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A deeper theory of testing

In some of my recent public talks (for example: here and here) I have mentioned a desire for “a deeper theory of fitting and testing.” I thought I would expand on what I meant by this.

In this note I am going to cover a lot of different topics to try and suggest some perspective. I won’t have my usual luxury of fully defining my terms or working concrete examples. Hopefully a number of these ideas (which are related, but don’t seem to easily synthesize together) will be subjects of their own later articles.

Introduction

The focus of this article is: the true goal of predictive analytics is always: to build a model that works well in production. Training and testing procedures are designed to simulate this unknown future model performance, but can be expensive and can also fail.

What we want is a good measure of future model performance, and to apply that measure in picking a model without running deep into Goodhart’s law (“When a measure becomes a target, it ceases to be a good measure.”).

Most common training and testing procedures are destructive in the sense they use up data (data used for one step may not be safely used for another step in an unbiased fashion, example: excess generalization error). In this note I thought I would expand on the ideas for extending statistical efficiency or getting more out of your training while avoiding overfitting.


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Destructive testing.

I will outline a few variations of model construction and testing techniques that one should keep in mind.

Continue reading A deeper theory of testing

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Win-Vector site improvements

The Win-Vector blog is provided free of charge (and free of outside advertising) by the researchers at Win-Vector LLC in their spare time. We have been using WordPress for a long time for the blog, and have just now upgraded our corporate site to use WordPress for content management.

So please checkout our site. Excuse our dust, we are moving a few things around.

If you need any data science and/or R consulting or training (or know somebody who might) please reach out to us: contact@win-vector.com.


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Remember these awful signs all over the web?

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How do you know if your model is going to work?

Authors: John Mount (more articles) and Nina Zumel (more articles).

Our four part article series collected into one piece.

  • Part 1: The problem
  • Part 2: In-training set measures
  • Part 3: Out of sample procedures
  • Part 4: Cross-validation techniques

“Essentially, all models are wrong, but some are useful.”


George Box

Here’s a caricature of a data science project: your company or client needs information (usually to make a decision). Your job is to build a model to predict that information. You fit a model, perhaps several, to available data and evaluate them to find the best. Then you cross your fingers that your chosen model doesn’t crash and burn in the real world.

We’ve discussed detecting if your data has a signal. Now: how do you know that your model is good? And how sure are you that it’s better than the models that you rejected?


Bartolomeu Velho 1568
Geocentric illustration Bartolomeu Velho, 1568 (Bibliothèque Nationale, Paris)

Notice the Sun in the 4th revolution about the earth. A very pretty, but not entirely reliable model.

In this latest “Statistics as it should be” article, we will systematically look at what to worry about and what to check. This is standard material, but presented in a “data science” oriented manner. Meaning we are going to consider scoring system utility in terms of service to a negotiable business goal (one of the many ways data science differs from pure machine learning).

Continue reading How do you know if your model is going to work?

Posted on Categories data science, Practical Data Science, Pragmatic Data Science, Pragmatic Machine Learning, Statistics, Statistics To English Translation, TutorialsTags , , 2 Comments on How do you know if your model is going to work? Part 4: Cross-validation techniques

How do you know if your model is going to work? Part 4: Cross-validation techniques

Authors: John Mount (more articles) and Nina Zumel (more articles).

In this article we conclude our four part series on basic model testing.

When fitting and selecting models in a data science project, how do you know that your final model is good? And how sure are you that it’s better than the models that you rejected? In this concluding Part 4 of our four part mini-series “How do you know if your model is going to work?” we demonstrate cross-validation techniques.

Previously we worked on:

Cross-validation techniques

Cross validation techniques attempt to improve statistical efficiency by repeatedly splitting data into train and test and re-performing model fit and model evaluation.

For example: the variation called k-fold cross-validation splits the original data into k roughly equal sized sets. To score each set we build a model on all data not in the set and then apply the model to our set. This means we build k different models (none which is our final model, which is traditionally trained on all of the data).


