In [ ]:

```
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import seaborn as sns
sns.set_context("talk")
%matplotlib inline
```

In [ ]:

```
import plotly.offline as py
py.init_notebook_mode(connected=False)
from IPython.core.display import display, HTML
# The polling here is to ensure that plotly.js has already been loaded before
# setting display alignment in order to avoid a race condition.
display(HTML(
'<script>'
'var waitForPlotly = setInterval( function() {'
'if( typeof(window.Plotly) !== "undefined" ){'
'MathJax.Hub.Config({ SVG: { font: "STIX-Web" }, displayAlign: "center" });'
'MathJax.Hub.Queue(["setRenderer", MathJax.Hub, "SVG"]);'
'clearInterval(waitForPlotly);'
'}}, 5000 );'
'</script>'
))
```

In [ ]:

```
import plotly.graph_objs as go
import plotly.figure_factory as ff
import cufflinks as cf
cf.set_config_file(offline=False, world_readable=True, theme='ggplot')
```

For this exercise we are going to use synthetic data to illustrate the basic ideas of model design. Notice here that we are generating data from a linear model with Gaussian noise.

In [ ]:

```
train_data = pd.read_csv("data/toy_training_data.csv")
train_data.head()
```

In [ ]:

```
# Visualize the data ---------------------
train_points = go.Scatter(name = "Training Data",
x = train_data['X'], y = train_data['Y'],
mode = 'markers')
# layout = go.Layout(autosize=False, width=800, height=600)
py.iplot(go.Figure(data=[train_points]),
filename="L19_b_p1")
```

** How would you describe this data? **

- Is there a linear relationship between $X$ and $Y$?
- Are there other patterns?
- How noisy is the data?
- Do we see obvious outliers?

The relationship between X and Y does appear to have some linear trend but there also appears to be other patterns in the relationship?

However, in this lecture we will show that linear models can still be used to model this data very effectively.

Yes! Let's see how.

Let's return to what it means to be a linear model:

$$\large f_\theta(x) = x^T \theta = \sum_{j=1}^p x_j \theta_j $$

In what sense is the above model **linear**?

- Linear in the features $x$?
- Linear in the parameters $\theta$?
- Linear in both at the same time?

Yes, Yes, and No. If we look at just the features or just the parameters the model is linear. However, if we look at both at the same time it is not. Why?

Consider the following alternative model formulation:

$$\large f_\theta\left( \phi(x) \right) = \phi(x)^T \theta = \sum_{j=1}^{k} \phi(x)_j \theta_j $$

where $\phi_j$ is an *arbitrary function* from $x\in \mathbb{R}^p$ to $\phi(x)_j \in \mathbb{R}$ and we define $k$ of these functions. We often refer to these functions $\phi_j$ as **feature functions** or **basis functions** and their design plays a critical role in both how we capture prior knowledge and our ability to fit complicated data.

As a consequence, while the model $f_\theta\left( \phi(x) \right)$ is no longer linear in $x$ it is still a **linear model** because it *is linear in $\theta$*. This means we can continue to use the normal equations to compute the optimal parameters.

To apply the normal equations we define the transformed feature matrix:

Then substituting $\Phi$ for $X$ we obtain the **normal equation**:

$$ \large \hat{\theta} = \left( \Phi^T \Phi \right)^{-1} \Phi^T Y $$

It is worth noting that the model is also linear in $\phi$ and that the $\phi_j$ form a new **basis** (hence the term **basis functions**) in which the data live. As a consequence we can think of $\phi$ as mapping the data into a new (often higher dimensional space) in which the relationship between $y$ and $\phi(x)$ is defined by a **hyperplane**.

In our toy data set we observed a cyclic pattern. Here we construct a $\phi$ to capture the cyclic nature of our data and visualize the corresponding hyperplane.

In the following cell we define a function $\phi$ that maps $x\in \mathbb{R}$ to the vector $[x,\sin(x)] \in \mathbb{R}^2$

$$ \large \phi(x) = [x, \sin(x)] $$

**Why not:**

$$ \large \phi(x) = [x, \sin(\theta_3 x + \theta_4)] $$

This would no longer be linear $\theta$. However, in practice we might want to consider a range of $\sin$ basis:

$$ \large \phi_{\alpha,\beta}(x) = \sin(\alpha x + \beta) $$

for different values of $\alpha$ and $\beta$. The parameters $\alpha$ and $\beta$ are typically called **hyperparameters** because (at least in this setting) they are not set automatically through learning.

