Advanced Machine Learning

Lecture 2: Linear models

Sandjai Bhulai
Vrije Universiteit Amsterdam

[email protected]
8 September 2023
 Linear models

Advanced Machine Learning

 Polynomial curve tting
▪ 10 points sampled from sin(2πx) + disturbance

x3 x5 x7 x9
sin x = x − + − + +⋯
3! 5! 7! 9!
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 Polynomial curve tting
▪ Polynomial curve
M
y(x, w) = w0 + w1x + w2 x 2 + ⋯ + wM x M = wj x j
∑
j=0

▪ Performance is measured by

1 N
{y(xn, w) − tn}2
2∑
E(w) =
n=1

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Polynomial curve tting: order 0

M
y(x, w) = w0 + w1x + w2 x 2 + ⋯ + wM x M = wj x j
∑
j=0
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Polynomial curve tting: order 1

M
y(x, w) = w0 + w1x + w2 x 2 + ⋯ + wM x M = wj x j
∑
j=0
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Polynomial curve tting: order 3

M
y(x, w) = w0 + w1x + w2 x 2 + ⋯ + wM x M = wj x j
∑
j=0
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Polynomial curve tting: order 9

M
y(x, w) = w0 + w1x + w2 x 2 + ⋯ + wM x M = wj x j
∑
j=0
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 Over tting
▪ Root mean square (RMS) error: ERMS = 2E(w*)/N

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fi
 Over tting

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fi
 E ect of dataset size
▪ Polynomial of order 9 and N = 15

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ff
 E ect of dataset size
▪ Polynomial of order 9 and N = 100

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ff
 Regularization
▪ Penalize large coe cients values

1 N λ
{y(xn, w) − tn} + ∥w∥2
2
2∑
Ẽ(w) =
n=1
2

▪ λ becomes a model parameter

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ffi
 Regularization
▪ Regularization with ln λ = − 18

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 Regularization
▪ Regularization with ln λ = 0

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 Regularization
▪ ERMS versus ln λ

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 Regularization

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 A deeper analysis

Advanced Machine Learning

 What is the issue?

x3 x5 x7 x9
sin x = x − + − + +⋯
3! 5! 7! 9!
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 Linear basis function models
▪ General model is

M−1
wjφj(x) = w⊤φ(x)
∑
y(x, w) =
j=0

▪ φj are known are basis functions

▪ Typically, φ0(x) = 1 so that w0 acts as bias

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 Linear basis function models
▪ General model is

M−1
wjφj(x) = w⊤φ(x)
∑
y(x, w) =
j=0

▪ Polynomial basis functions:

φj(x) = x j

▪ These are global functions

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 Linear basis function models
▪ General model is

M−1
wjφj(x) = w⊤φ(x)
∑
y(x, w) =
j=0

▪ Gaussian basis functions:

(x − μj)2
{ 2s 2 }
φj(x) = exp −

▪ These are local functions

> μj controls location

> s controls scale
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 Linear basis function models
▪ General model is

M−1
wjφj(x) = w⊤φ(x)
∑
y(x, w) =
j=0

▪ Sigmoidal basis functions:

( )
x − μj
φj(x) = σ
s
where
1
σ(a) =
1 + exp(−a)

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 Maximum likelihood
▪ Assume observations from a deterministic function with
added Gaussian noise:
t = y(x, w) + ϵ where p(ϵ | β) = (ϵ | 0, β −1)

{ 2σ 2 }
2 1 1 2
▪ Note that (x | μ, σ ) = exp − (x − μ)
(2πσ 2)1/2

β = 1/σ 2

(x | μ, σ 2) > 0
∞

∫−∞
(x | μ, σ 2) dx = 1
𝒩
𝒩
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𝒩
𝒩
 Maximum likelihood
▪ Assume observations from a deterministic function with
added Gaussian noise:
t = y(x, w) + ϵ where p(ϵ | β) = (ϵ | 0, β −1)

{ 2σ 2 }
2 1 1 2
▪ Note that (x | μ, σ ) = exp − (x − μ)
(2πσ 2)1/2
∞

∫−∞
[x] = x (x | μ, σ 2) dx = μ
∞

∫−∞
[x 2] = x 2 (x | μ, σ 2) dx = μ 2 + σ 2

var[x] = [x 2] − [x]2 = σ 2
𝒩
𝔼
𝔼
𝒩
𝒩
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𝔼
𝔼
𝒩
 Maximum likelihood
▪ Assume observations from a deterministic function with
added Gaussian noise:
t = y(x, w) + ϵ where p(ϵ | β) = (ϵ | 0, β −1)

▪ This is the same as saying

p(t | x, w, β) = (t | y(x, w), β −1)

M−1
wjφj(x) = w⊤φ(x)
▪ Recall: y(x, w) =
∑
j=0

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𝒩
𝒩
 Maximum likelihood
▪ This is the same as saying

p(t | x, w, β) = (t | y(x, w), β −1)

▪ Given observed inputs X = {x1, …, xN} and targets

t = [t1, …, tN ]⊤, we obtain the likelihood function:
N
(tn | w⊤φ(xn), β −1)
∏
p(t | X, w, β) =
n=1
𝒩
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𝒩
 Maximum likelihood
▪ Taking the logarithm, we get
N
(tn | w⊤φ(xn), β −1)
∑
ln p(t | w, β) = ln
n=1
N N
= ln β − ln(2π) − βED(w)
2 2

1 N
{tn − w⊤φ(xn)}2
2∑
where ED(w) =
n=1

{ 2σ 2 }
2 1 1 2
▪ Recall: (x | μ, σ ) = exp − (x − μ)
(2πσ 2)1/2
𝒩
𝒩
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 Maximum likelihood
▪ Computing the gradient and setting it to zero yields
N
{tn − w⊤φ(xn)}φ(xn)⊤ = 0
∑
∇w ln p(t | w, β) = β
n=1
The Moore-Penrose
pseudo-inverse
▪ Solve for w, we get
wML = (Φ Φ) ⊤ −1
Φ⊤t

with φ0(x1) φ1(x1) ⋯ φM−1(x1)

φ0(x2) φ1(x2) ⋯ φM−1(x2)
Φ=
⋮ ⋮ ⋱ ⋮
φ0(xN ) φ1(xN ) ⋯ φM−1(xN )

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 Interpretation
▪ Consider y = ΦwML = [φ1, …, φM]wML

y∈ ⊆

N-dimensional

M-dimensional

▪ is spanned by φ1, …, φM
▪ wML minimizes the distance between t and its orthogonal
projection on , i.e., y

30
𝒮
𝒮
Sandjai Bhulai / Advanced Machine Learning / 8 September 2023
𝒮
𝒯
 Regularization
▪ Consider the error function

ED(w) + λEW (w)

data term + regularization term

▪ With the sum-of-squares error function and a quadratic

regularizer, we get
1 N ⊤ 2 λ ⊤
∑
{tn − w φ(xn)} + w w
2 n=1 2

▪ This is minimized by w = (λI + Φ⊤Φ)

−1
Φ⊤t

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 Regularization
▪ With a more general regularizer, we have

1 N λ M
{tn − w⊤φ(xn)}2 + | wj |q
2∑
n=1
2 ∑
j=1

lasso quadratic

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 Regularization
▪ Lasso tends to generate sparser solutions than a quadratic
regularizer

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