, we know that Ada is greater than 0.

And, we know that Lambda is greater than or equal to 0.

And, so the result is 2 x Ada x Lambda is going to be greater than 0.

So, when we have 1- a positive number.

We know that this is going to be, this thing here is going to be less than or

equal to 1.

But the other thing we want is we want the result of this to be positive.

So to enforce that we're going to say that 2 Ada Lambda has to be less than 1.

Okay, so it's a positive quantity that is less than 1.

Okay, so what we're doing is we're taking our previous coefficient and

we're multiplying by some number that's less than 1, a positive number less than

1, so what that's doing is it's just shrinking the value by some amount,

at some fraction.

And then we have this update here which is the same update that

we had just from our residual summer squares as before so

I'll just call this our update term

From residual sum of squares.

And so let's draw a picture of what's happening here.

And what I'm gonna do is I'm gonna draw a picture that's a function of

iterations going this way.

And magnitude of the coefficients along the y axis.

But this is just a little cartoon.

So, we're gonna say that at some iteration T,

we have a coefficient wjt.

And what we're doing in

ridge regression is we're introducing this intermediate step where

here we first shrink the value of the coefficient.

According to 1- 2 Ada Lamba.

So, this is 1- 2 Ada Lamda x wjt.

And so, just to be very clear

this is an intermediate step

introduced in ridge regression.

So this is some iteration T.

This is some in between iteration and when we get to iteration T + 1.

What we do is we take whatever this update term is.

It could be positive.

It could be negative, and we modify this shrunken coefficient.

So let's just assume for this illustration that it's positive, some positive value.

So, I'm going to take the last value of my shrunken coefficient.

I'm gonna draw it here.

And then I'm gonna add some amount.

Wait, let's see, I'm gonna add an amount that makes it,

let's say a little bit less than what my coefficient was before.

So.

Sorry, my pen is acting crazy here.

So I'm gonna add this is my little update term

from RSS.

And this will give me wj at iteration T+1.

And let's contrast with what our old standard least squares algorithm did.

So previously in red,

Just RSS.

Which was our least squares solution.

We had wj t, so we've started at the same point.

But instead of shrinking the coefficient with this intermediate step, we just took

this little update term from residual sum of squares and modified this coefficient.

So I'm gonna try and

map over to time to iteration T + 1 and

then add the same amount, the same update term so

again this is the same update term that I'm adding to wjt but

this is gonna give me my wjt + 1 according

to the least squares algorithm.

Okay, so just to be clear, what's going on here in case this picture was

not helpful to you, is in the ridge regression case we're taking

our previous value of our coefficient, our jth regression coefficient.

And the first thing we're doing, before we decide whether

what our fit term is saying we should do to it, is we first shrink it.

At every iteration we first take the last value and we make it smaller.

And that's where the model complexity term is coming in.

Where we're saying we want smaller coefficients to avoid over fitting, but

then after that we're going to say well okay

let's listen to how well my model's fitting the data.

That's where this update term is coming in and

we're going to modify our our shrunken coefficient.

And in contrast, our old solution never did that shrinking first, it just said,

okay, let's just listen to the fit, and listen to the fit, and listen to the fit

at every iteration and that's where we could get into issues of overfitting.

Okay, so here's a summary of our standard lee squares gradient descent algorithm.

This is what we had again two modules ago where we just initialize

our weights vector, and while not converge for every feature dimension.

We're going to go through,

compute this partial derivative of the residual sum of squares.

That's that update term I was talking about on the last slide.

And then I'm going to use that to modify

my previous coefficient according to the step size Ada.

And I'm gonna keep iterating until convergence.

Okay, so this is what you code up before.

Now let's look at what we do to have to modify this code to

get a rich regression variant.

And notice that the only change is in this line for updating wj where,

instead of taking wjt and doing this update with what I'm calling partial here,

we're taking 1- 2 Ada Lambda x wj and doing the update.

So it's a trivial, trivial, trivial modification to your code.

And that's really cool.

It's very ,very,

very simple to implement ridge regression given a specific Lambda value.

[MUSIC]