I am new to Machine learning . I am trying to find out MSE for given regression model linear regression line (model): y=7.93+1.12x. The data values for X and Y are (23, 41), (34, 45), (45, 49), (56,67), (67, 84), (78, 100).
That must be simple !!!
MSE means mean square loss error.
so assume your regression function is f(x) where x is the feature vector of dimension d.
the output of f(x) is scaler.
square error for one data sample(let it be x1,y1 ; x1 is a vector in d-dimensional space and y1 is scaler) is ( f(x1) - y )^2.
To calculate MSE, calculate the square error of each data point and then, add all square errors, divide the sum of square error by the number of data samples.
In your case, the dimension of the feature vector(x) is 1.
and f(x) = 7.93 + 1.12*x.
----CODE----
X = (23,34,45,56,67,78)
Y = (41,45,49,67,84,100)
SE = 0.0
for x,y in X,Y :
SE = SE + ( 7.93 + 1.12*x - y)**2
MSE = SE/ len(X)
Vectorized implementation of gradient descent
for iter = 1:num_iters
theta = theta - (alpha / m) * X' * (X * theta - y);
J_history(iter) = computeCostMulti(X, y, theta);
end
Implementation of computeCostMulti()
function J = computeCostMulti(X, y, theta)
m = length(y);
J = 0;
J = 1 / (2 * m) * (X * theta - y)' * (X * theta - y);
Normal equation implementation
theta = pinv(X' * X) * X' * y;
These two implementations converge to different values of theta for the same values of X and y. The Normal Equation gives the right answer but Gradient descent gives a wrong answer.
Is there anything wrong with the implementation of Gradient Descent?
I suppose that when you use gradient descent, you first process your input using feature scaling. That is not done with the normal equation method (as feature scaling is not required), and that should result in a different theta. If you use your models to make predictions they should come up with the same result.
It doesn't matter. As you're not making feature scaling to use the normal equation, you'll discover that the prediction is the same
Nobody promised you that gradient descent with fixed step size will converge by num_iters iterations even to a local optimum. You need to iterate until some well defined convergency criteria are met (e.g. gradient is close to zero).
If you have normalized the training data before gradient descent, you should also do it with your input data for the prediction. Concretely, your new input data should be like:
[1, (x-mu)/sigma]
where:
- 1 is the bias term
- mu is the mean of the training data
- sigma is the standard deviation of the training data
My question is based on the data from Coursera course - https://www.coursera.org/learn/machine-learning/, but after a search is appears to be a common problem.
The gradient descent works perfectly on normalize data (pic.1), but goes in wrong direction on original data(pic.2) with J(cost function) growing very fast toward infinity. The difference between the parameters values is about 10^3.
I thought that normalization is required for better execution speed, I really can't see a reason of this growth in the cost function, even after a lot of search. Decreasing 'alpha', e.g. making it 0.001 or 0.0001 doesn't help either.
Please post if you have any ideas!
P.S. (I had manually provided matrices to the functions, where X_buf - normalized version and X_basic - original; Y - vector of all examles Q - theta vector, alpha - leaning rate).
function [theta, J_history] = gradientDescentMulti(X, Y, theta, alpha, num_iters)
m = length(Y);
J_history = zeros(num_iters, 1);
for iter = 1:num_iters
theta = theta - (alpha/m)*X'*(X*theta-Y);
J_history(iter) = computeCostMulti(X, Y, theta);
end
end
And the second function:
function J = computeCostMulti(X, Y, theta)
m = length(Y); % number of training examples
J = 0;
J = (1/(2*rows(X)))*(X*theta-Y)'*(X*theta-Y);
end
Screenshots
The following piece of python code works well for finding gradient descent:
def gradientDescent(x, y, theta, alpha, m, numIterations):
xTrans = x.transpose()
for i in range(0, numIterations):
hypothesis = np.dot(x, theta)
loss = hypothesis - y
cost = np.sum(loss ** 2) / (2 * m)
print("Iteration %d | Cost: %f" % (i, cost))
gradient = np.dot(xTrans, loss) / m
theta = theta - alpha * gradient
return theta
Here, x = m*n (m = no. of sample data and n = total features) feature matrix.
However, if my features are non-numerical (say, director and genre) of '2' movies then my feature matrix may look like:
['Peter Jackson', 'Action'
Sergio Leone', 'Comedy']
In such a case, how can I map these features to numerical values and apply gradient descent ?
You can map your features to numerical value of your choice and then apply gradient descent the usual way.
In python you can use panda to do that easily:
import pandas as pd
df = pd.DataFrame(X, ['director', 'genre'])
df.director = df.director.map({'Peter Jackson': 0, 'Sergio Leone': 1})
df.genre = df.genre.map({'Action': 0, 'Comedy': 1})
As you can see, this way can become pretty complicated and it might be better to write a piece of code doing that dynamically.
I implemented a gradient descent algorithm to minimize a cost function in order to gain a hypothesis for determining whether an image has a good quality. I did that in Octave. The idea is somehow based on the algorithm from the machine learning class by Andrew Ng
Therefore I have 880 values "y" that contains values from 0.5 to ~12. And I have 880 values from 50 to 300 in "X" that should predict the image's quality.
