We are very excited to announce a new Win-Vector LLC blog category tag: Pragmatic Machine Learning. We don’t normally announce blog tags, but we feel this idea identifies an important theme common to a number of our articles and to what we are trying to help others achieve as data scientists. Please look for more news and offerings on this topic going forward. This is the stuff all data scientists need to know.
A big congratulations to Win-Vector LLC‘s Dr. Nina Zumel for authoring and teaching portions of EMC‘s new Data Science and Big Data Analytics training and certification program. A big congratulations to EMC, EMC Education Services and Greenplum for creating a great training course. Finally a huge thank you to EMC, EMC Education Services and Greenplum for inviting Win-Vector LLC to contribute to this great project.
How is it even possible to set expectations and launch data science projects?
Data science projects vary from “executive dashboards” through “automate what my analysts are already doing well” to “here is some data, we would like some magic.” That is you may be called to produce visualizations, analytics, data mining, statistics, machine learning, method research or method invention. Given the wide range of wants, diverse data sources, required levels of innovation and methods it often feels like you can not even set goals for data science projects.
Many of these projects either fail or become open ended (become unmanageable).
As an alternative we describe some of our methods for setting quantifiable goals and front-loading risk in data science projects. Continue reading Setting expectations in data science projects
Much of the data that the analyst uses exhibits extraordinary range. For example: incomes, company sizes, popularity of books and any “winner takes all process”; (see: Living in A Lognormal World). Tukey recommended the logarithm as an important “stabilizing transform” (a transform that brings data into a more usable form prior to generating exploratory statistics, analysis or modeling). One benefit of such transforms is: data that is normal (or Gaussian) meets more of the stated expectations of common modeling methods like least squares linear regression. So data from distributions like the lognormal is well served by a
log() transformation (that transforms the data closer to Gaussian) prior to analysis. However, not all data is appropriate for a log-transform (such as data with zero or negative values). We discuss a simple transform that we call a signed pseudo logarithm that is particularly appropriate to signed wide-range data (such as profit and loss). Continue reading Modeling Trick: the Signed Pseudo Logarithm
The important criterion for a graph is not simply how fast we can see a result; rather it is whether through the use of the graph we can see something that would have been harder to see otherwise or that could not have been seen at all.
— William Cleveland, The Elements of Graphing Data, Chapter 2
In this article, I will discuss some graphs that I find extremely useful in my day-to-day work as a data scientist. While all of them are helpful (to me) for statistical visualization during the analysis process, not all of them will necessarily be useful for presentation of final results, especially to non-technical audiences.
I tend to follow Cleveland’s philosophy, quoted above; these graphs show me — and hopefully you — aspects of data and models that I might not otherwise see. Some of them, however, are non-standard, and tend to require explanation. My purpose here is to share with our readers some ideas for graphical analysis that are either useful to you directly, or will give you some ideas of your own.
What is R2? In the context of predictive models (usually linear regression), where y is the true outcome, and f is the model’s prediction, the definition that I see most often is:
In words, R2 is a measure of how much of the variance in y is explained by the model, f.
Under “general conditions”, as Wikipedia says, R2 is also the square of the correlation (correlation written as a “p” or “rho”) between the actual and predicted outcomes:
I prefer the “squared correlation” definition, as it gets more directly at what is usually my primary concern: prediction. If R2 is close to one, then the model’s predictions mirror true outcome, tightly. If R2 is low, then either the model does not mirror true outcome, or it only mirrors it loosely: a “cloud” that — hopefully — is oriented in the right direction. Of course, looking at the graph always helps:
The question we will address here is : how do you get from R2 to correlation?
We give a simple explanation of the interrelated machine learning techniques called kernel methods and support vector machines. We hope to characterize and de-mystify some of the properties of these methods. To do this we work some examples and draw a few analogies. The familiar no matter how wonderful is not perceived as mystical. Continue reading Kernel Methods and Support Vector Machines de-Mystified
Logistic regression is one of the most popular ways to fit models for categorical data, especially for binary response data. It is the most important (and probably most used) member of a class of models called generalized linear models. Unlike linear regression, logistic regression can directly predict probabilities (values that are restricted to the (0,1) interval); furthermore, those probabilities are well-calibrated when compared to the probabilities predicted by some other classifiers, such as Naive Bayes. Logistic regression preserves the marginal probabilities of the training data. The coefficients of the model also provide some hint of the relative importance of each input variable.
While you don’t have to know how to derive logistic regression or how to implement it in order to use it, the details of its derivation give important insights into interpreting and troubleshooting the resulting models. Unfortunately, most derivations (like the ones in [Agresti, 1990] or [Hastie, et.al, 2009]) are too terse for easy comprehension. Here, we give a derivation that is less terse (and less general than Agresti’s), and we’ll take the time to point out some details and useful facts that sometimes get lost in the discussion. Continue reading The Simpler Derivation of Logistic Regression
Research surveys tend to fall on either end of the spectrum: either they are so high level and cursory in their treatment that they are useful only as a dictionary of terms in the field, or they are so deep and terse that the discussion can only be followed by those already experienced in the field. Ensemble Methods in Data Mining (Seni and Elder, 2010) strikes a good balance between these extremes. This book is an accessible introduction to the theory and practice of ensemble methods in machine learning, with sufficient detail for a novice to begin experimenting right away, and copious references for researchers interested in further details of algorithms and proofs. The treatment focuses on the use of decision trees as base learners (as they are the most common choice), but the principles discussed are applicable with any modeling algorithm. The authors also provide a nice discussion of cross-validation and of the more common regularization techniques.
The heart of the text is the chapter on the Importance Sampling. The authors frame the classic ensemble methods (bagging, boosting, and random forests) as special cases of the Importance Sampling methodology. This not only clarifies the explanations of each approach, but also provides a principled basis for finding improvements to the original algorithms. They have one of the clearest explanations of AdaBoost that I’ve ever read.
A major shortcoming of ensemble methods is the loss of interpretability, when compared to single-model methods such as Decision Trees or Linear Regression. The penultimate chapter is on “Rule Ensembles”: an attempt at a more interpretable ensemble learner. They also discuss measures for variable importance and interaction strength. The last chapter discusses Generalized Degrees of Freedom as an alternative complexity measure and its relationship to potential over-fit.
Overall, I found the book clear and concise, with good attention to practical details. I appreciated the snippets of R code and the references to relevant R packages. One minor nitpick: this book has also been published digitally, presumably with color figures. Because the print version is grayscale, some of the color-coded graphs are now illegible. Usually the major points of the figure are clear from the context in the text; still, the color to grayscale conversion is something for future authors in this series to keep in mind.
One of the recurring frustrations in data analytics is that your data is never in the right shape. Worst case: you are not aware of this and every step you attempt is more expensive, less reliable and less informative than you would want. Best case: you notice this and have the tools to reshape your data.
There is no final “right shape.” In fact even your data is never right. You will always be called to re-do your analysis (new variables, new data, corrections) so you should always understand you are on your “penultimate analysis” (always one more to come). This is why we insist on using general methods and scripted techniques, as these methods are much much easier to reliably reapply on new data than GUI/WYSWYG techniques.
In this article we will work a small example and call out some R tools that make reshaping your data much easier. The idea is to think in terms of “relational algebra” (like SQL) and transform your data towards your tools (and not to attempt to adapt your tools towards the data in an ad-hoc manner). Continue reading Your Data is Never the Right Shape