FYS-STK4155/doc/pub/week36/ipynb/week36.ipynb

Week 36: Linear Regression and Statistical interpretations

Morten Hjorth-Jensen, Department of Physics, University of Oslo and Department of Physics and Astronomy and National Superconducting Cyclotron Laboratory, Michigan State University

Date: September 2-6, 2024

Plans for week 36

• Material for the lecture on Monday September 2

  • Technicalities related to scaling and other issues with data handling

  • Linear Regression, ordinary least squares, Ridge and Lasso and links with Statistics

  • Recommended Reading: Goodfellow et al chapter 3 (till 3.11) on probability theory, see https://www.deeplearningbook.org/

  • Raschka et al, chapter 4 pages 105-134 and chapter 6 pages 171-185. Chapter 4 and 6 contain many useful hints which will also be relevant for the various projects as well.

  • Video of lecture

  • Whiteboard notes

• Material for the active learning sessions on Tuesday and Wednesday

  • Summary from last week on discussion of SVD, Ridge and Lasso linear regression.

  • Raschka et al, chapter 4 pages 105-134 and chapter 6 pages 171-185. Chapter 4 and 6, as for the lecture discussion

  • Presentation and discussion of first project

  • Video of lab session

Material for lecture Monday September 2

Important technicalities: More on Rescaling data

When you are comparing your own code with for example Scikit-Learn's library, there are some technicalities to keep in mind. The examples here demonstrate some of these aspects with potential pitfalls.

The discussion here focuses on the role of the intercept, how we can set up the design matrix, what scaling we should use and other topics which tend confuse us.

The intercept can be interpreted as the expected value of our target/output variables when all other predictors are set to zero. Thus, if we cannot assume that the expected outputs/targets are zero when all predictors are zero (the columns in the design matrix), it may be a bad idea to implement a model which penalizes the intercept. Furthermore, in for example Ridge and Lasso regression, the default solutions from the library Scikit-Learn (when not shrinking \beta_0) for the unknown parameters \boldsymbol{\beta}, are derived under the assumption that both \boldsymbol{y} and \boldsymbol{X} are zero centered, that is we subtract the mean values.

If our predictors represent different scales, then it is important to standardize the design matrix \boldsymbol{X} by subtracting the mean of each column from the corresponding column and dividing the column with its standard deviation. Most machine learning libraries do this as a default. This means that if you compare your code with the results from a given library, the results may differ.

The Standardscaler function in Scikit-Learn does this for us. For the data sets we have been studying in our various examples, the data are in many cases already scaled and there is no need to scale them. You as a user of different machine learning algorithms, should always perform a survey of your data, with a critical assessment of them in case you need to scale the data.

If you need to scale the data, not doing so will give an unfair penalization of the parameters since their magnitude depends on the scale of their corresponding predictor.

The Scikit-Learn site https://scikit-learn.org/stable/auto_examples/preprocessing/plot_all_scaling.html#plot-all-scaling-standard-scaler-section has a good discussion of different ways of preprocessing data.

Suppose as an example that you you have an input variable given by the heights of different persons. Human height might be measured in inches or meters or kilometers. If measured in kilometers, a standard linear regression model with this predictor would probably give a much bigger coefficient term, than if measured in millimeters. This can clearly lead to problems in evaluating the cost/loss functions.

Keep in mind that when you transform your data set before training a model, the same transformation needs to be done on your eventual new data set before making a prediction. If we translate this into a Python code, it would could be implemented as

In [1]:

"""
#Model training, we compute the mean value of y and X
y_train_mean = np.mean(y_train)
X_train_mean = np.mean(X_train,axis=0)
X_train = X_train - X_train_mean
y_train = y_train - y_train_mean

# The we fit our model with the training data
trained_model = some_model.fit(X_train,y_train)


#Model prediction, we need also to transform our data set used for the prediction.
X_test = X_test - X_train_mean #Use mean from training data
y_pred = trained_model(X_test)
y_pred = y_pred + y_train_mean
"""

Let us try to understand what this may imply mathematically when we subtract the mean values, also known as zero centering. For simplicity, we will focus on ordinary regression, as done in the above example.

The cost/loss function for regression is

C(\beta_0, \beta_1, ... , \beta_{p-1}) = \frac{1}{n}\sum_{i=0}^{n} \left(y_i - \beta_0 - \sum_{j=1}^{p-1} X_{ij}\beta_j\right)^2,.

Recall also that we use the squared value. This expression can lead to an increased penalty for higher differences between predicted and output/target values.

What we have done is to single out the \beta_0 term in the definition of the mean squared error (MSE). The design matrix X does in this case not contain any intercept column. When we take the derivative with respect to \beta_0, we want the derivative to obey

\frac{\partial C}{\partial \beta_j} = 0,

for all j. For \beta_0 we have

\frac{\partial C}{\partial \beta_0} = -\frac{2}{n}\sum_{i=0}^{n-1} \left(y_i - \beta_0 - \sum_{j=1}^{p-1} X_{ij} \beta_j\right).

Multiplying away the constant 2/n, we obtain

\sum_{i=0}^{n-1} \beta_0 = \sum_{i=0}^{n-1}y_i - \sum_{i=0}^{n-1} \sum_{j=1}^{p-1} X_{ij} \beta_j.

Let us specialize first to the case where we have only two parameters \beta_0 and \beta_1. Our result for \beta_0 simplifies then to

n\beta_0 = \sum_{i=0}^{n-1}y_i - \sum_{i=0}^{n-1} X_{i1} \beta_1.

We obtain then

\beta_0 = \frac{1}{n}\sum_{i=0}^{n-1}y_i - \beta_1\frac{1}{n}\sum_{i=0}^{n-1} X_{i1}.

If we define

\mu_{\boldsymbol{x}_1}=\frac{1}{n}\sum_{i=0}^{n-1} X_{i1},

and the mean value of the outputs as

\mu_y=\frac{1}{n}\sum_{i=0}^{n-1}y_i,

we have

\beta_0 = \mu_y - \beta_1\mu_{\boldsymbol{x}_1}.

In the general case with more parameters than \beta_0 and \beta_1, we have

\beta_0 = \frac{1}{n}\sum_{i=0}^{n-1}y_i - \frac{1}{n}\sum_{i=0}^{n-1}\sum_{j=1}^{p-1} X_{ij}\beta_j.

We can rewrite the latter equation as

\beta_0 = \frac{1}{n}\sum_{i=0}^{n-1}y_i - \sum_{j=1}^{p-1} \mu_{\boldsymbol{x}_j}\beta_j,

where we have defined

\mu_{\boldsymbol{x}_j}=\frac{1}{n}\sum_{i=0}^{n-1} X_{ij},

the mean value for all elements of the column vector \boldsymbol{x}_j.