In [ ]:

```
def sin_phi(x):
return np.hstack([x, np.sin(x)])
```

In [ ]:

```
Phi = sin_phi(train_data[["X"]])
Phi[:5]
```

We can again use the scikit-learn package to fit a linear model on the transformed space.

In [ ]:

```
from sklearn import linear_model
basic_reg = linear_model.LinearRegression(fit_intercept=True)
basic_reg.fit(train_data[['X']], train_data['Y'])
```

In [ ]:

```
from sklearn import linear_model
sin_reg = linear_model.LinearRegression(fit_intercept=True)
sin_reg.fit(sin_phi(train_data[["X"]]), train_data['Y'])
```

In [ ]:

```
X_query = np.linspace(train_data['X'].min()-1, train_data['X'].max() +1, 100)
Y_basic_query = basic_reg.predict(X_query[:, np.newaxis])
Y_sin_query = sin_reg.predict(sin_phi(X_query[:, np.newaxis]))
```

In [ ]:

```
# Define the least squares regression line
basic_line = go.Scatter(name = r"Basic Model", x=X_query, y = Y_basic_query)
sin_line = go.Scatter(name = r"Transformed Model", x=X_query, y = Y_sin_query)
# Definethe residual lines segments, a separate line for each
# training point
residual_lines = [
go.Scatter(x=[x,x], y=[y,yhat],
mode='lines', showlegend=False,
line=dict(color='black', width = 0.5))
for (x, y, yhat) in zip(train_data['X'], train_data['Y'],
sin_reg.predict(sin_phi(train_data[["X"]])))
]
# Combine the plot elements
py.iplot([train_points, basic_line, sin_line] + residual_lines)
```

As discussed earlier the model we just constructed, while non-linear in $x$ is actually a linear model in $\phi(x)$ and we can visualize that linear model's structure in higher dimensions.

In [ ]:

```
# Plot the data in higher dimensions
phi3d = go.Scatter3d(name = "Raw Data",
x = Phi[:,0], y = Phi[:,1], z = train_data['Y'],
mode = 'markers',
marker = dict(size=3),
showlegend=False
)
# Compute the predictin plane
(u,v) = np.meshgrid(np.linspace(-10,10,5), np.linspace(-1,1,5))
coords = np.vstack((u.flatten(),v.flatten())).T
ycoords = sin_reg.predict(coords)
fit_plane = go.Surface(name = "Fitting Hyperplane",
x = np.reshape(coords[:,0], (5,5)),
y = np.reshape(coords[:,1], (5,5)),
z = np.reshape(ycoords, (5,5)),
opacity = 0.8, cauto = False, showscale = False,
colorscale = [[0, 'rgb(255,0,0)'], [1, 'rgb(255,0,0)']]
)
# Construct residual lines
Yhat = sin_reg.predict(Phi)
residual_lines = [
go.Scatter3d(x=[x[0],x[0]], y=[x[1],x[1]], z=[y, yhat],
mode='lines', showlegend=False,
line=dict(color='black'))
for (x, y, yhat) in zip(Phi, train_data['Y'], Yhat)
]
# Label the axis and orient the camera
layout = go.Layout(
height=800,
scene=go.Scene(
xaxis=go.XAxis(title='X'),
yaxis=go.YAxis(title='sin(X)'),
zaxis=go.ZAxis(title='Y'),
aspectratio=dict(x=1.,y=1., z=.5),
camera=dict(eye=dict(x=-1, y=-1, z=0))
)
)
py.iplot(go.Figure(data=[phi3d, fit_plane] + residual_lines, layout=layout))
```

How well are we fitting the data? We can compute the root mean squared error.

