案例学习：预测房价

Loading...

来自 University of Washington 的课程

机器学习：回归

4064 个评分

案例学习：预测房价

从本节课中

Multiple Regression

The next step in moving beyond simple linear regression is to consider "multiple regression" where multiple features of the data are used to form predictions. <p> More specifically, in this module, you will learn how to build models of more complex relationship between a single variable (e.g., 'square feet') and the observed response (like 'house sales price'). This includes things like fitting a polynomial to your data, or capturing seasonal changes in the response value. You will also learn how to incorporate multiple input variables (e.g., 'square feet', '# bedrooms', '# bathrooms'). You will then be able to describe how all of these models can still be cast within the linear regression framework, but now using multiple "features". Within this multiple regression framework, you will fit models to data, interpret estimated coefficients, and form predictions. <p>Here, you will also implement a gradient descent algorithm for fitting a multiple regression model.

- Emily FoxAmazon Professor of Machine Learning

Statistics - Carlos GuestrinAmazon Professor of Machine Learning

Computer Science and Engineering

Well of course to fit a function to data, we need to be able to talk about what

the cost is of any given fit to the data and then search our algorithm

is going to be to search over all these different fits to minimize this cost.

So let's again talk about the cost of the fit, but now, for multiple regression.

So in terms of our flow chart for regression,

we're talking about the quality metric term.

First, let's remember what the Cost was,

in terms of our simple linear regression model.

And so,

for any given fit, we define something called the residual sum of squares of our.

Parameter.

So that's defining the actual fit that we're looking at.

W0 and W1, the intercept and slope.

And our residual sum of squares was looking at taking our actual observation

Yi, subtracting off the fitted function at that point Xi,

taking the square, summing over all observations in our training dataset, and

what is this term here?

Well that's just our predicted value of observation

Yi ,if we use a line defined by W0, and W1.

Okay, so to be explicit if we're looking at sum Xi, then

We know that y had i, is equal to

the estimated function at Xi.

So now that we've recalled what residual sum of squares is for

a simple linear aggression model,

we can talk about residual sum of squares in the case of multiple regression.

Where we're looking at these fits to these d-dimensional curves.

And so, what we're gonna look at is we're gonna look at our residuals again.

The residual is the difference between our actual observation and

our predicted value.

So we're gonna plug in our predicted value there, so our predicted value for

the ith observation, what is that?

Well in our vector notation, what we do is we take each one of the weights,

In our model so, the regression coefficients.

And this is this w vector that we're looking at here,

and then we multiply our features for that observation by that factor.

So, here we have h0 of Xi,

h1 of Xi, all the way up to

HD of Xi and this remember

was h transpose of Xi, so.

What is our predicted value for the ith observation.

If we assume that we use a fit defined by W0, W1, all the way up to WD,

oh it's simply H transpose Xi times W.

So, just to use the notation that

we've been using before, this here is Y hat i,

assuming we use W, as the parameters of this fit.

Okay.

So again, let's take this residual sum of squares and write it in matrix notation.

That's kind gonna be a theme of our derivation, and

to do this, I'm just gonna write down the result, and

then I'm going to explain why it's the result.

So the result, is that in matrix notation, I have my y vector,

that the vector of all my observations stacked up, -H that,

big green matrix, times this w vector, the vector of all my regression coefficients,

then I'm gonna take this and I'm gonna write transpose.

And then I'm just gonna write it again.

Okay, so why are these two things equivalent?

Well, we're gonna break up the explanation into two different parts.

And the first part, is just looking at this term here and in particular,

we're going to think about stacking up all of our predicted values.

So taking Y hat 1, Y hat 2, all the way up to Y hat N.

So our N predicted observations and how do we predict our observations?

Well we, just take the parameters, W0 to WD and

remember that for each predicted observation,

we multiply by the features associated with that observation and

then we do that for each one of our observations and just like we did for

the derivation of the matrix form for our model, we're talking about predictions,

again, we're going to end up with this big H matrix here.

It's exactly the same matrix that appeared in our model.

It's the matrix of all of our features per observation stacked up together.

Okay.

So, now that we have this, we know that, I'll call this vector,

Y hat, so we know that Y hat,

the vector of all of our end predicted observations is equal to H times W.

Okay.

So, now let's take this turn, this y-Hw.

And if we look at y-Hw, what is that equivalent to?

Well, we know that h of w.

That was a very ugly, little curly brace.

H of w, is equivalent to y hat.

So this is equivalent of looking at our vector of actual observed values and

subtracting our vector of predicted values.

So we take all our house sales prices, and we look at all the predicted house prices,

given a set of parameters, w, and we subtract them.

What is that vector?

That vector is the vector of residuals,

because the result of this is

the difference

between my first house sale and my predicted house sale.

I call that the residual, for the first prediction, and likewise for

the second, and all the way up to my nth

observation, where just to be very clear, this

residual sub i is equal to yi,

my actual observation, minus my predicted observation.

Okay, so what we showed on this slide is the fact that this term here, y -Hw,

is equivalent to a vector of the residuals from my predictions.

Okay, so now let's move on to the second part of the reasoning behind this

equation here.

Which is the fact that, when I multiply this vector,

we now know that the result of this is a vector of residuals by,

it's transposed, so, I have written the transpose of this residual vector here.

Then what's the result of this?

Okay, well, let me do out this vector, vector multiplication,

this inner product here, and what I get is, I get, residual1

here times residual1.

So, what's the result of that?

That's residual1 squared.

Then I go to the second element.

I have residual two times residual two, and

that's residual2 squared.

And I multiply all these elements, and at the very end,

I get residual for my nth observation, squared.

And so what is this equivalent to?

This is equivalent to, I can just rewrite this using the sigma notion,

summing over all of my observations, the residual,

sub i squared.

And this, by definition, that is exactly what residual sum of squares is.

This is residual sum of squares using these w parameters.

I'm summing up the square of my residuals from the predictions made using w.

Okay, so this is my little justification that

I can take this residual sum of squares that we wrote here and

I can rewrite it equivalently in this

matrix notation.