Replacing y_i with y_i - y_i - \overline{\boldsymbol{y}} and centering also our design matrix results in a cost function (in vector-matrix disguise)

C(\boldsymbol{\beta}) = (\boldsymbol{\tilde{y}} - \tilde{X}\boldsymbol{\beta})^T(\boldsymbol{\tilde{y}} - \tilde{X}\boldsymbol{\beta}).

If we minimize with respect to \boldsymbol{\beta} we have then

\hat{\boldsymbol{\beta}} = (\tilde{X}^T\tilde{X})^{-1}\tilde{X}^T\boldsymbol{\tilde{y}},

where \boldsymbol{\tilde{y}} = \boldsymbol{y} - \overline{\boldsymbol{y}} and \tilde{X}_{ij} = X_{ij} - \frac{1}{n}\sum_{k=0}^{n-1}X_{kj}.

For Ridge regression we need to add \lambda \boldsymbol{\beta}^T\boldsymbol{\beta} to the cost function and get then

\hat{\boldsymbol{\beta}} = (\tilde{X}^T\tilde{X} + \lambda I)^{-1}\tilde{X}^T\boldsymbol{\tilde{y}}.

What does this mean? And why do we insist on all this? Let us look at some examples.

This code shows a simple first-order fit to a data set using the above transformed data, where we consider the role of the intercept first, by either excluding it or including it (code example thanks to Øyvind Sigmundson Schøyen). Here our scaling of the data is done by subtracting the mean values only. Note also that we do not split the data into training and test.

In [1]:

%matplotlib inline

import numpy as np
import matplotlib.pyplot as plt

from sklearn.linear_model import LinearRegression


np.random.seed(2021)

def MSE(y_data,y_model):
    n = np.size(y_model)
    return np.sum((y_data-y_model)**2)/n


def fit_beta(X, y):
    return np.linalg.pinv(X.T @ X) @ X.T @ y


true_beta = [2, 0.5, 3.7]

x = np.linspace(0, 1, 11)
y = np.sum(
    np.asarray([x ** p * b for p, b in enumerate(true_beta)]), axis=0
) + 0.1 * np.random.normal(size=len(x))

degree = 3
X = np.zeros((len(x), degree))

# Include the intercept in the design matrix
for p in range(degree):
    X[:, p] = x ** p

beta = fit_beta(X, y)

# Intercept is included in the design matrix
skl = LinearRegression(fit_intercept=False).fit(X, y)

print(f"True beta: {true_beta}")
print(f"Fitted beta: {beta}")
print(f"Sklearn fitted beta: {skl.coef_}")
ypredictOwn = X @ beta
ypredictSKL = skl.predict(X)
print(f"MSE with intercept column")
print(MSE(y,ypredictOwn))
print(f"MSE with intercept column from SKL")
print(MSE(y,ypredictSKL))


plt.figure()
plt.scatter(x, y, label="Data")
plt.plot(x, X @ beta, label="Fit")
plt.plot(x, skl.predict(X), label="Sklearn (fit_intercept=False)")


# Do not include the intercept in the design matrix
X = np.zeros((len(x), degree - 1))

for p in range(degree - 1):
    X[:, p] = x ** (p + 1)

# Intercept is not included in the design matrix
skl = LinearRegression(fit_intercept=True).fit(X, y)

# Use centered values for X and y when computing coefficients
y_offset = np.average(y, axis=0)
X_offset = np.average(X, axis=0)

beta = fit_beta(X - X_offset, y - y_offset)
intercept = np.mean(y_offset - X_offset @ beta)

print(f"Manual intercept: {intercept}")
print(f"Fitted beta (without intercept): {beta}")
print(f"Sklearn intercept: {skl.intercept_}")
print(f"Sklearn fitted beta (without intercept): {skl.coef_}")
ypredictOwn = X @ beta
ypredictSKL = skl.predict(X)
print(f"MSE with Manual intercept")
print(MSE(y,ypredictOwn+intercept))
print(f"MSE with Sklearn intercept")
print(MSE(y,ypredictSKL))

plt.plot(x, X @ beta + intercept, "--", label="Fit (manual intercept)")
plt.plot(x, skl.predict(X), "--", label="Sklearn (fit_intercept=True)")
plt.grid()
plt.legend()

plt.show()

True beta: [2, 0.5, 3.7]
Fitted beta: [2.08376632 0.19569961 3.97898392]
Sklearn fitted beta: [2.08376632 0.19569961 3.97898392]
MSE with intercept column
0.00411363461744314
MSE with intercept column from SKL
0.004113634617443147
Manual intercept: 2.083766322923899
Fitted beta (without intercept): [0.19569961 3.97898392]
Sklearn intercept: 2.0837663229239043
Sklearn fitted beta (without intercept): [0.19569961 3.97898392]
MSE with Manual intercept
0.00411363461744314
MSE with Sklearn intercept
0.004113634617443131

The intercept is the value of our output/target variable when all our features are zero and our function crosses the $y$-axis (for a one-dimensional case).

Printing the MSE, we see first that both methods give the same MSE, as they should. However, when we move to for example Ridge regression, the way we treat the intercept may give a larger or smaller MSE, meaning that the MSE can be penalized by the value of the intercept. Not including the intercept in the fit, means that the regularization term does not include \beta_0. For different values of \lambda, this may lead to different MSE values.

To remind the reader, the regularization term, with the intercept in Ridge regression, is given by

\lambda \vert\vert \boldsymbol{\beta} \vert\vert_2^2 = \lambda \sum_{j=0}^{p-1}\beta_j^2,

but when we take out the intercept, this equation becomes

\lambda \vert\vert \boldsymbol{\beta} \vert\vert_2^2 = \lambda \sum_{j=1}^{p-1}\beta_j^2.

For Lasso regression we have

\lambda \vert\vert \boldsymbol{\beta} \vert\vert_1 = \lambda \sum_{j=1}^{p-1}\vert\beta_j\vert.

It means that, when scaling the design matrix and the outputs/targets, by subtracting the mean values, we have an optimization problem which is not penalized by the intercept. The MSE value can then be smaller since it focuses only on the remaining quantities. If we however bring back the intercept, we will get a MSE which then contains the intercept.

Armed with this wisdom, we attempt first to simply set the intercept equal to False in our implementation of Ridge regression for our well-known vanilla data set.