In [ ]:

```
def rmse(y, yhat):
return np.sqrt(np.mean((yhat-y)**2))
```

In [ ]:

```
basic_rmse = rmse(train_data['Y'], basic_reg.predict(train_data[['X']]))
sin_rmse = rmse(train_data['Y'], sin_reg.predict(sin_phi(train_data[['X']])))
```

In [ ]:

```
py.iplot(go.Figure(data =[go.Bar(
x=[r'Basic Regression',
r'Sine Transformation'],
y=[basic_rmse, sin_rmse]
)], layout = go.Layout(title="Loss Comparison",
yaxis=dict(title="RMSE"))))
```

We will now explore a range of generic feature transformations. However, before we proceed it is worth contrasting two categories of feature functions and their applications.

**Interpretable Features:**In settings where our goal is to understand the model (e.g., identify important features that predict customer churn) we may want to construct meaningful features based on our understanding of the domain.**Generic Features:**However, in other settings where our primary goals is to make accurate predictions we may instead introduce generic feature functions that enable our models to fit*and generalize*complex relationships.

One of the more widely used generic feature functions are Gaussian radial basis functions. These feature functions take the form:

$$ \phi_{(\lambda, u_1, \ldots, u_k)}(x) = \left[\exp\left( - \frac{\left|\left|x-u_1\right|\right|_2^2}{\lambda} \right), \ldots, \exp\left( - \frac{\left|\left| x-u_k \right|\right|_2^2}{\lambda} \right) \right] $$

The **hyper-parameters** $u_1$ through $u_k$ and $\lambda$ are not optimized with $\theta$ but instead are set externally. In many cases the $u_i$ may correspond to points in the training data. The term $\lambda$ defines the spread of the basis function and determines the "smoothness" of the function $f_\theta(\phi(x))$.

The following is a plot of three radial basis function centered at 2 with different values of $\lambda$.

In [ ]:

```
def gaussian_rbf(u, lam=1):
return lambda x: np.exp(-(x - u)**2 / lam**2)
```

In [ ]:

```
tmpX = np.linspace(-2, 6,1000)
py.iplot([
dict(name=r"$\lambda=0.5$", x=tmpX,
y=gaussian_rbf(2, lam=0.5)(tmpX)),
dict(name=r"$\lambda=1$", x=tmpX,
y=gaussian_rbf(2, lam=1.)(tmpX)),
dict(name=r"$\lambda=2$", x=tmpX,
y=gaussian_rbf(2, lam=2.)(tmpX))
])
```

To simplify the following analysis we create two helper functions.

`uniform_rbf_phi`

which constructs uniformly spaced RBF functions and each function is a feature that has a large value when the input $x$ is nearby.`evaluate_basis`

which takes a feature function configuration and fits a model

In [ ]:

```
def uniform_rbf_phi(x, lam=1, num_basis = 10, minvalue=-9, maxvalue=9):
return np.hstack([gaussian_rbf(u, lam)(x) for u in np.linspace(minvalue, maxvalue, num_basis)])
```

In [ ]:

```
tmpXTall = np.linspace(-11, 11,1000)[:,np.newaxis]
py.iplot([
dict(x=tmpXTall[:,0],
y=y)
for y in uniform_rbf_phi(tmpXTall, lam=0.5).T
])
```

In [ ]:

```
def evaluate_basis(phi, desc):
# Apply transformation
Phi = phi(train_data[["X"]])
# Fit a model
reg_model = linear_model.LinearRegression(fit_intercept=True)
reg_model.fit(Phi, train_data['Y'])
# Create plot line
X_test = np.linspace(-11, 11, 1000) # Fine grained test X
Phi_test = phi(X_test[:,np.newaxis])
Yhat_test = reg_model.predict(Phi_test)
line = go.Scatter(name = desc, x=X_test, y=Yhat_test)
# Compute RMSE
Yhat = reg_model.predict(Phi)
error = rmse(train_data['Y'], Yhat)
# return results
return (line, error, reg_model)
```

In [ ]:

```
(rbf_line10, rbf_rmse10, rbf_reg10) = \
evaluate_basis(lambda x: uniform_rbf_phi(x, lam=1, num_basis=10), r"RBF10")
py.iplot([train_points, rbf_line10, basic_line, sin_line])
```

We are now getting a really good fit to this dataset!!!!

