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Recitation Remix 2012

 

1.  Linear boundary for 2-class Gaussian Naive Bayes with shared variances

For Gaussian Naive Bayes, we typically estimate a separate variance for each feature j and each class k, {$\sigma_{jk}$}. However consider a simpler model where we assume the variances are shared, so there is one parameter per feature, {$\sigma_{j}$}. What this means is that the shape (the density contour ellipse) of the multivariate Gaussian for each class is the same. In this case the decision boundary is linear:

{$P(Y=1|X) = \frac{1}{1 + \exp\{w_0 + \textbf{w}^\top X\}}, \; {\rm for}\;\; {\rm some} \;\; w_0,\textbf{w}$}

Let’s derive it:

{$ \begin{align*} P(Y=1|X) & = \frac{P(Y=1)P(X|Y=1)}{P(Y=1)P(X|Y=1)+P(Y=0)P(X|Y=0)}\\ & = \frac{1}{1+\frac{P(Y=0)P(X|Y=0)}{P(Y=1)P(X|Y=1)}}\\ & = \frac{1}{1+ \exp\Big(\log \frac{P(Y=0)P(X|Y=0)}{P(Y=1)P(X|Y=1)}\Big)} \end{align*} $}

Now let’s plug in our definitions:

{$ \begin{align*} P(Y=1) & =\theta \\ P(X_j|Y=1) & = \frac{1}{\sigma_j\sqrt{2\pi}} \exp\Bigg\{\frac{-(X_j-\mu_{j1})^2}{2\sigma_j^2}\Bigg\}\\ P(X_j|Y=0) & = \frac{1}{\sigma_j\sqrt{2\pi}} \exp\Bigg\{\frac{-(X_j-\mu_{j0})^2}{2\sigma_j^2}\Bigg\} \end{align*} $}

Note that here we’re using capital {$X$} and {$X_j$} to denote that these are random variables (and not to imply that they are matrices). We now have:

{$ \begin{align*} & \log \frac{P(Y=0)P(X|Y=0)}{P(Y=1)P(X|Y=1)} \\ & = \log P(Y=0) + \log P(X|Y=0) - \log P(Y=1) - \log P(X|Y=1)\\ & = \log \frac{P(Y=0)}{P(Y=1)} +\sum_j\log\frac{P(X_j|Y=0)}{P(X_j|Y=1)} \end{align*} $}

Question: How did we get to the previous step in this derivation? What assumptions did we have to make?

Let’s examine the {$ \sum_j\log\frac{P(X_j|Y=0)}{P(X_j|Y=1)} $} term. By plugging in our definitions, we get: {$ \; $ \begin{align*} \sum_j\log\frac{P(X_j|Y=0)}{P(X_j|Y=1)} =& \sum_j \log\left( \frac{\frac{1}{\sigma_j\sqrt{2\pi}}\exp\left(\frac{-(X_j-u_{j0})^2}{2\sigma_j^2} \right)}{\frac{1}{\sigma_j\sqrt{2\pi}}\exp\left(\frac{-(X_j-u_{j1})^2}{2\sigma_j^2} \right)} \right)\\ =&\sum_j \log\left[ \exp\left(-\frac{(X_j-u_{j0})^2}{2\sigma_j^2} + \frac{(X_j-u_{j0})^2}{2\sigma_j^2} \right)\right]\\ =& \sum_j \frac{-X_j^2 + 2X_j\mu_{j0} -\mu_{j0}^2 + X_j^2 - 2X_j\mu_{j1}+\mu_{j1}^2}{2\sigma_j^2} \end{align*} $ \; $}

Now we substitute it back into the original equation:

{$ \begin{align*}& = \log \frac{1-\theta}{\theta} + \sum_j \frac{(\mu_{j0} - \mu_{j1})X_j}{\sigma_j^2} + \frac{\mu_{j1}^2 - \mu_{j0}^2}{2\sigma_j^2}\\ & = w_0 + \textbf{w}^\top X\end{align*} $}

Question: What can we say about the decision boundary for GNB with shared variances?

Question: Does this mean that GNB with shared variances and logistic regression will find the same decision boundary on a given problem?

Question: Why do we need to use shared variances to get a linear decision boundary?

2.  LOO: Leave-one-out cross-validation

When the dataset is very small, leaving one tenth out depletes our data too much, but making the validation set too small makes the estimate of the true error unstable (noisy). One solution is to do a kind of round-robin validation: for each complexity setting, learn a classifier on all the training data minus one example and evaluate its error the remaining example. Leave-one-out error is defined as:

{$\textbf{LOO error}: \frac{1}{n} \sum_i \mathbf{1}(h(\mathbf{x}_i; D_{-i})\ne y_i)$}

where {$D_{-i}$} is the dataset minus ith example and {$h(\mathbf{x}_i; D_{-i})$} is the classifier learned on {$D_{-i}$}. LOO error is an unbiased estimate of the error of our learning algorithm (for a given complexity setting) when given n-1 examples.