In [3]:

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from sklearn.model_selection import train_test_split
from sklearn import linear_model

def MSE(y_data,y_model):
    n = np.size(y_model)
    return np.sum((y_data-y_model)**2)/n


# A seed just to ensure that the random numbers are the same for every run.
# Useful for eventual debugging.
np.random.seed(3155)

n = 100
x = np.random.rand(n)
y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)

Maxpolydegree = 20
X = np.zeros((n,Maxpolydegree))
#We include explicitely the intercept column
for degree in range(Maxpolydegree):
    X[:,degree] = x**degree
# We split the data in test and training data
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)

p = Maxpolydegree
I = np.eye(p,p)
# Decide which values of lambda to use
nlambdas = 6
MSEOwnRidgePredict = np.zeros(nlambdas)
MSERidgePredict = np.zeros(nlambdas)
lambdas = np.logspace(-4, 2, nlambdas)
for i in range(nlambdas):
    lmb = lambdas[i]
    OwnRidgeBeta = np.linalg.pinv(X_train.T @ X_train+lmb*I) @ X_train.T @ y_train
    # Note: we include the intercept column and no scaling
    RegRidge = linear_model.Ridge(lmb,fit_intercept=False)
    RegRidge.fit(X_train,y_train)
    # and then make the prediction
    ytildeOwnRidge = X_train @ OwnRidgeBeta
    ypredictOwnRidge = X_test @ OwnRidgeBeta
    ytildeRidge = RegRidge.predict(X_train)
    ypredictRidge = RegRidge.predict(X_test)
    MSEOwnRidgePredict[i] = MSE(y_test,ypredictOwnRidge)
    MSERidgePredict[i] = MSE(y_test,ypredictRidge)
    print("Beta values for own Ridge implementation")
    print(OwnRidgeBeta)
    print("Beta values for Scikit-Learn Ridge implementation")
    print(RegRidge.coef_)
    print("MSE values for own Ridge implementation")
    print(MSEOwnRidgePredict[i])
    print("MSE values for Scikit-Learn Ridge implementation")
    print(MSERidgePredict[i])

# Now plot the results
plt.figure()
plt.plot(np.log10(lambdas), MSEOwnRidgePredict, 'r', label = 'MSE own Ridge Test')
plt.plot(np.log10(lambdas), MSERidgePredict, 'g', label = 'MSE Ridge Test')

plt.xlabel('log10(lambda)')
plt.ylabel('MSE')
plt.legend()
plt.show()

Beta values for own Ridge implementation
[ 1.03032441e+00  6.28336218e-02 -6.24175744e-01  5.21169159e-02
  2.80847477e-01  2.12552073e-01  8.13220608e-02 -1.69634577e-02
 -6.50846111e-02 -7.38962192e-02 -5.94226022e-02 -3.50227564e-02
 -9.80609616e-03  1.08299273e-02  2.41882037e-02  2.93492130e-02
  2.64742912e-02  1.63249532e-02 -5.01831050e-05 -2.15098090e-02]
Beta values for Scikit-Learn Ridge implementation
[ 1.03032441e+00  6.28336218e-02 -6.24175744e-01  5.21169159e-02
  2.80847477e-01  2.12552073e-01  8.13220608e-02 -1.69634577e-02
 -6.50846112e-02 -7.38962192e-02 -5.94226022e-02 -3.50227564e-02
 -9.80609615e-03  1.08299273e-02  2.41882037e-02  2.93492130e-02
  2.64742912e-02  1.63249532e-02 -5.01831190e-05 -2.15098090e-02]
MSE values for own Ridge implementation
4.3632959111950474e-07
MSE values for Scikit-Learn Ridge implementation
4.363295916366933e-07
Beta values for own Ridge implementation
[ 1.03630548 -0.01963611 -0.37900111 -0.07062318  0.12182967  0.16343471
  0.13003291  0.07490892  0.02365049 -0.01449782 -0.03814292 -0.04909093
 -0.05009826 -0.04389027 -0.03279636 -0.01866537 -0.00289724  0.01348565
  0.02976145  0.04543942]
Beta values for Scikit-Learn Ridge implementation
[ 1.03630548 -0.01963611 -0.37900111 -0.07062318  0.12182967  0.16343471
  0.13003291  0.07490892  0.02365049 -0.01449782 -0.03814292 -0.04909093
 -0.05009826 -0.04389027 -0.03279636 -0.01866537 -0.00289724  0.01348565
  0.02976145  0.04543942]
MSE values for own Ridge implementation
5.194042826649355e-06
MSE values for Scikit-Learn Ridge implementation
5.194042826815211e-06
Beta values for own Ridge implementation
[ 1.04220758 -0.10931453 -0.17641709 -0.06020587  0.02208512  0.05789007
  0.06491736  0.05785343  0.04537385  0.03196357  0.01969145  0.00934499
  0.00107405 -0.00526348 -0.00992331 -0.01318643 -0.01531845 -0.01655318
 -0.01708852 -0.01708781]
Beta values for Scikit-Learn Ridge implementation
[ 1.04220758 -0.10931453 -0.17641709 -0.06020587  0.02208512  0.05789007
  0.06491736  0.05785343  0.04537385  0.03196357  0.01969145  0.00934499
  0.00107405 -0.00526348 -0.00992331 -0.01318643 -0.01531845 -0.01655318
 -0.01708852 -0.01708781]
MSE values for own Ridge implementation
2.0940821989652176e-05
MSE values for Scikit-Learn Ridge implementation
2.0940821989627646e-05
Beta values for own Ridge implementation
[ 1.01219292 -0.06043581 -0.10391807 -0.05651951 -0.01898855  0.00312361
  0.01463049  0.01975848  0.02123176  0.02068067  0.01905883  0.01691985
  0.01458337  0.01223198  0.00996754  0.00784393  0.00588657  0.00410387
  0.00249435  0.00105081]
Beta values for Scikit-Learn Ridge implementation
[ 1.01219292 -0.06043581 -0.10391807 -0.05651951 -0.01898855  0.00312361
  0.01463049  0.01975848  0.02123176  0.02068067  0.01905883  0.01691985
  0.01458337  0.01223198  0.00996754  0.00784393  0.00588657  0.00410387
  0.00249435  0.00105081]
MSE values for own Ridge implementation
0.00031535148309577417
MSE values for Scikit-Learn Ridge implementation
0.0003153514830958095
Beta values for own Ridge implementation
[ 8.38916861e-01  1.31276579e-01  8.97497404e-03 -1.72271878e-02
 -2.11744554e-02 -1.91492986e-02 -1.57201944e-02 -1.23002365e-02
 -9.30466214e-03 -6.81048318e-03 -4.78184120e-03 -3.15130074e-03
 -1.84923989e-03 -8.13661243e-04  7.46984697e-06  6.56636616e-04
  1.16805821e-03  1.56912044e-03  1.88168312e-03  2.12318726e-03]
Beta values for Scikit-Learn Ridge implementation
[ 8.38916861e-01  1.31276579e-01  8.97497404e-03 -1.72271878e-02
 -2.11744554e-02 -1.91492986e-02 -1.57201944e-02 -1.23002365e-02
 -9.30466214e-03 -6.81048318e-03 -4.78184120e-03 -3.15130074e-03
 -1.84923989e-03 -8.13661243e-04  7.46984697e-06  6.56636616e-04
  1.16805821e-03  1.56912044e-03  1.88168312e-03  2.12318726e-03]
MSE values for own Ridge implementation
0.01507238889517717
MSE values for Scikit-Learn Ridge implementation
0.01507238889517706
Beta values for own Ridge implementation
[0.37396662 0.14174745 0.0764924  0.04892055 0.03447512 0.02586427
 0.02024962 0.01633913 0.01347916 0.0113104  0.0096208  0.00827728
 0.00719176 0.00630331 0.00556826 0.0049544  0.00443743 0.0039987
 0.0036237  0.003301  ]
Beta values for Scikit-Learn Ridge implementation
[0.37396662 0.14174745 0.0764924  0.04892055 0.03447512 0.02586427
 0.02024962 0.01633913 0.01347916 0.0113104  0.0096208  0.00827728
 0.00719176 0.00630331 0.00556826 0.0049544  0.00443743 0.0039987
 0.0036237  0.003301  ]
MSE values for own Ridge implementation
0.2640931530791004
MSE values for Scikit-Learn Ridge implementation
0.26409315307910025

