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MACHINE LEARNING
CHAPTER 2: LINEAR MODELS FOR REGRESSION
LINEAR MODELS FOR REGRESSION
1. The concept of regression
2. Maximum Likelihood and Least Square
3. Over‐fitting and Regularization
4. The Bias‐Variance Trade‐off
5. Bayesian Linear Regression
6. Sparse regression
The Bias‐Variance Decomposition
Model too “simple” does not fit the data well
• A biased solution
The Bias‐Variance Decomposition
Model too complex small changes to the
data, solution changes a lot
• A high variance solution
The Bias‐Variance Decomposition
D
Given dataset with N samples, learn
function y (x; D)
0
If you sample a different dataset , you will
D
0
learn different y (x; D )
y (x; D) 0
y (x; D )
The Bias‐Variance Decomposition
y (x; D) 0
y (x; D )
Expected hypothesis: ED [y (x; D)]
Take the average over the
ensemble of data sets.
The Bias‐Variance Decomposition
Bias: difference between what you expected
to learn and the truth
• Measure how well you expected to
represent true solution
• Decreased with more complex model
average learned model truth distribution of input
The Bias‐Variance Decomposition
Variance: difference between what you
expected to learn and what you learn from a
particular dataset
• Measure how sensitive learner is to specific
dataset
• Decreases with simple model
The Bias‐Variance Decomposition
Choice of hypothesis cl
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