Exercise 2

Exercise 2.1

On the lecture we considered a least squares model

$y_i=\mathbf{x}_i^T\theta\:+\textrm{ noise },\:\quad i=1,\ldots,N$

where each observation $y_i$is a real number and where $x_i$ and $\theta$ are column vectors of length $p$.

If each  observation $\mathbf{y_i}$ instead has $m$ real components, stored in a row-vector $\mathbf{y}_i$of length $m$, we can use a model of the form 

$\mathbf{y}_i=\mathbf{x}_i^T\mathbf{\theta} + \textrm{ noise },\:\quad i=1,\ldots,N$

where  $\theta$ is a matrix of size $p$ times $m$.

Describe why the formula 

$\widehat{\theta} = (X^TX)^{-1}X^TY$

still gives the least squares optimal parameters if you  stack observations into a matrix $Y = \begin{bmatrix} y_1 \\ y_2 \\ \vdots\\ y_N \end{bmatrix}$ of size $N \times m$,

 

Exercise 2.2 - Classification by Logistic Regression - small digit images

The code LogisticRegression_smalldigits.ipynb Links to an external site. does classification of images of numbers (0-9)

a) Experiment with different parameters to the logistic_regression() function. You should get an accuracy of at least 95%

b) Study the confusion-matrix and choose a certain mis-classified image (look for a square with a 1 in). Find the corresponding image in the dataset and save it to a file on your computer. (This is a practical exercise in handling data.)

 

Exercise 2.3 - Recursive Least Squares

Consider LS estimation of $\theta$ based on data from the the model

$y_i = x_i^T \theta + e_i, \quad i=1,\ldots, N$

Following the lecture, we know the estimate based on  the first $N$ data points is given by$\widehat{\theta}_N = (X_N^TX_N)^{-1}X_N^T \mathbf{y_N}$ . The matrix that gets inverted is of size pxp, where p = nr of features in x.

a) When a new data point $y_{N+1} = x_{N+1}\theta + e_{N+1}$arrives the updated estimate is given by $\widehat{\theta}_{N+1} = (X_{N+1}^TX_{N+1})^{-1}X_{N+1}^T \mathbf{y_{N+1}}$. Show that the following generates the correct result, using the notation $P_N = (X_N^TX_N)^{-1}$ and $s_N = X_N^T\mathbf{y}_N$.

$\begin{align*} P_{N+1}^{-1} &= P_{N}^{-1} + x_{N+1}x_{N+1}^T \\ s_{N+1} &= s_N + x_{N+1}y_{N+1}\\ \widehat{\theta}_{N+1} & = P_{N+1} s_{N+1} \\ & =\widehat{\theta}_{N} +P_{N+1}x_{N+1}\left( y_{N+1}-x_{N+1}^T\widehat{\theta}_{N} \right) \end{align*}$

b) The inversion of a pxp matrix in each iteration can actually be avoided by a clever trick. Show that the first equation in a) can be rewritten as

$P_{N+1} = P_N - \frac{P_Nx_{N+1} x_{N+1}^TP_N}{1+x_{N+1}^TP_Nx_{N+1}}$

which avoids the matrix inverse. (The trick is a special case of the so called matrix inversion lemma).

 

Exercise 2.4 Handling Categorical Variables

Study the code Categorical_variables.ipynb Links to an external site. and how the categorical variable 'zone' is transformed to numerical form using either OneHotEncoding or numerical LabelEncoding. What could be advantages and disadvantages of the two methods ?

 

Exercise 2.5 Weighted Least Squares

If different data points have different reliability it is natural to introduce weights $w_i$ in the loss function, so that $\theta$ should minimize

$J_{WLS}(\theta) = \sum_{i=1}^N (y_i-\theta^Tx_i)^2 w_i^2$

a) Would you choose $w_i$ small or large if the data  $(y_i,x_i)$ is unreliable ?

b) Prove that $J_{WLS}(\theta)$ is minimized by

$\theta=(X^TWX)^{-1}X^TWY$

where $W$ is the diagonal matrix $W = \mathrm{diag}(w_1^2,\ldots,w_N^2)$.  [Hint: Consider an equivalent problem with data $(w_iy_i,w_ix_i)$]

 

Exercise 2.6 Gradient of logistic regression function

Find a formula for the derivatives $\frac{\partial J}{\partial \theta_j}, j=1,\ldots, p$ of the logistic regression loss function $J(\theta) = \sum_{i=1}^{n_{\textrm{data}}} \mathrm{ln} (1+e^{{-y_i}\theta^T \mathbf{x_{i}}})$. Here $x_{i}$ denotes a column vector containing the $p$ inputs for data $i$. (This calculation is useful if you want to write your own optimization code using gradient descent.

 

Exercise 2.7 Investigating the Titanic Survival Dataset

Investigate this data using the code titanic_analysis.ipynb Links to an external site.. You need to download the files titanic_train.csv Download titanic_train.csv

and titanic_test.csv Download titanic_test.csv and upload these to your google colab session. The data has a lot of missing entries, and other drawbacks which is handled during some preprocessing steps.

Three different methods, Logistic Regression, KNNs and Random Forests (which we study in Lec3), are then used to predict survival of the different passengers, depending on age, sex, passenger class, etc.

a) Describe what factors increased survival probability.

b) The prediction performance of  three methods are evaluated on the training data. We know this is not a reliable method. Change the code to use 5-fold cross-validation instead. Comment on the results.

Note: To help you understand the Pandas toolbox further, you might want to watch this

10 minute guide to pandas (its more like 30min) Links to an external site.

or scan some of the examples on pythonexamples.org/pandas-examples Links to an external site.

 

Solutions: sol2.pdf Download sol2.pdf