The results here agree when we force Scikit-Learn's Ridge function to include the first column in our design matrix. We see that the results agree very well. Here we have thus explicitely included the intercept column in the design matrix. What happens if we do not include the intercept in our fit? Let us see how we can change this code by zero centering.

In [4]:

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from sklearn.model_selection import train_test_split
from sklearn import linear_model
from sklearn.preprocessing import StandardScaler

def MSE(y_data,y_model):
    n = np.size(y_model)
    return np.sum((y_data-y_model)**2)/n
# A seed just to ensure that the random numbers are the same for every run.
# Useful for eventual debugging.
np.random.seed(315)

n = 100
x = np.random.rand(n)
y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)

Maxpolydegree = 20
X = np.zeros((n,Maxpolydegree-1))

for degree in range(1,Maxpolydegree): #No intercept column
    X[:,degree-1] = x**(degree)

# We split the data in test and training data
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)

#For our own implementation, we will need to deal with the intercept by centering the design matrix and the target variable
X_train_mean = np.mean(X_train,axis=0)
#Center by removing mean from each feature
X_train_scaled = X_train - X_train_mean 
X_test_scaled = X_test - X_train_mean
#The model intercept (called y_scaler) is given by the mean of the target variable (IF X is centered)
#Remove the intercept from the training data.
y_scaler = np.mean(y_train)           
y_train_scaled = y_train - y_scaler   

p = Maxpolydegree-1
I = np.eye(p,p)
# Decide which values of lambda to use
nlambdas = 6
MSEOwnRidgePredict = np.zeros(nlambdas)
MSERidgePredict = np.zeros(nlambdas)

lambdas = np.logspace(-4, 2, nlambdas)
for i in range(nlambdas):
    lmb = lambdas[i]
    OwnRidgeBeta = np.linalg.pinv(X_train_scaled.T @ X_train_scaled+lmb*I) @ X_train_scaled.T @ (y_train_scaled)
    intercept_ = y_scaler - X_train_mean@OwnRidgeBeta #The intercept can be shifted so the model can predict on uncentered data
    #Add intercept to prediction
    ypredictOwnRidge = X_test_scaled @ OwnRidgeBeta + y_scaler 
    RegRidge = linear_model.Ridge(lmb)
    RegRidge.fit(X_train,y_train)
    ypredictRidge = RegRidge.predict(X_test)
    MSEOwnRidgePredict[i] = MSE(y_test,ypredictOwnRidge)
    MSERidgePredict[i] = MSE(y_test,ypredictRidge)
    print("Beta values for own Ridge implementation")
    print(OwnRidgeBeta) #Intercept is given by mean of target variable
    print("Beta values for Scikit-Learn Ridge implementation")
    print(RegRidge.coef_)
    print('Intercept from own implementation:')
    print(intercept_)
    print('Intercept from Scikit-Learn Ridge implementation')
    print(RegRidge.intercept_)
    print("MSE values for own Ridge implementation")
    print(MSEOwnRidgePredict[i])
    print("MSE values for Scikit-Learn Ridge implementation")
    print(MSERidgePredict[i])


# Now plot the results
plt.figure()
plt.plot(np.log10(lambdas), MSEOwnRidgePredict, 'b--', label = 'MSE own Ridge Test')
plt.plot(np.log10(lambdas), MSERidgePredict, 'g--', label = 'MSE SL Ridge Test')
plt.xlabel('log10(lambda)')
plt.ylabel('MSE')
plt.legend()
plt.show()

