The AUC score is a popular summary statistic that is often used to communicate the performance of a classifier. However, we illustrate here that this score depends not only on the quality of the model in question, but also on the difficulty of the test set considered: If samples are added to a test set that are easily classified, the AUC will go up — even if the model studied has not improved. In general, this behavior implies that isolated, single AUC scores cannot be used to meaningfully qualify a model’s performance. Instead, the AUC should be considered a score that is primarily useful for comparing and ranking multiple models — each at a common test set difficulty.
Here, we provide a brief introduction to reinforcement learning (RL) — a general technique for training programs to play games efficiently. Our aim is to explain its practical implementation: We cover some basic theory and then walk through a minimal python program that trains a neural network to play the game battleship.
There are many tutorials with directions for how to use your Nvidia graphics card for GPU-accelerated Theano and Keras for Linux, but there is only limited information out there for you if you want to set everything up with Windows and the current CUDA toolkit. This is a shame however because there are a large number of computers out there with very nice video cards that are only running windows, and it is not always practical to use a Virtual Machine, or Dual-Boot. So for today’s post we will go over how to get everything running in Windows 10 by saving you all the trial and error I went through. (All of these steps should also work in earlier versions of Windows).
Our last post showed how to obtain the least-squares solution for linear regression and discussed the idea of sampling variability in the best estimates for the coefficients. In this post, we continue the discussion about uncertainty in linear regression — both in the estimates of individual linear regression coefficients and the quality of the overall fit.
Specifically, we’ll discuss how to calculate the 95% confidence intervals and p-values from hypothesis tests that are output by many statistical packages like python’s statsmodels or R. An example with code is provided at the end.
We review classical linear regression using vector-matrix notation. In particular, we derive a) the least-squares solution, b) the fit’s coefficient covariance matrix — showing that the coefficient estimates are most precise along directions that have been sampled over a large range of values (the high variance directions, a la PCA), and c) an unbiased estimate for the underlying sample variance (assuming normal sample variance in this last case). We then review how these last two results can be used to provide confidence intervals / hypothesis tests for the coefficient estimates. Finally, we show that similar results follow from a Bayesian approach.
Last edited July 23, 2016.
Two microphones are placed in a room where two conversations are taking place simultaneously. Given these two recordings, can one “remix” them in some prescribed way to isolate the individual conversations? Yes! In this post, we review one simple approach to solving this type of problem, Independent Component Analysis (ICA). We share an ipython document implementing ICA and link to a youtube video illustrating its application to audio de-mixing.
We review the two essentials of principal component analysis (“PCA”): 1) The principal components of a set of data points are the eigenvectors of the correlation matrix of these points in feature space. 2) Projecting the data onto the subspace spanned by the first $k$ of these — listed in descending eigenvalue order — provides the best possible $k$-dimensional approximation to the data, in the sense of captured variance.
To whet your appetite for support vector machines, here’s a quote from machine learning researcher Andrew Ng:
“SVMs are among the best (and many believe are indeed the best) ‘off-the-shelf’ supervised learning algorithms.”
Professor Ng covers SVMs in his excellent Machine Learning MOOC, a gateway for many into the realm of data science, but leaves out some details, motivating us to put together some notes here to answer the question:
“What are the support vectors in support vector machines?”
We have made use of Python’s Pandas package in a variety of posts on the site. These have showcased some of Pandas’ abilities including the following:
- DataFrames for data manipulation with built in indexing
- Handling of missing data
- Data alignment
- Melting/stacking and Pivoting/unstacking data sets
- Groupby feature allowing split -> apply -> combine operations on data sets
- Data merging and joining
Pandas is also a high performance library, with much of its code written in Cython or C. Unfortunately, Pandas can have a bit of a steep learning curve — In this post, I’ll cover some introductory tips and tricks to help one get started with this excellent package.
- This post was partially inspired by Tom Augspurger’s Pandas tutorial, which has a youtube video that can be viewed along side it. We also suggest some other excellent resource materials — where relevant — below.
- The notebook we use below can be downloaded from our github page. Feel free to grab it and follow along.
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