I'm applying a kmean algorithm for clustering my customer base. I'm struggling conceptually on the selection process of the dimensions (variables) to include in the model. I was wondering if there are methods established to compare among models with different variables. In particular, I was thinking to use the common SSwithin / SSbetween ratio, but I'm not sure if that can be applied to compare models with a different number of dimensions...
Any suggestions>?
Thanks a lot.
Classic approaches are sequential selection algorithms like "sequential floating forward selection" (SFFS) or "sequential floating backward elimination (SFBS). Those are heuristic methods where you eliminate (or add) one feature at the time based on your performance metric, e.g,. mean squared error (MSE). Also, you could use a genetic algorithm for that if you like.
Here is an easy-going paper that summarizes the ideas:
Feature Selection from Huge Feature Sets
And a more advanced one that could be useful: Unsupervised Feature Selection for the k-means Clustering Problem
EDIT:
When I think about it again, I initially had the question in mind "how do I select the k (a fixed number) best features (where k < d)," e.g., for computational efficiency or visualization purposes. Now, I think what you where asking is more like "What is the feature subset that performs best overall?" The silhouette index (similarity of points within a cluster) could be useful, but I really don't think you can really improve the performance via feature selection unless you have the ground truth labels.
I have to admit that I have more experience with supervised rather than unsupervised methods. Thus, I typically prefer regularization over feature selection/dimensionality reduction when it comes to tackling the "curse of dimensionality." I use dimensionality reduction frequently for data compression though.
Related
I have seen MICE implemented with different types of algorithms e.g. RandomForest or Stochastic Regression etc.
My question is that does it matter which type of algorithm i.e. does one perform the best? Is there any empirical evidence?
I am struggling to find any info on the web
Thank you
Yes, (depending on your task) it can matter quite a lot, which algorithm you choose.
You also can be sure, the mice developers wouldn't out effort into providing different algorithms, if there was one algorithm that anyway always performs best. Because, of course like in machine learning the "No free lunch theorem" is also relevant for imputation.
In general you can say, that the default settings of mice are often a good choice.
Look at this example from the miceRanger Vignette to see, how far imputations can differ for different algorithms. (the real distribution is marked in red, the respective multiple imputations in black)
The Predictive Mean Matching (pmm) algorithm e.g. makes sure that only imputed values appear, that were really in the dataset. This is for example useful, where only integer values like 0,1,2,3 appear in the data (and no values in between). Other algorithms won't do this, so while doing their regression they will also provide interpolated values like on the picture to the right ( so they will provide imputations that are e.g. 1.1, 1.3, ...) Both solutions can come with certain drawbacks.
That is why it is important to actually assess imputation performance afterwards. There are several diagnostic plots in mice to do this.
I am looking for some comprehensive description. I couldn't find it via browsing as things are more clustered on the web and its not in my scope currently.
Classification and evolutionary computing is comparing oranges to apples. Let me explain:
Classification is a type of problem, where the goal is to determine a label given some input. (Typical example, given pixel values, determine image label).
Evolutionary computing is a family of algorithms to solve different types of problems. They work with a "population" of candidates (imagine a set of different neural networks trying to solve a given problem). Somehow you evaluate how good each candidate is in the given task (typically using a "fitness function", but there are other methods). Then a new generation of candidates is produced, taking the best candidates from the previous generation as a model, and including mutations and cross-over (that is, introducing changes). Repeat until happy.
Evolutionary computing can absolutely be used for classification! But there are examples where it is used in different ways. You may use evolutionary computing to create an artificial neural network controlling a robot (in this case, inputs are sensor values, outputs are commands for actuators). Or to create original content free of a given goal, as in Picbreeder.
Classification may be solved using evolutionary computation (maybe this is why you where confused in the first place) but other techniques are also common. You can use decision trees, or notably deep-learning (based on backpropagation).
Deep-learning based on backpropagation may sound similar to evolutionary computation, but it is quite different. Here you have only one artificial neural network, and a clear rule (backpropagation) telling you which changes to introduce every iteration.
Hope this helps to complement other answers!
Classification algorithms and evolutionary computing are different approaches. However, they are related in some ways.
Classification algorithms aim to identify the class label of new instances. They are trained with some labeled instances. For example, recognition of digits is a classification algorithm.
Evolutionary algorithms are used to find out the minimum or maximum solution of an optimization problem. They randomly explore the solution space of the given problem. They can find a good solution in a reasonable time and are not able to find the global optimum in all problems.
In some classification approaches, evolutionary algorithms are used to find out the optimal value of the parameters.
The problem is simple: I need to find the optimal strategy to implement accurate HyperLogLog unions based on Redis' representation thereof--this includes handling their sparse/dense representations if the data structure is exported for use elsewhere.
Two Strategies
There are two strategies, one of which seems vastly simpler. I've looked at the actual Redis source and I'm having a bit of trouble (not big in C, myself) figuring out whether it's better from a precision and efficiency perspective to use their built-in structures/routines or develop my own. For what it's worth, I'm willing to sacrifice space and to some degree errors (stdev +-2%) in the pursuit of efficiency with extremely large sets.
1. Inclusion Principle
By far the simplest of the two--essentially I would just use the lossless union (PFMERGE) in combination with this principle to calculate an estimate of the overlap. Tests seem to show this running reliably in many cases, although I'm having trouble getting an accurate handle on in-the-wild efficiency and accuracy (some cases can produce errors of 20-40% which is unacceptable in this use case).