Beta values for own Ridge implementation
[ 3.43579948e-02 -5.43330971e-01 -3.10141413e-03  2.47116868e-01
  2.18613217e-01  1.02054837e-01 -4.25617658e-04 -5.90475506e-02
 -7.68534263e-02 -6.68929213e-02 -4.24906604e-02 -1.40927184e-02
  1.11482289e-02  2.88529063e-02  3.67047975e-02  3.38135733e-02
  2.02198703e-02 -3.46383926e-03 -3.63025821e-02]
Beta values for Scikit-Learn Ridge implementation
[ 3.43579948e-02 -5.43330971e-01 -3.10141413e-03  2.47116868e-01
  2.18613217e-01  1.02054837e-01 -4.25617655e-04 -5.90475506e-02
 -7.68534263e-02 -6.68929213e-02 -4.24906604e-02 -1.40927184e-02
  1.11482289e-02  2.88529063e-02  3.67047975e-02  3.38135733e-02
  2.02198702e-02 -3.46383925e-03 -3.63025821e-02]
Intercept from own implementation:
1.0330308045187757
Intercept from Scikit-Learn Ridge implementation
1.0330308045183194
MSE values for own Ridge implementation
3.139255958997547e-06
MSE values for Scikit-Learn Ridge implementation
3.1392559585020426e-06
Beta values for own Ridge implementation
[-0.05807125 -0.29822833 -0.08551306  0.08156108  0.13679863  0.12333649
  0.08251519  0.03815288  0.00111756 -0.02498832 -0.04010697 -0.04566964
 -0.04355837 -0.03562355 -0.02348765 -0.00848904  0.00831018  0.0260906
  0.04423486]
Beta values for Scikit-Learn Ridge implementation
[-0.05807125 -0.29822833 -0.08551306  0.08156108  0.13679863  0.12333649
  0.08251519  0.03815288  0.00111756 -0.02498832 -0.04010697 -0.04566964
 -0.04355837 -0.03562355 -0.02348765 -0.00848904  0.00831018  0.0260906
  0.04423486]
Intercept from own implementation:
1.0411487294305088
Intercept from Scikit-Learn Ridge implementation
1.0411487294305226
MSE values for own Ridge implementation
1.9601304850035702e-05
MSE values for Scikit-Learn Ridge implementation
1.9601304850073734e-05
Beta values for own Ridge implementation
[-0.1416398  -0.14021063 -0.05383795  0.01367553  0.04784395  0.05796251
  0.05447415  0.044613    0.03267527  0.02098261  0.01066519  0.00217499
 -0.00440346 -0.00917248 -0.01231917 -0.01405935 -0.0146081  -0.01416528
 -0.01290947]
Beta values for Scikit-Learn Ridge implementation
[-0.1416398  -0.14021063 -0.05383795  0.01367553  0.04784395  0.05796251
  0.05447415  0.044613    0.03267527  0.02098261  0.01066519  0.00217499
 -0.00440346 -0.00917248 -0.01231917 -0.01405935 -0.0146081  -0.01416528
 -0.01290947]
Intercept from own implementation:
1.049556996627824
Intercept from Scikit-Learn Ridge implementation
1.0495569966278269
MSE values for own Ridge implementation
5.4959161509357395e-05
MSE values for Scikit-Learn Ridge implementation
5.4959161509366685e-05
Beta values for own Ridge implementation
[-0.13535942 -0.08593216 -0.03568439 -0.0036367   0.01397146  0.02229529
  0.02503753  0.0245528   0.02228115  0.01908936  0.01549377  0.01179792
  0.00817631  0.00472512  0.00149311 -0.00149956 -0.00424967 -0.00676387
 -0.00905423]
Beta values for Scikit-Learn Ridge implementation
[-0.13535942 -0.08593216 -0.03568439 -0.0036367   0.01397146  0.02229529
  0.02503753  0.0245528   0.02228115  0.01908936  0.01549377  0.01179792
  0.00817631  0.00472512  0.00149311 -0.00149956 -0.00424967 -0.00676387
 -0.00905423]
Intercept from own implementation:
1.039967668952797
Intercept from Scikit-Learn Ridge implementation
1.0399676689527975
MSE values for own Ridge implementation
7.571105947979344e-05
MSE values for Scikit-Learn Ridge implementation
7.571105947979412e-05
Beta values for own Ridge implementation
[-0.05100875 -0.04063602 -0.02723445 -0.01713366 -0.0100706  -0.00517114
 -0.00174276  0.00068734  0.00243186  0.00369758  0.00462287  0.0053018
  0.00579953  0.006162    0.00642221  0.00660427  0.00672607  0.0068011
  0.00683964]
Beta values for Scikit-Learn Ridge implementation
[-0.05100875 -0.04063602 -0.02723445 -0.01713366 -0.0100706  -0.00517114
 -0.00174276  0.00068734  0.00243186  0.00369758  0.00462287  0.0053018
  0.00579953  0.006162    0.00642221  0.00660427  0.00672607  0.0068011
  0.00683964]
Intercept from own implementation:
0.999955585168597
Intercept from Scikit-Learn Ridge implementation
0.999955585168597
MSE values for own Ridge implementation
0.0007698473260556343
MSE values for Scikit-Learn Ridge implementation
0.0007698473260556325
Beta values for own Ridge implementation
[-0.00834567 -0.00803064 -0.00673407 -0.00554552 -0.00458878 -0.0038335
 -0.00323332 -0.00274989 -0.0023548  -0.00202756 -0.00175331 -0.00152117
 -0.001323   -0.0011526  -0.00100519 -0.00087697 -0.00076495 -0.00066668
 -0.00058016]
Beta values for Scikit-Learn Ridge implementation
[-0.00834567 -0.00803064 -0.00673407 -0.00554552 -0.00458878 -0.0038335
 -0.00323332 -0.00274989 -0.0023548  -0.00202756 -0.00175331 -0.00152117
 -0.001323   -0.0011526  -0.00100519 -0.00087697 -0.00076495 -0.00066668
 -0.00058016]
Intercept from own implementation:
0.9637117593816477
Intercept from Scikit-Learn Ridge implementation
0.9637117593816477
MSE values for own Ridge implementation
0.0023813163025848865
MSE values for Scikit-Learn Ridge implementation
0.002381316302584885

We see here, when compared to the code which includes explicitely the intercept column, that our MSE value is actually smaller. This is because the regularization term does not include the intercept value \beta_0 in the fitting. This applies to Lasso regularization as well. It means that our optimization is now done only with the centered matrix and/or vector that enter the fitting procedure.

Test Function for what happens with OLS, Ridge and Lasso

Hitherto we have discussed Ridge and Lasso regression in terms of a linear analysis. This may to many of you feel rather technical and perhaps not that intuitive. The question is whether we can develop a more intuitive way of understanding what Ridge and Lasso express.

Before we proceed let us perform a Ridge, Lasso and OLS analysis of a polynomial fit.

We will play around with a study of the values for the optimal parameters \boldsymbol{\beta} using OLS, Ridge and Lasso regression. For OLS, you will notice as function of the noise and polynomial degree, that the parameters \beta will fluctuate from order to order in the polynomial fit and that for larger and larger polynomial degrees of freedom, the parameters will tend to increase in value for OLS.

For Ridge and Lasso regression, the higher order parameters will typically be reduced, providing thereby less fluctuations from one order to another one.