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Notional 3-fold cross validation (solid arrows are model construction/training, dashed arrows are model evaluation).

This is statistically efficient as each model is trained on a 1-1/k fraction of the data, so for k=20 we are using 95% of the data for training.

Another variation called “leave one out” (which is essentially Jackknife resampling) is very statistically efficient as each datum is scored on a unique model built using all other data. Though this is very computationally inefficient as you construct a very large number of models (except in special cases such as the PRESS statistic for linear regression).

Statisticians tend to prefer cross-validation techniques to test/train split as cross-validation techniques are more statistically efficient and can give sampling distribution style distributional estimates (instead of mere point estimates). However, remember cross validation techniques are measuring facts about the fitting procedure and not about the actual model in hand (so they are answering a different question than test/train split).

Though, there is some attraction to actually scoring the model you are going to turn in (as is done with in-sample methods, and test/train split, but not with cross-validation). The way to remember this is: bosses are essentially frequentist (they want to know their team and procedure tends to produce good models) and employees are essentially Bayesian (they want to know the actual model they are turning in is likely good; see here for how it the nature of the question you are trying to answer controls if you are in a Bayesian or Frequentist situation).

Continue reading How do you know if your model is going to work? Part 4: Cross-validation techniques

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How do you know if your model is going to work? Part 3: Out of sample procedures

Authors: John Mount (more articles) and Nina Zumel (more articles).

When fitting and selecting models in a data science project, how do you know that your final model is good? And how sure are you that it’s better than the models that you rejected? In this Part 3 of our four part mini-series “How do you know if your model is going to work?” we develop out of sample procedures.

Previously we worked on:

Out of sample procedures

Let’s try working “out of sample” or with data not seen during training or construction of our model. The attraction of these procedures is they represent a principled attempt at simulating the arrival of new data in the future.

Hold-out tests

Hold out tests are a staple for data scientists. You reserve a fraction of your data (say 10%) for evaluation and don’t use that data in any way during model construction and calibration. There is the issue that the test data is often used to choose between models, but that should not cause a problem of too much data leakage in practice. However, there are procedures to systematically abuse easy access to test performance in contests such as Kaggle (see Blum, Hardt, “The Ladder: A Reliable Leaderboard for Machine Learning Competitions”).


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Notional train/test split (first 4 rows are training set, last 2 rows are the test set).

The results of a test/train split produce graphs like the following:

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The training panels are the same as we have seen before. We have now added the upper test panels. These are where the models are evaluated on data not used during construction.

Notice on the test graphs random forest is the worst (for this data set, with this set of columns, and this set of random forest parameters) of the non-trivial machine learning algorithms on the test data. Since the test data is the best simulation of future data we have seen so far, we should not select random forest as our one true model in this case- but instead consider GAM logistic regression.

We have definitely learned something about how these models will perform on future data, but why should we settle for a mere point estimate. Let’s get some estimates of the likely distribution of future model behavior.

Continue reading How do you know if your model is going to work? Part 3: Out of sample procedures

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What does an announcement like “vtreat now up on CRAN!” mean?

What does an announcement like “vtreat now up on CRAN!” mean?

NewImage Continue reading What does an announcement like “vtreat now up on CRAN!” mean?

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How do you know if your model is going to work? Part 2: In-training set measures

Authors: John Mount (more articles) and Nina Zumel (more articles).

When fitting and selecting models in a data science project, how do you know that your final model is good? And how sure are you that it’s better than the models that you rejected? In this Part 2 of our four part mini-series “How do you know if your model is going to work?” we develop in-training set measures.

Previously we worked on:

  • Part 1: Defining the scoring problem

In-training set measures

The most tempting procedure is to score your model on the data used to train it. The attraction is this avoids the statistical inefficiency of denying some of your data to the training procedure.

Run it once procedure

A common way to asses score quality is to run your scoring function on the data used to build your model. We might try comparing several models scored by AUC or deviance (normalized to factor out sample size) on their own training data as shown below.