Intuitively, LOOCV is cross validation with the number of folds set to the number of training points.

Question: Suppose we train a set of weights {$ \hat{w}^{(-i)} $} on a data matrix that has one example removed, denoted by {$ X^{(-i)} $}. We then make a prediction using the trained weights: {$\hat{Y}^{(-i)} = X\hat{w}^{(-i)}$}. What is the dimensionality of {$ \hat{Y}^{(-i)} $}?

3.  MLE Examples

3.1  Poisson distribution

The Poisson distribution can be useful to model how frequently an event occurs in a certain interval of time (packet arrival density in a network, failures of a machine in one month, customers arriving at a waiting line…). Like any other distribution, the parameter (here {$\lambda$}) can be estimated from some measurements/experiences. The pmf is the following:

{$P(X \mid \lambda) = \frac{\lambda^X e^{-\lambda}}{X!}$}

1. Show that maximum-likelihood estimate of {$\lambda$} is {$\hat{\lambda} = \frac{1}{n} \sum_i X_i$}.
2. Show that the MLE of {$\lambda$} is unbiased: show that {$\mathbb{E}_X[\hat{\lambda}(X)] = \lambda$}
3. To express the MAP estimate of {$\lambda$} we need to incorporate a prior term. The idea is to use a prior distribution that will facilitate the calculations: here the conjugate prior of the Poisson distribution is the Gamma distribution:
   {$\Gamma(\lambda \mid \alpha,\beta) = \frac{\beta^{\alpha}}{\Gamma(a)}\lambda^{\alpha-1}e^{-\beta\lambda}, \;\;\lambda > 0$}
   Compute the posterior distribution. Hint: show that it has the same form as the prior (hence the expression “conjugate prior”).
4. Using the posterior you just computed, find the analytic expression of the MAP estimate. Not only does the posterior have a nice closed-form expression, but it also gives us an idea of how the likelihood updates MLE.

3.2  Multivariate Gaussian Estimation

The formula for the multivariate Gaussian is much like that of the univariate Gaussian. Consider the n-variate case where {$X = (X_1, X_2, \ldots, X_n)$}:

{$ P(X \mid \mu, \Sigma) = \frac{1}{(2\pi)^{n/2} |\Sigma|^{1/2}} \exp \Bigg(-\frac{1}{2} (X - \mu)^T \Sigma^{-1}(X - \mu) \Bigg). $}

{$\Sigma$} is called the covariance matrix. Expanding all the vectors and matrices in this formula to clarify what each contains:

{$ P\left( \left.\left[ \begin{array}{c} X_1 \\ \vdots \\ X_n \end{array} \right]\;\; \right\vert \;\; \left[ \begin{array}{c} \mu_1 \\ \vdots \\ \mu_n \end{array} \right], \left[ \begin{array}{ccc} \sigma_{11} & \ldots & \sigma_{1n} \\ \vdots & \vdots & \vdots \\ \sigma_{n1} & \ldots & \sigma_{nn} \end{array} \right] \right) = (2\pi)^{-n/2} \left| \begin{array}{ccc} \sigma_{11} & \ldots & \sigma_{1n} \\ \vdots & \vdots & \vdots \\ \sigma_{n1} & \ldots & \sigma_{nn} \end{array} \right|^{-1/2} e^{\Omega}$}

where

{$\Omega = \Bigg(-\frac{1}{2} \left[ \begin{array}{ccc} (X_1 - \mu_1) & \ldots & (X_n - \mu_n) \end{array} \right] \left[ \begin{array}{ccc} \sigma_{11} & \ldots & \sigma_{1n} \\ \vdots & \vdots & \vdots \\ \sigma_{n1} & \ldots & \sigma_{nn} \end{array} \right]^{-1} \left[ \begin{array}{c} X_1 - \mu_1 \\ \vdots \\ X_n - \mu_n \end{array} \right] \Bigg)$}

where {$\sigma_{ij} = cov(X_i, X_j) = \mathbb{E}_X[(X_i - \mu_i)(X_j - \mu_j)]$}, hence {$\sigma_{ii} = var(X_i) = \mathbb{E}_X[(X_i - \mu_i)^2]$}. In the exercises below, we’ll consider how to best set the parameters of a bivariate Gaussian, {$P(X_1, X_2 \mid \mu_1, \mu_2, \sigma_{11}, \sigma_{22}, \sigma_{12})$}, on the basis of a dataset {$D = \left\{(x_{1}^{(1)}, x_{2}^{(1)}), \ldots, (x_{1}^{(m)}, x_{2}^{(m)})\right\} $} which contains {$m$} data points.