In [5]:

import numpy as np
import matplotlib.pyplot as plt
from sklearn.model_selection import train_test_split
from sklearn import linear_model

def R2(y_data, y_model):
    return 1 - np.sum((y_data - y_model) ** 2) / np.sum((y_data - np.mean(y_data)) ** 2)
def MSE(y_data,y_model):
    n = np.size(y_model)
    return np.sum((y_data-y_model)**2)/n

# Make data set.
n = 10000
x = np.random.rand(n)
y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)

Maxpolydegree = 5
X = np.zeros((len(x),Maxpolydegree))
X[:,0] = 1.0


for polydegree in range(1,Maxpolydegree):
    X[:,polydegree] = x**(polydegree)

# We split the data in test and training data
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)

# matrix inversion to find beta
OLSbeta = np.linalg.pinv(X_train.T @ X_train) @ X_train.T @ y_train
print(OLSbeta)
ypredictOLS = X_test @ OLSbeta
print("Test MSE OLS")
print(MSE(y_test,ypredictOLS))
# Repeat now for Lasso and Ridge regression and various values of the regularization parameter using Scikit-Learn
# Decide which values of lambda to use
nlambdas = 4
MSERidgePredict = np.zeros(nlambdas)
MSELassoPredict = np.zeros(nlambdas)
lambdas = np.logspace(-3, 1, nlambdas)
for i in range(nlambdas):
    lmb = lambdas[i]
    # Make the fit using Ridge and Lasso
    RegRidge = linear_model.Ridge(lmb,fit_intercept=False)
    RegRidge.fit(X_train,y_train)
    RegLasso = linear_model.Lasso(lmb,fit_intercept=False)
    RegLasso.fit(X_train,y_train)
    # and then make the prediction
    ypredictRidge = RegRidge.predict(X_test)
    ypredictLasso = RegLasso.predict(X_test)
    # Compute the MSE and print it
    MSERidgePredict[i] = MSE(y_test,ypredictRidge)
    MSELassoPredict[i] = MSE(y_test,ypredictLasso)
    print(lmb,RegRidge.coef_)
    print(lmb,RegLasso.coef_)
# Now plot the results
plt.figure()
plt.plot(np.log10(lambdas), MSERidgePredict, 'b', label = 'MSE Ridge Test')
plt.plot(np.log10(lambdas), MSELassoPredict, 'r', label = 'MSE Lasso Test')
plt.xlabel('log10(lambda)')
plt.ylabel('MSE')
plt.legend()
plt.show()

How can we understand this?

Linking the regression analysis with a statistical interpretation

We will now couple the discussions of ordinary least squares, Ridge and Lasso regression with a statistical interpretation, that is we move from a linear algebra analysis to a statistical analysis. In particular, we will focus on what the regularization terms can result in. We will amongst other things show that the regularization parameter can reduce considerably the variance of the parameters \beta.

The advantage of doing linear regression is that we actually end up with analytical expressions for several statistical quantities.
Standard least squares and Ridge regression allow us to derive quantities like the variance and other expectation values in a rather straightforward way.

It is assumed that $\varepsilon_i \sim \mathcal{N}(0, \sigma^2)$ and the \varepsilon_{i} are independent, i.e.:

\begin{align*} 
\mbox{Cov}(\varepsilon_{i_1},
\varepsilon_{i_2}) & = \left\{ \begin{array}{lcc} \sigma^2 & \mbox{if}
& i_1 = i_2, \\ 0 & \mbox{if} & i_1 \not= i_2.  \end{array} \right.
\end{align*}

The randomness of \varepsilon_i implies that \mathbf{y}_i is also a random variable. In particular, \mathbf{y}_i is normally distributed, because $\varepsilon_i \sim \mathcal{N}(0, \sigma^2)$ and \mathbf{X}_{i,\ast} \, \boldsymbol{\beta} is a non-random scalar. To specify the parameters of the distribution of \mathbf{y}_i we need to calculate its first two moments.

Recall that \boldsymbol{X} is a matrix of dimensionality n\times p. The notation above \mathbf{X}_{i,\ast} means that we are looking at the row number i and perform a sum over all values p.

Assumptions made

The assumption we have made here can be summarized as (and this is going to be useful when we discuss the bias-variance trade off) that there exists a function f(\boldsymbol{x}) and a normal distributed error \boldsymbol{\varepsilon}\sim \mathcal{N}(0, \sigma^2) which describe our data

\boldsymbol{y} = f(\boldsymbol{x})+\boldsymbol{\varepsilon}

We approximate this function with our model from the solution of the linear regression equations, that is our function f is approximated by \boldsymbol{\tilde{y}} where we want to minimize (\boldsymbol{y}-\boldsymbol{\tilde{y}})^2, our MSE, with

\boldsymbol{\tilde{y}} = \boldsymbol{X}\boldsymbol{\beta}.

Expectation value and variance

We can calculate the expectation value of \boldsymbol{y} for a given element i

\begin{align*} 
\mathbb{E}(y_i) & =
\mathbb{E}(\mathbf{X}_{i, \ast} \, \boldsymbol{\beta}) + \mathbb{E}(\varepsilon_i)
\, \, \, = \, \, \, \mathbf{X}_{i, \ast} \, \beta, 
\end{align*}

while its variance is

\begin{align*} \mbox{Var}(y_i) & = \mathbb{E} \{ [y_i
- \mathbb{E}(y_i)]^2 \} \, \, \, = \, \, \, \mathbb{E} ( y_i^2 ) -
[\mathbb{E}(y_i)]^2  \\  & = \mathbb{E} [ ( \mathbf{X}_{i, \ast} \,
\beta + \varepsilon_i )^2] - ( \mathbf{X}_{i, \ast} \, \boldsymbol{\beta})^2 \\ &
= \mathbb{E} [ ( \mathbf{X}_{i, \ast} \, \boldsymbol{\beta})^2 + 2 \varepsilon_i
\mathbf{X}_{i, \ast} \, \boldsymbol{\beta} + \varepsilon_i^2 ] - ( \mathbf{X}_{i,
\ast} \, \beta)^2 \\  & = ( \mathbf{X}_{i, \ast} \, \boldsymbol{\beta})^2 + 2
\mathbb{E}(\varepsilon_i) \mathbf{X}_{i, \ast} \, \boldsymbol{\beta} +
\mathbb{E}(\varepsilon_i^2 ) - ( \mathbf{X}_{i, \ast} \, \boldsymbol{\beta})^2 
\\ & = \mathbb{E}(\varepsilon_i^2 ) \, \, \, = \, \, \,
\mbox{Var}(\varepsilon_i) \, \, \, = \, \, \, \sigma^2.  
\end{align*}

Hence, y_i \sim \mathcal{N}( \mathbf{X}_{i, \ast} \, \boldsymbol{\beta}, \sigma^2), that is \boldsymbol{y} follows a normal distribution with mean value \boldsymbol{X}\boldsymbol{\beta} and variance \sigma^2 (not be confused with the singular values of the SVD).

