07: Regularization

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The problem of overfitting

So far we've seen a few algorithms - work well for many applications, but can suffer from the problem
of overfitting
What is overfitting?
What is regularization and how does it help

Overfitting with linear regression

Using our house pricing example again

Fit a linear function to the data - not a great model
This is underfitting - also known as high bias
Bias is a historic/technical one - if we're fitting a straight line to the data we have a strong
preconception that there should be a linear fit
In this case, this is not correct, but a straight line can't help being straight!
Fit a quadratic function
Works well
Fit a 4th order polynomial
Now curve fit's through all five examples
Seems to do a good job fitting the training set
But, despite fitting the data we've provided very well, this is actually not such a
good model
This is overfitting - also known as high variance
Algorithm has high variance
High variance - if fitting high order polynomial then the hypothesis can basically fit
any data
Space of hypothesis is too large

To recap, if we have too many features then the learned hypothesis may give a cost function of
exactly zero
But this tries too hard to fit the training set
Fails to provide a general solution - unable to generalize (apply to new examples)

Overfitting with logistic regression

 Same thing can happen to logistic regression
Sigmoidal function is an underfit
But a high order polynomial gives and overfitting (high variance hypothesis)

Addressing overfitting

Later we'll look at identifying when overfitting and underfitting is occurring

Earlier we just plotted a higher order function - saw that it looks "too curvy"
Plotting hypothesis is one way to decide, but doesn't always work
Often have lots of a features - here it's not just a case of selecting a degree polynomial,
but also harder to plot the data and visualize to decide what features to keep and which
to drop
If you have lots of features and little data - overfitting can be a problem
How do we deal with this?
1) Reduce number of features
Manually select which features to keep
Model selection algorithms are discussed later (good for reducing number of
features)
But, in reducing the number of features we lose some information
Ideally select those features which minimize data loss, but even so, some info
is lost
2) Regularization
Keep all features, but reduce magnitude of parameters θ
Works well when we have a lot of features, each of which contributes a bit to
predicting y

Cost function optimization for regularization

Penalize and make some of the θ parameters really small
e.g. here θ3 and θ4
The addition in blue is a modification of our cost function to help penalize θ3 and θ4
So here we end up with θ3 and θ4 being close to zero (because the constants are massive)
So we're basically left with a quadratic function

In this example, we penalized two of the parameter values

More generally, regularization is as follows

Regularization
Small values for parameters corresponds to a simpler hypothesis (you effectively get rid
of some of the terms)
A simpler hypothesis is less prone to overfitting
Another example
Have 100 features x1, x2, ..., x100
Unlike the polynomial example, we don't know what are the high order terms
How do we pick the ones to pick to shrink?
With regularization, take cost function and modify it to shrink all the parameters
Add a term at the end
This regularization term shrinks every parameter
By convention you don't penalize θ0 - minimization is from θ1 onwards

In practice, if you include θ0 has little impact

λ is the regularization parameter
Controls a trade off between our two goals
1) Want to fit the training set well
2) Want to keep parameters small
With our example, using the regularized objective (i.e. the cost function with the
regularization term) you get a much smoother curve which fits the data and gives a much
better hypothesis
 If λ is very large we end up penalizing ALL the parameters (θ1, θ2 etc.) so all the
parameters end up being close to zero
If this happens, it's like we got rid of all the terms in the hypothesis
This results here is then underfitting
So this hypothesis is too biased because of the absence of any parameters
(effectively)
So, λ should be chosen carefully - not too big...
We look at some automatic ways to select λ later in the course

Regularized linear regression

Previously, we looked at two algorithms for linear regression
Gradient descent
Normal equation
Our linear regression with regularization is shown below

Previously, gradient descent would repeatedly update the parameters θj, where j = 0,1,2...n
simultaneously
Shown below

We've got the θ0 update here shown explicitly

This is because for regularization we don't penalize θ0 so treat it slightly differently
How do we regularize these two rules?
Take the term and add λ/m * θj
Sum for every θ (i.e. j = 0 to n)
This gives regularization for gradient descent
We can show using calculus that the equation given below is the partial derivative of the regularized
J(θ)
 The update for θj
θj gets updated to
θj - α * [a big term which also depends on θj]
So if you group the θj terms together

The term

Is going to be a number less than 1 usually

Usually learning rate is small and m is large
So this typically evaluates to (1 - a small number)
So the term is often around 0.99 to 0.95
This in effect means θj gets multiplied by 0.99
Means the squared norm of θj a little smaller
The second term is exactly the same as the original gradient descent

Regularization with the normal equation

Normal equation is the other linear regression model
Minimize the J(θ) using the normal equation
To use regularization we add a term (+ λ [n+1 x n+1]) to the equation
[n+1 x n+1] is the n+1 identity matrix

Regularization for logistic regression

We saw earlier that logistic regression can be prone to overfitting with lots of features
Logistic regression cost function is as follows;
 To modify it we have to add an extra term

This has the effect of penalizing the parameters θ1, θ2 up to θn

Means, like with linear regression, we can get what appears to be a better fitting lower order
hypothesis
How do we implement this?
Original logistic regression with gradient descent function was as follows

Again, to modify the algorithm we simply need to modify the update rule for θ1, onwards
Looks cosmetically the same as linear regression, except obviously the hypothesis is very
different

Advanced optimization of regularized linear regression

As before, define a costFunction which takes a θ parameter and gives jVal and gradient back

use fminunc
 Pass it an @costfunction argument
Minimizes in an optimized manner using the cost function
jVal
Need code to compute J(θ)
Need to include regularization term
Gradient
Needs to be the partial derivative of J(θ) with respect to θi
Adding the appropriate term here is also necessary

Ensure summation doesn't extend to to the lambda term!

It doesn't, but, you know, don't be daft!