• Compute the MLE of {$\mu_1$}, {$\sigma_{11}$}, and {$\sigma_{12}$} for the bivariate Gaussian. (Your answer should be in terms of the data in {$D$}).

(:answiki:) We will show the result for the multivariate case and interpret it in the 2D case. Just like in the 1D case, the procedure is the following:

1. Form the likelihood of the data, {$\prod_{i = 1}^m P_i$}, where each {$P_i$} is in the form of a bivariate Gaussian
2. Take the log of the likelihood to make the math easier later
3. Take the derivative of the log likelihood with respect to the parameter of interest, then set that equal to 0, and finally solve for the parameter of interest.

Here the parameters we want to estimate are a vector ({$\mu$}) and a matrix ({$\Sigma$}). We could develop the likelihood to expose {$\mu_1,\mu_2,\sigma_{11},\sigma_{22},\sigma_{12}$} and take derivatives w.r.t. each of them, but let’s use a faster method: we are going to take derivatives with respect to the vector {$\mu$} and the matrix {$\Sigma$}:

• When {$f(\mu)$} is a scalar, {$\frac{df(\mu)}{d\mu}$} is a vector (each component is {$\frac{df}{d\mu_i}$})
• When {$f(\mu)$} is a vector {$(f_1(\mu),\ldots,f_K(\mu))$} (where each {$f_i$} is scalar), {$\frac{df(\mu)}{d\mu}$} is a matrix: each row {$i$} is the vector {$\frac{df_i}{d\mu}$} as defined above.
• When {$f(\Sigma)$} is a scalar, {$\frac{df(\mu)}{d\Sigma}$} is a matrix (where each component {$(i,j)$} is {$\frac{df(\mu)}{d\Sigma_{i,j}}$})

Here are useful derivation formulas that we will use. Make sure you understand the dimensions using the 3 facts above. When {$x$} is a vector and {$A$} and {$B$} squared matrices, we have:

1. {$\frac{d(Ax)}{dx}=A$} (analog to {$\frac{d(ax)}{dx}=a$} in 1D)
2. {$\frac{d(x^TAx)}{dx}=2x^TA$} (analog to {$\frac{d(ax^2)}{dx}=2ax$} in 1D)
3. {$\frac{d(Tr(AB))}{dB}=A^T$}
4. {$\frac{d(\log |A|)}{dA} = A^{-1}$}

MLE of the mean (:centereq:) {$\begin{array}{rl} \log P(D \mid \mu,\Sigma) &= -\frac{Nd}{2} \log(2\pi) - \frac{N}{2} \log |\Sigma| - \frac{1}{2} \sum_{i=1}^N (x_i-\mu)^T \Sigma^{-1}(x_i-\mu) \\ \frac{d\log P(D \mid \mu,\Sigma)}{d\mu} &= \sum_{i=1}^N (x_i-\mu)^T \Sigma^{-1} \end{array}$} (:centereqend:) By setting this derivative to zero (which means we are setting all its components to 0, since it is a vector), we have the following: (:centereq:) {$\mu_{MLE} = \frac{1}{N} \sum_{i=1}^N x_i$} (:centereqend:)

MLE of the variance
The most dreadful term is the sum containing {$\Sigma^{-1}$}. We can rewrite it as follows: (:centereq:){$\begin{array}{rl}\sum_i (x_i-\mu)^T \Sigma^{-1} (x_i - \mu) =& \sum_i Tr((x_i-\mu)^T \Sigma^{-1} (x_i - \mu)) \\ =& \sum_i Tr(\Sigma^{-1}(x_i - \mu)(x_i-\mu)^T ) \end{array}$}(:centereqend:) We used the fact that the trace is invariant under circular permutation. Now we could almost use the derivation formula number (3). Actually we can if we consider {$P(D\mid \mu,\Sigma)$} as a function of {$\Sigma^{-1}$} instead of {$\Sigma$}: we can indeed write {$-\log|\Sigma| = \log(\frac{1}{|\Sigma|}) = \log|\Sigma^{-1}|$}. The likelihood reaches its maximum when the derivative w.r.t. {$\Sigma^{-1}$} is zero:

(:centereq:){$\frac{d\log P(D \mid \mu,\Sigma)}{d(\Sigma^{-1})} = 0 = \frac{N}{2}\Sigma - \frac{1}{2}\sum_i (x_i-\mu)(x_i-\mu)^T$}(:centereqend:)

(:centereq:) {$\Sigma_{MLE} = \frac{1}{N} \sum_i (x_i- \mu)(x_i - \mu)^T$} (:centereqend:)