Expectation value and variance for \boldsymbol{\beta}

With the OLS expressions for the optimal parameters \boldsymbol{\hat{\beta}} we can evaluate the expectation value

\mathbb{E}(\boldsymbol{\hat{\beta}}) = \mathbb{E}[ (\mathbf{X}^{\top} \mathbf{X})^{-1}\mathbf{X}^{T} \mathbf{Y}]=(\mathbf{X}^{T} \mathbf{X})^{-1}\mathbf{X}^{T} \mathbb{E}[ \mathbf{Y}]=(\mathbf{X}^{T} \mathbf{X})^{-1} \mathbf{X}^{T}\mathbf{X}\boldsymbol{\beta}=\boldsymbol{\beta}.

This means that the estimator of the regression parameters is unbiased.

We can also calculate the variance

The variance of the optimal value \boldsymbol{\hat{\beta}} is

\begin{eqnarray*}
\mbox{Var}(\boldsymbol{\hat{\beta}}) & = & \mathbb{E} \{ [\boldsymbol{\beta} - \mathbb{E}(\boldsymbol{\beta})] [\boldsymbol{\beta} - \mathbb{E}(\boldsymbol{\beta})]^{T} \}
\\
& = & \mathbb{E} \{ [(\mathbf{X}^{T} \mathbf{X})^{-1} \, \mathbf{X}^{T} \mathbf{Y} - \boldsymbol{\beta}] \, [(\mathbf{X}^{T} \mathbf{X})^{-1} \, \mathbf{X}^{T} \mathbf{Y} - \boldsymbol{\beta}]^{T} \}
\\
% & = & \mathbb{E} \{ [(\mathbf{X}^{T} \mathbf{X})^{-1} \, \mathbf{X}^{T} \mathbf{Y}] \, [(\mathbf{X}^{T} \mathbf{X})^{-1} \, \mathbf{X}^{T} \mathbf{Y}]^{T} \} - \boldsymbol{\beta} \, \boldsymbol{\beta}^{T}
% \\
% & = & \mathbb{E} \{ (\mathbf{X}^{T} \mathbf{X})^{-1} \, \mathbf{X}^{T} \mathbf{Y} \, \mathbf{Y}^{T} \, \mathbf{X} \, (\mathbf{X}^{T} \mathbf{X})^{-1}  \} - \boldsymbol{\beta} \, \boldsymbol{\beta}^{T}
% \\
& = & (\mathbf{X}^{T} \mathbf{X})^{-1} \, \mathbf{X}^{T} \, \mathbb{E} \{ \mathbf{Y} \, \mathbf{Y}^{T} \} \, \mathbf{X} \, (\mathbf{X}^{T} \mathbf{X})^{-1} - \boldsymbol{\beta} \, \boldsymbol{\beta}^{T}
\\
& = & (\mathbf{X}^{T} \mathbf{X})^{-1} \, \mathbf{X}^{T} \, \{ \mathbf{X} \, \boldsymbol{\beta} \, \boldsymbol{\beta}^{T} \,  \mathbf{X}^{T} + \sigma^2 \} \, \mathbf{X} \, (\mathbf{X}^{T} \mathbf{X})^{-1} - \boldsymbol{\beta} \, \boldsymbol{\beta}^{T}
% \\
% & = & (\mathbf{X}^T \mathbf{X})^{-1} \, \mathbf{X}^T \, \mathbf{X} \, \boldsymbol{\beta} \, \boldsymbol{\beta}^T \,  \mathbf{X}^T \, \mathbf{X} \, (\mathbf{X}^T % \mathbf{X})^{-1}
% \\
% & & + \, \, \sigma^2 \, (\mathbf{X}^T \mathbf{X})^{-1} \, \mathbf{X}^T  \, \mathbf{X} \, (\mathbf{X}^T \mathbf{X})^{-1} - \boldsymbol{\beta} \boldsymbol{\beta}^T
\\
& = & \boldsymbol{\beta} \, \boldsymbol{\beta}^{T}  + \sigma^2 \, (\mathbf{X}^{T} \mathbf{X})^{-1} - \boldsymbol{\beta} \, \boldsymbol{\beta}^{T}
\, \, \, = \, \, \, \sigma^2 \, (\mathbf{X}^{T} \mathbf{X})^{-1},
\end{eqnarray*}

where we have used that $\mathbb{E} (\mathbf{Y} \mathbf{Y}^{T}) = \mathbf{X} , \boldsymbol{\beta} , \boldsymbol{\beta}^{T} , \mathbf{X}^{T} + \sigma^2 , \mathbf{I}_{nn}$. From $\mbox{Var}(\boldsymbol{\beta}) = \sigma^2 , (\mathbf{X}^{T} \mathbf{X})^{-1}$, one obtains an estimate of the variance of the estimate of the $j$-th regression coefficient: \boldsymbol{\sigma}^2 (\boldsymbol{\beta}_j ) = \boldsymbol{\sigma}^2 [(\mathbf{X}^{T} \mathbf{X})^{-1}]_{jj} . This may be used to construct a confidence interval for the estimates.

In a similar way, we can obtain analytical expressions for say the expectation values of the parameters \boldsymbol{\beta} and their variance when we employ Ridge regression, allowing us again to define a confidence interval.

It is rather straightforward to show that

\mathbb{E} \big[ \boldsymbol{\beta}^{\mathrm{Ridge}} \big]=(\mathbf{X}^{T} \mathbf{X} + \lambda \mathbf{I}_{pp})^{-1} (\mathbf{X}^{\top} \mathbf{X})\boldsymbol{\beta}^{\mathrm{OLS}}.

We see clearly that \mathbb{E} \big[ \boldsymbol{\beta}^{\mathrm{Ridge}} \big] \not= \boldsymbol{\beta}^{\mathrm{OLS}} for any \lambda > 0. We say then that the ridge estimator is biased.

We can also compute the variance as

\mbox{Var}[\boldsymbol{\beta}^{\mathrm{Ridge}}]=\sigma^2[  \mathbf{X}^{T} \mathbf{X} + \lambda \mathbf{I} ]^{-1}  \mathbf{X}^{T} \mathbf{X} \{ [  \mathbf{X}^{\top} \mathbf{X} + \lambda \mathbf{I} ]^{-1}\}^{T},

and it is easy to see that if the parameter \lambda goes to infinity then the variance of Ridge parameters \boldsymbol{\beta} goes to zero.