In [ ]:

```
(rbf_line50, rbf_rmse50, rbf_reg50) = \
evaluate_basis(lambda x: uniform_rbf_phi(x, lam=0.3, num_basis=50), r"RBF50")
fig = go.Figure(data=[train_points, rbf_line50, rbf_line10, sin_line, basic_line ],
layout = go.Layout(xaxis=dict(range=[-10,10]),
yaxis=dict(range=[-10,50])))
py.iplot(fig)
```

In [ ]:

```
train_bars = go.Bar(
x=[r'Basic Regression',
r'Sine Transformation',
r'RBF 10',
r'RBF 50'],
y=[basic_rmse, sin_rmse, rbf_rmse10, rbf_rmse50],
name="Training Erorr")
py.iplot(go.Figure(data = [train_bars], layout = go.Layout(title="Loss Comparison",
yaxis=dict(title="RMSE"))))
```

We started with the objective of minimizing the training loss (error). As we increased the model sophistication by adding features we were able to fit increasingly complex functions to the data and reduce the loss. However, is our ultimate goal to minimize training error?

Ideally we would like to minimize the error we make when making new predictions at unseen values of $X$. One way to evaluate that error is use a **test dataset** which is distinct from the dataset used to train the model. Fortunately, we have such a test dataset.

In [ ]:

```
test_data = pd.read_csv("data/toy_test_data.csv")
test_points = go.Scatter(name = "Test Data", x = test_data['X'], y = test_data['Y'],
mode = 'markers', marker=dict(symbol="cross", color="red"))
py.iplot([train_points, test_points])
```

In [ ]:

```
def test_rmse(phi, reg):
return rmse(test_data['Y'], reg.predict(phi(test_data[['X']])))
```

In [ ]:

```
test_bars = go.Bar(
x=[r'Basic Regression',
r'Sine Transformation',
r'RBF 10',
r'RBF 50'],
y=[test_rmse(lambda x: x, basic_reg),
test_rmse(sin_phi, sin_reg),
test_rmse(lambda x: uniform_rbf_phi(x, lam=1, num_basis=10), rbf_reg10),
test_rmse(lambda x: uniform_rbf_phi(x, lam=0.3, num_basis=50), rbf_reg50)
],
name="Test Error"
)
py.iplot(go.Figure(data =[train_bars, test_bars], layout = go.Layout(title="Loss Comparison",
yaxis=dict(title="RMSE"))))
```

As we increase the expressiveness of our model we begin to **over-fit** to the variability in our training data. That is we are learning patterns that do not **generalize** beyond our training dataset

**Over-fitting** is a key challenge in machine learning and statistical inference. At it's core is a fundamental trade-off between **bias** and **variance**: *the desire to explain the training data and yet be robust to variation in the training data*.

We will study the **bias-variance** trade-off more in the next lecture but for now we will focus on the trade-off between under fitting and over fitting:

To manage over-fitting it is essential to split your initial training data into a training and testing dataset.

Before running cross validation split the data into train and test subsets (typically a 90-10 split). How should you do this? You want the test data to reflect the prediction goal:

**Random**sample of the training data**Future**examples- Different
**stratifications**

Ask yourself, where will I be using this model and how does that relate to my test data.

**Do not look at the test data until after selecting your final model.** Also, it is very important to **not look at the test data until after selecting your final model.** Finally, you should **not look at the test data until after selecting your final model.**

*With the remaining training data:*

- Split the remaining
**training dataset**k-ways as in the Figure above. The figure uses 5-Fold which is standard. You should split the data in the same way you constructed the test set (this is typically randomly) - For each split train the model on the training fraction and then compute the error (RMSE) on the validation fraction.
- Average the error across each validation fraction to
*estimate*the test error.

**Questions:**

- What is this accomplishing?
- What are the implication on the choice of $k$?

**Answers:**

- This is repeatedly simulating the train-test split we did earlier. We repeat this process because it is noisy.
**Larger $k$**means we average our validation error over more instances which makes our estimate of the test error**more stable**. This typically also means that the validation set is smaller so we have more training data. However, larger $k$ also means we have to train the model more often which gets computational expensive