As you can imagine, with increasing strength of the prior $s$, mentioned above, comes reduction in the magnitude of the regression coefficients $\beta$. Instead of using an $L2$ norm in the prior, one can also use an L1 norm, and then the log Likelihood becomes:
\begin{eqnarray}
- \mathcal{L}(\beta \vert X,Y) &=& \frac{(X_{ni} \beta_i - Y_n)^2}{2\sigma^2} + \left(\sum_i \vert \beta_i \vert \right)
\end{eqnarray}
Which can be solved as a Quadratic programming problem as long as one puts an inequality constraint on the sum of the absolute coefficients of $\beta$: $T(\beta) = \sum_i \vert \beta_i \vert < t$. This type of normalization of the regression coefficients is called the LASSO, and by the nature of its $\beta$ penalization, chooses solutions that are sparse in regressors -- i.e. kills off coefficients and features that seem not to matter. With a decreasing value of $t$ comes, fewer and few features, as you can imagine, and just like our parameter $s$ above, we have explicit control over the ``filtering'' pressure of our regression coefficients $\beta$.
L2 and L1 regularization of regression coefficients lead to slightly different solutions. L2 tends to spread coefficient magnitude across clusters of variables that are all correlated with the target, while L1 aggressively prunes coefficient magnitude to the ``winners'' of the feature set. Making a plot of $\beta_i(t), \beta_i(s)$ for both L1 and L2 regularization, reveals this.
The lasso can be very useful when trying to isolate ``what matters'' in a regression problem, and just like ridge regression, helps control linear dependence and colinearity within the data matrix, but one can also use simple clustering techniques to choose the ``best'' set of features. For example, take the normalized correlation matrix:
\begin{eqnarray}
\tilde{X}_{ni} &=& \frac{X_{ni}-\mu_i}{\sigma_i} \\
\rho_{ij} &=& \mathrm{corr}(x_i,x_j) = \frac{1}{N} \tilde{X}_{ni}\tilde{X}_{nj}
\end{eqnarray}
The upper diagonal portion of $\rho_{ij}$ represents a graph, where the nodes are the features $i$ and the edges are the matrix entries -- each between 0 and 1. We can ``cluster'' our set of features very easily, by simply thresholding $\rho_{ij} > \epsilon$ and then picking out connected components from the matrix. The connected components -- depending upon how many of them there are, each represent ``feature groups'', from which one can choose the most highly correlated feature with the target:
\begin{eqnarray}
\lbrace C_n \rbrace &=& \mathrm{conn}(\rho_{ij} > \epsilon) \\
x_\mathrm{c} &=& \mathrm{max}_{i \in c} \left(\mathrm{corr}(x_i, y)\right) \ \ \forall c \in \lbrace C_n \rbrace
\end{eqnarray}
Obviously, this filtered set of features -- and their multiplicity -- will be a function of $\epsilon$. As $\epsilon \to 1$ we will have all features come out, $x_c = x_i$, and as $\epsilon \to 0$ we will have the single, most highly-correlated feature: $x_c = \max_i \mathrm{corr}(x_i,y)$.
The whole point of doing this, of course, is to find a set of features $x_c$ that are statistically de-coupled from one - another, and it really reduces to a supervised down-sampling of the initial data.
Because regularization paths are so popular, especially from a diagnostic point of view, it's worth mentioning that one of my favorite algorithms for sequentially adding in features to a regression problem is LARS -- or least Angle Regression. The basic idea comes from boosting, but I'll get to it in the next post.
\begin{eqnarray}
- \mathcal{L}(\beta \vert X,Y) &=& \frac{(X_{ni} \beta_i - Y_n)^2}{2\sigma^2} + \left(\sum_i \vert \beta_i \vert \right)
\end{eqnarray}
Which can be solved as a Quadratic programming problem as long as one puts an inequality constraint on the sum of the absolute coefficients of $\beta$: $T(\beta) = \sum_i \vert \beta_i \vert < t$. This type of normalization of the regression coefficients is called the LASSO, and by the nature of its $\beta$ penalization, chooses solutions that are sparse in regressors -- i.e. kills off coefficients and features that seem not to matter. With a decreasing value of $t$ comes, fewer and few features, as you can imagine, and just like our parameter $s$ above, we have explicit control over the ``filtering'' pressure of our regression coefficients $\beta$.
L2 and L1 regularization of regression coefficients lead to slightly different solutions. L2 tends to spread coefficient magnitude across clusters of variables that are all correlated with the target, while L1 aggressively prunes coefficient magnitude to the ``winners'' of the feature set. Making a plot of $\beta_i(t), \beta_i(s)$ for both L1 and L2 regularization, reveals this.
The lasso can be very useful when trying to isolate ``what matters'' in a regression problem, and just like ridge regression, helps control linear dependence and colinearity within the data matrix, but one can also use simple clustering techniques to choose the ``best'' set of features. For example, take the normalized correlation matrix:
\begin{eqnarray}
\tilde{X}_{ni} &=& \frac{X_{ni}-\mu_i}{\sigma_i} \\
\rho_{ij} &=& \mathrm{corr}(x_i,x_j) = \frac{1}{N} \tilde{X}_{ni}\tilde{X}_{nj}
\end{eqnarray}
The upper diagonal portion of $\rho_{ij}$ represents a graph, where the nodes are the features $i$ and the edges are the matrix entries -- each between 0 and 1. We can ``cluster'' our set of features very easily, by simply thresholding $\rho_{ij} > \epsilon$ and then picking out connected components from the matrix. The connected components -- depending upon how many of them there are, each represent ``feature groups'', from which one can choose the most highly correlated feature with the target:
\begin{eqnarray}
\lbrace C_n \rbrace &=& \mathrm{conn}(\rho_{ij} > \epsilon) \\
x_\mathrm{c} &=& \mathrm{max}_{i \in c} \left(\mathrm{corr}(x_i, y)\right) \ \ \forall c \in \lbrace C_n \rbrace
\end{eqnarray}
Obviously, this filtered set of features -- and their multiplicity -- will be a function of $\epsilon$. As $\epsilon \to 1$ we will have all features come out, $x_c = x_i$, and as $\epsilon \to 0$ we will have the single, most highly-correlated feature: $x_c = \max_i \mathrm{corr}(x_i,y)$.
The whole point of doing this, of course, is to find a set of features $x_c$ that are statistically de-coupled from one - another, and it really reduces to a supervised down-sampling of the initial data.
Because regularization paths are so popular, especially from a diagnostic point of view, it's worth mentioning that one of my favorite algorithms for sequentially adding in features to a regression problem is LARS -- or least Angle Regression. The basic idea comes from boosting, but I'll get to it in the next post.
No comments:
Post a Comment