With this, we can compute the difference

\mbox{Var}[\boldsymbol{\beta}^{\mathrm{OLS}}]-\mbox{Var}(\boldsymbol{\beta}^{\mathrm{Ridge}})=\sigma^2 [  \mathbf{X}^{T} \mathbf{X} + \lambda \mathbf{I} ]^{-1}[ 2\lambda\mathbf{I} + \lambda^2 (\mathbf{X}^{T} \mathbf{X})^{-1} ] \{ [  \mathbf{X}^{T} \mathbf{X} + \lambda \mathbf{I} ]^{-1}\}^{T}.

The difference is non-negative definite since each component of the matrix product is non-negative definite. This means the variance we obtain with the standard OLS will always for \lambda > 0 be larger than the variance of \boldsymbol{\beta} obtained with the Ridge estimator. This has interesting consequences when we discuss the so-called bias-variance trade-off below.

Deriving OLS from a probability distribution

Our basic assumption when we derived the OLS equations was to assume that our output is determined by a given continuous function f(\boldsymbol{x}) and a random noise \boldsymbol{\epsilon} given by the normal distribution with zero mean value and an undetermined variance \sigma^2.

We found above that the outputs \boldsymbol{y} have a mean value given by \boldsymbol{X}\hat{\boldsymbol{\beta}} and variance \sigma^2. Since the entries to the design matrix are not stochastic variables, we can assume that the probability distribution of our targets is also a normal distribution but now with mean value \boldsymbol{X}\hat{\boldsymbol{\beta}}. This means that a single output y_i is given by the Gaussian distribution

y_i\sim \mathcal{N}(\boldsymbol{X}_{i,*}\boldsymbol{\beta}, \sigma^2)=\frac{1}{\sqrt{2\pi\sigma^2}}\exp{\left[-\frac{(y_i-\boldsymbol{X}_{i,*}\boldsymbol{\beta})^2}{2\sigma^2}\right]}.

Independent and Identically Distributed (iid)

We assume now that the various y_i values are stochastically distributed according to the above Gaussian distribution. We define this distribution as

p(y_i, \boldsymbol{X}\vert\boldsymbol{\beta})=\frac{1}{\sqrt{2\pi\sigma^2}}\exp{\left[-\frac{(y_i-\boldsymbol{X}_{i,*}\boldsymbol{\beta})^2}{2\sigma^2}\right]},

which reads as finding the likelihood of an event y_i with the input variables \boldsymbol{X} given the parameters (to be determined) \boldsymbol{\beta}.

Since these events are assumed to be independent and identicall distributed we can build the probability distribution function (PDF) for all possible event \boldsymbol{y} as the product of the single events, that is we have

p(\boldsymbol{y},\boldsymbol{X}\vert\boldsymbol{\beta})=\prod_{i=0}^{n-1}\frac{1}{\sqrt{2\pi\sigma^2}}\exp{\left[-\frac{(y_i-\boldsymbol{X}_{i,*}\boldsymbol{\beta})^2}{2\sigma^2}\right]}=\prod_{i=0}^{n-1}p(y_i,\boldsymbol{X}\vert\boldsymbol{\beta}).

We will write this in a more compact form reserving \boldsymbol{D} for the domain of events, including the ouputs (targets) and the inputs. That is in case we have a simple one-dimensional input and output case

\boldsymbol{D}=[(x_0,y_0), (x_1,y_1),\dots, (x_{n-1},y_{n-1})].

In the more general case the various inputs should be replaced by the possible features represented by the input data set \boldsymbol{X}. We can now rewrite the above probability as

p(\boldsymbol{D}\vert\boldsymbol{\beta})=\prod_{i=0}^{n-1}\frac{1}{\sqrt{2\pi\sigma^2}}\exp{\left[-\frac{(y_i-\boldsymbol{X}_{i,*}\boldsymbol{\beta})^2}{2\sigma^2}\right]}.

It is a conditional probability (see below) and reads as the likelihood of a domain of events \boldsymbol{D} given a set of parameters \boldsymbol{\beta}.

Maximum Likelihood Estimation (MLE)

In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of an assumed probability distribution, given some observed data. This is achieved by maximizing a likelihood function so that, under the assumed statistical model, the observed data is the most probable.

We will assume here that our events are given by the above Gaussian distribution and we will determine the optimal parameters \beta by maximizing the above PDF. However, computing the derivatives of a product function is cumbersome and can easily lead to overflow and/or underflowproblems, with potentials for loss of numerical precision.

In practice, it is more convenient to maximize the logarithm of the PDF because it is a monotonically increasing function of the argument. Alternatively, and this will be our option, we will minimize the negative of the logarithm since this is a monotonically decreasing function.

Note also that maximization/minimization of the logarithm of the PDF is equivalent to the maximization/minimization of the function itself.

A new Cost Function

We could now define a new cost function to minimize, namely the negative logarithm of the above PDF

C(\boldsymbol{\beta}=-\log{\prod_{i=0}^{n-1}p(y_i,\boldsymbol{X}\vert\boldsymbol{\beta})}=-\sum_{i=0}^{n-1}\log{p(y_i,\boldsymbol{X}\vert\boldsymbol{\beta})},

which becomes

C(\boldsymbol{\beta}=\frac{n}{2}\log{2\pi\sigma^2}+\frac{\vert\vert (\boldsymbol{y}-\boldsymbol{X}\boldsymbol{\beta})\vert\vert_2^2}{2\sigma^2}.

Taking the derivative of the new cost function with respect to the parameters \beta we recognize our familiar OLS equation, namely

\boldsymbol{X}^T\left(\boldsymbol{y}-\boldsymbol{X}\boldsymbol{\beta}\right) =0,

which leads to the well-known OLS equation for the optimal paramters \beta

\hat{\boldsymbol{\beta}}^{\mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right)^{-1}\boldsymbol{X}^T\boldsymbol{y}!

Before we make a similar analysis for Ridge and Lasso regression, we need a short reminder on statistics.

More basic Statistics and Bayes' theorem

A central theorem in statistics is Bayes' theorem. This theorem plays a similar role as the good old Pythagoras' theorem in geometry. Bayes' theorem is extremely simple to derive. But to do so we need some basic axioms from statistics.

Assume we have two domains of events X=[x_0,x_1,\dots,x_{n-1}] and Y=[y_0,y_1,\dots,y_{n-1}].

We define also the likelihood for X and Y as p(X) and p(Y) respectively. The likelihood of a specific event x_i (or y_i) is then written as p(X=x_i) or just p(x_i)=p_i.

Union of events is given by.

p(X \cup Y)= p(X)+p(Y)-p(X \cap Y).

The product rule (aka joint probability) is given by.

p(X \cup Y)= p(X,Y)= p(X\vert Y)p(Y)=p(Y\vert X)p(X),

Warning:

Output truncated. This notebook contains too many cells to display efficiently.