This turns out to be the empirical covariance matrix of the data: we will study its properties and meaning later on, when we will introduce PCA. Using the two MLE formulas we just found, we can write the coefficients of {$\mu$} and {$\Sigma$} in 2D as follows:

(:centereq:) {$ \begin{array}{rl} \hat{\mu}_{1_{MLE}} & = \frac{1}{m} \sum_{i = 1}^m x_1^{(i)} \\ \hat{\sigma}_{11_{MLE}} & = \frac{1}{m} \sum_{i = 1}^m (x_1^{(i)} - \hat{\mu}_1)^2 \\ \hat{\sigma}_{12_{MLE}} & = \frac{1}{m} \sum_{i = 1}^m (x_1^{(i)} - \hat{\mu}_1)(x_2^{(i)} - \hat{\mu}_2) \end{array} $} (:centereqend:) (:answikiend:)

• Now suppose we add a prior on {$\mu$} that is also a bivariate Gaussian: {$P(\mu_1, \mu_2 \mid \mu_{1_0}, \mu_{2_0}, \sigma_{11_0}, \sigma_{22_0}, \sigma_{12_0})$}. Compute the MAP estimate of {$\mu = [\mu_1, \mu_2]^T$} using this prior. (:ans:)

The intermediate steps are not shown here, but the general procedure is to form the likelihood*prior, {$\prod_{i = 1}^m P_i*P(\mu)$}, where each {$P_i$} is in the form of a bivariate Gaussian, then take the log of this expression to make the math easier later, then take the derivative with respect to {$\mu_1$}, then set that equal to 0, and finally solve for {$\mu$}.

(:centereq:) {$ \hat{\mu}_{MAP} = (\Sigma_0^{-1} + m\Sigma^{-1})^{-1}\Bigg(\mu_0^T\Sigma_0^{-1} + \sum_{i = 1}^m x^{(i)}\Sigma^{-1}\Bigg) $} (:centereqend:)

where {$\mu_0 = [\mu_{1_0}, \mu_{2_0}]^T$} and {$x^{(i)} = [x_1^{(i)}, x_2^{(i)}]^T$} (the i-th data point). (:ansend:)

MLE for the general multivariate case is detailed on Wikipedia, if you’re curious.

3.3  Poisson distribution

The Poisson distribution can be useful to model how frequently an event occurs in a certain interval of time (packet arrival density in a network, failures of a machine in one month, customers arriving at a waiting line…). Like any other distribution, the parameter (here {$\lambda$}) can be estimated from some measurements/experiences. The pmf is the following:

{$P(X \mid \lambda) = \frac{\lambda^X e^{-\lambda}}{X!}$}

1. Show that maximum-likelihood estimate of {$\lambda$} is {$\hat{\lambda} = \frac{1}{n} \sum_i X_i$}.
2. Show that the MLE of {$\lambda$} is unbiased: show that {$\mathbb{E}_X[\hat{\lambda}(X)] = \lambda$}
3. To express the MAP estimate of {$\lambda$} we need to incorporate a prior term. The idea is to use a prior distribution that will facilitate the calculations: here the conjugate prior of the Poisson distribution is the Gamma distribution:
   {$\Gamma(\lambda \mid \alpha,\beta) = \frac{\beta^{\alpha}}{\Gamma(a)}\lambda^{\alpha-1}e^{-\beta\lambda}, \;\;\lambda > 0$}
   Compute the posterior distribution. Hint: show that it has the same form as the prior (hence the expression “conjugate prior”).
4. Using the posterior you just computed, find the analytic expression of the MAP estimate. Not only does the posterior have a nice closed-form expression, but it also gives us an idea of how the likelihood updates MLE.

4.  Basis functions

Even though LR and sometimes GNB result in linear decision boundaries, we can still potentially learn very difficult, non-separable datasets by transforming the inputs using basis functions. For example, consider the XOR dataset:

Clearly this is not separable. But by transforming the input into a new space, this dataset can be made separable. Consider {$\phi_1(\mathbf{x}) = x_1+x_2$} and {$\phi_2(\mathbf{x}) = x_1\cdot x_2$}. If we plot the same data along the new dimensions {$\phi_1$} and {$\phi_2$}, we find:

The data is now separable! Let’s look at another example.

This looks like a sin function, and it is also not separable. However, if we could “flip” the orientation of the curve, we could draw a line through the data. Let’s consider the new basis {$\phi_1(\mathbf{x}) = x_1$} and {$\phi_2(\mathbf{x}) = \cos x_1$}:

Now we have once again transformed a non-linearly separable dataset into one that is linearly separable.

4.1  Practice problems

What basis functions could we use to make the following datasets linearly separable?

These are all carefully constructed toy examples, but the point is to demonstrate that determining what is linearly separable is not an easy question. As the saying goes, one man’s garbage is another man’s linearly separable dataset.