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What we have done is take five popular machine learning techniques (random forest, logistic regression, gbm, GAM logistic regression, and elastic net logistic regression) and plotted their performance in terms of AUC and normalized deviance on their own training data. For AUC larger numbers are better, and for deviance smaller numbers are better. Because we have evaluated multiple models we are starting to get a sense of scale. We should suspect an AUC of 0.7 on training data is good (though random forest achieved an AUC on training of almost 1.0), and we should be acutely aware that evaluating models on their own training data has an upward bias (the model has seen the training data, so it has a good chance of doing well on it; or training data is not exchangeable with future data for the purpose of estimating model performance).

There are two more Gedankenexperiment models that any machine data scientist should always have in mind:

  1. The null model (on the graph as “null model”). This is the performance of the best constant model (model that returns the same answer for all datums). In this case it is a model scores each and every row as having an identical 7% chance of churning. This is an important model that you want to better than. It is also a model you are often competing against as a data science as it is the “what if we treat everything in this group the same” option (often the business process you are trying to replace).

    The data scientist should always compare their work to the null model on deviance (null model AUC is trivially 0.5) and packages like logistic regression routinely report this statistic.

  2. The best single variable model (on the graph as “best single variable model”). This is the best model built using only one variable or column (in this case using a GAM logistic regression as the modeling method). This is another model the data scientist wants to out perform as it represents the “maybe one of the columns is already the answer case” (if so that would be very good for the business as they could get good predictions without modeling infrastructure).

    The data scientist should definitely compare their model to the best single variable model. Until you significantly outperform the best single variable model you have not outperformed what an analyst can find with a single pivot table.

At this point it would be tempting to pick the random forest model as the winner as it performed best on the training data. There are at least two things wrong with this idea:

Continue reading How do you know if your model is going to work? Part 2: In-training set measures

Posted on Categories Exciting Techniques, Practical Data Science, Pragmatic Data Science, Pragmatic Machine Learning, StatisticsTags , , , 7 Comments on vtreat up on CRAN!

vtreat up on CRAN!

Nina Zumel and I are proud to announce our R vtreat variable treatment library has just been accepted by CRAN!

IMG 6061 Continue reading vtreat up on CRAN!

Posted on Categories data science, Practical Data Science, Statistics, TutorialsTags 7 Comments on Bootstrap Evaluation of Clusters

Bootstrap Evaluation of Clusters


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Illustration from Project Gutenberg

The goal of cluster analysis is to group the observations in the data into clusters such that every datum in a cluster is more similar to other datums in the same cluster than it is to datums in other clusters. This is an analysis method of choice when annotated training data is not readily available. In this article, based on chapter 8 of Practical Data Science with R, the authors discuss one approach to evaluating the clusters that are discovered by a chosen clustering method. Continue reading Bootstrap Evaluation of Clusters

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How do you know if your model is going to work? Part 1: The problem

Authors: John Mount (more articles) and Nina Zumel (more articles).

“Essentially, all models are wrong, but some are useful.”


George Box

Here’s a caricature of a data science project: your company or client needs information (usually to make a decision). Your job is to build a model to predict that information. You fit a model, perhaps several, to available data and evaluate them to find the best. Then you cross your fingers that your chosen model doesn’t crash and burn in the real world.

We’ve discussed detecting if your data has a signal. Now: how do you know that your model is good? And how sure are you that it’s better than the models that you rejected?


Bartolomeu Velho 1568
Geocentric illustration Bartolomeu Velho, 1568 (Bibliothèque Nationale, Paris)

Notice the Sun in the 4th revolution about the earth. A very pretty, but not entirely reliable model.

In this latest “Statistics as it should be” series, we will systematically look at what to worry about and what to check. This is standard material, but presented in a “data science” oriented manner. Meaning we are going to consider scoring system utility in terms of service to a negotiable business goal (one of the many ways data science differs from pure machine learning).

To organize the ideas into digestible chunks, we are presenting this article as a four part series (to finished in the next 3 Tuesdays). This part (part 1) sets up the specific problem.

Continue reading How do you know if your model is going to work? Part 1: The problem