Basically:
aCardinality + bCardinality - intersectionCardinality
or, in the case of multiple sets...
aCardinality + (bCardinality x cCardinality) - intersectionCardinality
seems to work in many cases with good accuracy, but I don't know if I trust it. While Redis has many built-in low-cardinality modifiers designed to circumvent known HLL issues, I don't know if the issue of wild inaccuracy (using inclusion/exclusion) is still present with sets of high disparity in size...
2. Jaccard Index Intersection/MinHash
This way seems more interesting, but a part of me feels like it may computationally overlap with some of Redis' existing optimizations (ie, I'm not implementing my own HLL algorithm from scratch).
With this approach I'd use a random sampling of bins with a MinHash algorithm (I don't think an LSH implementation is worth the trouble). This would be a separate structure, but by using minhash to get the Jaccard index of the sets, you can then effectively multiply the union cardinality by that index for a more accurate count.
Problem is, I'm not very well versed in HLL's and while I'd love to dig into the Google paper I need a viable implementation in short order. Chances are I'm overlooking some basic considerations either of Redis' existing optimizations, or else in the algorithm itself that allows for computationally-cheap intersection estimates with pretty lax confidence bounds.
thus, my question:
How do I most effectively get a computationally-cheap intersection estimate of N huge (billions) sets, using redis, if I'm willing to sacrifice space (and to a small degree, accuracy)?
Read this paper some time back. Will probably answer most of your questions. Inclusion Principle inevitably compounds error margins a large number of sets. Min-Hash approach would be the way to go.
http://tech.adroll.com/media/hllminhash.pdf
There is a third strategy to estimate the intersection size of any two sets given as HyperLogLog sketches: Maximum likelihood estimation.
For more details see the paper available at
http://oertl.github.io/hyperloglog-sketch-estimation-paper/.
I am working on two feature selection algorithms for a real world problem where the sample size is 30 and feature size is 80. The first algorithm is wrapper forward feature selection using SVM classifier, the second is filter feature selection algorithm using Pearson product-moment correlation coefficient and Spearman's rank correlation coefficient. It turns out that the selected features by these two algorithms are not overlap at all. Is it reasonable? Does it mean I made mistakes in my implementation? Thank you.
FYI, I am using Libsvm + matlab.
It can definitely happen as both strategies do not have the same expression power.
Trust the wrapper if you want the best feature subset for prediction, trust the correlation if you want all features that are linked to the output/predicted variable. Those subsets can be quite different, especially if you have many redundant features.
Using top correlated features is a strategy which assumes that the relationships between the features and the output/predicted variable are linear, (or at least monotonous in case of Spearman's rank correlation), and that features are statistically independent one from another, and do not 'interact' with one another. Those assumptions are most often violated in real world problems.
Correlations, or other 'filters' such as mutual information, are better used either to filter out features, to decide which features not to consider, rather than to decide which features to consider. Filters are necessary when the initial feature count is very large (hundreds, thousands) to reduce the workload for a subsequent wrapper algorithm.
Depending on the distribution of the data you can either use spearman or pearson.The latter is used for normal distribution while former for non-normal.Find the distribution and use appropriate one.
I have read many tutorials, papers and I understood the concept of Genetic Algorithm, but I have some problems to implement the problem in Matlab.
In summary, I have:
A chromosome containing three genes [ a b c ] with each gene constrained by some different limits.
Objective function to be evaluated to find the best solution
What I did:
Generated random values of a, b and c, say 20 populations. i.e
[a1 b1 c1] [a2 b2 c2]…..[a20 b20 c20]
At each solution, I evaluated the objective function and ranked the solutions from best to worst.
Difficulties I faced:
Now, why should we go for crossover and mutation? Is the best solution I found not enough?
I know the concept of doing crossover (generating random number, probability…etc) but which parents and how many of them will be selected to do crossover or mutation?
Should I do the crossover for the entire 20 solutions (parents) or only two of them?
Generally a Genetic Algorithm is used to find a good solution to a problem with a huge search space, where finding an absolute solution is either very difficult or impossible. Obviously, I don't know the range of your values but since you have only three genes it's likely that a good solution will be found by a Genetic Algorithm (or a simpler search strategy at that) without any additional operators. Selection and Crossover is usually carried out on all chromosome in the population (although it's not uncommon to carry some of the best from each generation forward as is). The general idea is that the fitter chromosomes are more likely to be selected and undergo crossover with each other.
Mutation is usually used to stop the Genetic Algorithm prematurely converging on a non-optimal solution. You should analyse the results without mutation to see if it's needed. Mutation is usually run on the entire population, at every generation, but with a very small probability. Giving every gene 0.05% chance that it will mutate isn't uncommon. You usually want to give a small chance of mutation, without it completely overriding the results of selection and crossover.
As has been suggested I'd do a lit bit more general background reading on Genetic Algorithms to give a better understanding of its concepts.
Sharing a bit of advice from 'Practical Neural Network Recipies in C++' book... It is a good idea to have a significantly larger population for your first epoc, then your likely to include features which will contribute to an acceptable solution. Later epocs which can have smaller populations will then tune and combine or obsolete these favourable features.
And Handbook-Multiparent-Eiben seems to indicate four parents are better than two. However bed manufactures have not caught on to this yet and seem to only produce single and double-beds.