Sadly the algorithm seems to fail, after some iterations the value for theta is so small, that theta0 and theta1 become "NaN". And my linear regression curve has strange values...
here is the code for the gradient descent algorithm:
(theta = zeros(2, 1);, alpha= 0.01, iterations=1500)
function [theta, J_history] = gradientDescent(X, y, theta, alpha, num_iters)
m = length(y); % number of training examples
J_history = zeros(num_iters, 1);
for iter = 1:num_iters
tmp_j1=0;
for i=1:m,
tmp_j1 = tmp_j1+ ((theta (1,1) + theta (2,1)*X(i,2)) - y(i));
end
tmp_j2=0;
for i=1:m,
tmp_j2 = tmp_j2+ (((theta (1,1) + theta (2,1)*X(i,2)) - y(i)) *X(i,2));
end
tmp1= theta(1,1) - (alpha * ((1/m) * tmp_j1))
tmp2= theta(2,1) - (alpha * ((1/m) * tmp_j2))
theta(1,1)=tmp1
theta(2,1)=tmp2
% ============================================================
% Save the cost J in every iteration
J_history(iter) = computeCost(X, y, theta);
end
end
And here is the computation for the costfunction:
function J = computeCost(X, y, theta) %
m = length(y); % number of training examples
J = 0;
tmp=0;
for i=1:m,
tmp = tmp+ (theta (1,1) + theta (2,1)*X(i,2) - y(i))^2; %differenzberechnung
end
J= (1/(2*m)) * tmp
end
If you are wondering how the seemingly complex looking for loop can be vectorized and cramped into a single one line expression, then please read on. The vectorized form is:
theta = theta - (alpha/m) * (X' * (X * theta - y))
Given below is a detailed explanation for how we arrive at this vectorized expression using gradient descent algorithm:
This is the gradient descent algorithm to fine tune the value of θ:
Assume that the following values of X, y and θ are given:
m = number of training examples
n = number of features + 1
Here
m = 5 (training examples)
n = 4 (features+1)
X = m x n matrix
y = m x 1 vector matrix
θ = n x 1 vector matrix
xi is the ith training example
xj is the jth feature in a given training example
Further,
h(x) = ([X] * [θ]) (m x 1 matrix of predicted values for our training set)
h(x)-y = ([X] * [θ] - [y]) (m x 1 matrix of Errors in our predictions)
whole objective of machine learning is to minimize Errors in predictions. Based on the above corollary, our Errors matrix is m x 1 vector matrix as follows:
To calculate new value of θj, we have to get a summation of all errors (m rows) multiplied by jth feature value of the training set X. That is, take all the values in E, individually multiply them with jth feature of the corresponding training example, and add them all together. This will help us in getting the new (and hopefully better) value of θj. Repeat this process for all j or the number of features. In matrix form, this can be written as:
This can be simplified as:
[E]' x [X] will give us a row vector matrix, since E' is 1 x m matrix and X is m x n matrix. But we are interested in getting a column matrix, hence we transpose the resultant matrix.
More succinctly, it can be written as:
Since (A * B)' = (B' * A'), and A'' = A, we can also write the above as
This is the original expression we started out with:
theta = theta - (alpha/m) * (X' * (X * theta - y))
i vectorized the theta thing...
may could help somebody
theta = theta - (alpha/m * (X * theta-y)' * X)';
I think that your computeCost function is wrong.
I attended NG's class last year and I have the following implementation (vectorized):
m = length(y);
J = 0;
predictions = X * theta;
sqrErrors = (predictions-y).^2;
J = 1/(2*m) * sum(sqrErrors);
The rest of the implementation seems fine to me, although you could also vectorize them.
theta_1 = theta(1) - alpha * (1/m) * sum((X*theta-y).*X(:,1));
theta_2 = theta(2) - alpha * (1/m) * sum((X*theta-y).*X(:,2));
Afterwards you are setting the temporary thetas (here called theta_1 and theta_2) correctly back to the "real" theta.
Generally it is more useful to vectorize instead of loops, it is less annoying to read and to debug.
If you are OK with using a least-squares cost function, then you could try using the normal equation instead of gradient descent. It's much simpler -- only one line -- and computationally faster.
Here is the normal equation:
http://mathworld.wolfram.com/NormalEquation.html
And in octave form:
theta = (pinv(X' * X )) * X' * y
Here is a tutorial that explains how to use the normal equation: http://www.lauradhamilton.com/tutorial-linear-regression-with-octave
While not scalable like a vectorized version, a loop-based computation of a gradient descent should generate the same results. In the example above, the most probably case of the gradient descent failing to compute the correct theta is the value of alpha.
With a verified set of cost and gradient descent functions and a set of data similar with the one described in the question, theta ends up with NaN values just after a few iterations if alpha = 0.01. However, when set as alpha = 0.000001, the gradient descent works as expected, even after 100 iterations.
Using only vectors here is the compact implementation of LR with Gradient Descent in Mathematica:
Theta = {0, 0}
alpha = 0.0001;
iteration = 1500;
Jhist = Table[0, {i, iteration}];
Table[
Theta = Theta -
alpha * Dot[Transpose[X], (Dot[X, Theta] - Y)]/m;
Jhist[[k]] =
Total[ (Dot[X, Theta] - Y[[All]])^2]/(2*m); Theta, {k, iteration}]
Note: Of course one assumes that X is a n * 2 matrix, with X[[,1]] containing only 1s'
This should work:-
theta(1,1) = theta(1,1) - (alpha*(1/m))*((X*theta - y)'* X(:,1) );
theta(2,1) = theta(2,1) - (alpha*(1/m))*((X*theta - y)'* X(:,2) );
its cleaner this way, and vectorized also
predictions = X * theta;
errorsVector = predictions - y;
theta = theta - (alpha/m) * (X' * errorsVector);
If you remember the first Pdf file for Gradient Descent form machine Learning course, you would take care of learning rate. Here is the note from the mentioned pdf.
Implementation Note: If your learning rate is too large, J(theta) can di-
verge and blow up', resulting in values which are too large for computer
calculations. In these situations, Octave/MATLAB will tend to return
NaNs. NaN stands fornot a number' and is often caused by unde ned
operations that involve - infinity and +infinity.