Search results for “метод наименьших квадратов”

Multiple linear regression and least squares, the pseudoinverse and the geometric meaning of least squares; the solution through the singular value decomposition; multicollinearity and the condition number; ridge regression, choosing the regularization parameter and the effective dimension; LASSO and non-smooth regularizers for feature selection; principal component analysis as a low-rank matrix decomposition; the spectral method of least squares.

Nonlinear regression: the Newton–Raphson and Gauss–Newton methods as a series of linear regressions; logistic regression and iteratively reweighted least squares (IRLS); the generalized additive model and backfitting; the probabilistic meaning of least squares; the generalized linear model (GLM), the exponential family of distributions and the link function; logistic regression as a special case of GLM; the median, quantile regression and robust loss functions.

Time series forecasting problems: the time series model, the forecasting horizon, the least squares method; econometrics as the main source of problems — trends, seasonalities, change points; examples of forecasting sales volumes and electricity prices; the linear autoregression model; a brief survey of forecasting methods; adaptive short-term forecasting methods: the exponential moving average and the smoothing parameter, the models of Holt, Theil–Wage, Winters with linear and exponential trend, adaptive autoregression; the tracking signal and a statistical test of model adequacy, the Trigg–Leach model; adaptive selection and adaptive composition of models, the LAVR method — local adaptation of weights with regularisation, the monotonicity constraint as a regulariser; experiments on the sales forecasting problem.

Learning on a data stream: the formulation of the online learning problem, the learning curve, the issues: efficient model updates, making the model more complex as the sample grows, the equivalence of online and offline, storing the sample and catastrophic forgetting; how online learning differs from incremental learning, continual learning, anytime algorithms; lazy learning and online prototype selection; the online naive Bayes classifier with exponential distributions of features; the perceptron, Passive-Aggressive and online gradient descent; the recursive least squares method and the Sherman–Morrison formula; incremental training of decision trees ID5R; online training of an ensemble by the Hedge(β) algorithm and its financial interpretation; online deep learning and Hedge BackProp; incremental learning of new classes, iCaRL.

The general scheme of supervised learning for regression, binary and multiclass classification; the margin and continuous approximations of the threshold loss; the linear classifier as a model of a neuron; the stochastic gradient method, momentum, Nesterov's accelerated gradient and heuristics; multicollinearity and L2 regularization; the maximum likelihood principle, its link to empirical risk minimization and the probabilistic meaning of regularization.

The neuron as a linear model; implementing Boolean functions and the exclusive-OR problem; two-layer networks as universal approximators, Cybenko's theorem; the multilayer network and the backpropagation method; the adaptive gradient methods RMSProp, AdaDelta, Adam, Nadam; gradient explosion and gradient clipping; Dropout, ReLU activation functions, batch normalization, initialization and network pruning (Optimal Brain Damage).

Anomaly and novelty detection; heuristic anomaly scores: local density, isolation forest, a mixture with a background component, robust principal component analysis; outlier removal in nonparametric regression, the LOWESS algorithm; anomaly as the value of the loss function; the theory of robust learning: slowly growing functions, iterative reweighting of objects with IRS and IRLS, robust loss functions, the median, the quantile and the censored mean, robust aggregation functions and their smoothing, the IR-ERM algorithm; one-class SVM, learning from positive and unlabeled objects (PU-learning), problems with new and unknown classes.

Interpretability and explainability of machine learning models: goals, tasks and basic notions, who needs explanations and why; interpretable models; feature importance in linear regression: the t-statistic, net effects, contributions and situational importance; partial dependence plots (PDP) and individual conditional expectation plots (ICE); permutation feature importance; the Shapley value from cooperative game theory, its axioms and Monte Carlo estimation, its use in linear regression; surrogate modelling in the neighbourhood of an object, the LIME, Anchors, SHAP, Shapley Kernel and SAGE methods; the Shapley value for training objects, Data Shapley and Gradient Shapley; counterfactual explanations.

A survey lecture: machine learning as formulations of optimisation problems, a model, a loss function, a regulariser. Regression and classification, continuous approximations of the threshold loss function, SVM and logistic regression, quantile, robust and SVM regression; the L0, L1, L2, Elastic Net, SFM, RFM regularisers and feature selection; learning to rank: ordinal regression, the pairwise approach and AUC, LambdaRank; estimating a density and a mixture of distributions, clustering as a special case of a mixture, the one-class SVM; semi-supervised learning, the transductive SVM, PU-learning; matrix factorisations, autoencoders, multidimensional scaling, graph factorisations, GraphEDM; transfer learning, multi-task and self-supervised learning, distillation, learning using privileged information, generative adversarial networks; a typology of machine learning problems.

Collaborative filtering problems: transaction data, the clients–items matrix, filling in missing values and ranking recommendations, the Netflix Prize competition; user-based and item-based correlation methods, the Pearson, cosine and Jaccard similarity measures, Fisher's exact test; the sparse linear model SLIM; latent models and matrix factorisations: SVD, the alternating least squares method ALS, the latent factor model LFM and stochastic gradient, nonnegative matrix factorisations NNMF, PLSA; taking implicit preferences into account (implicit feedback); matrix factorisation as a linear autoencoder, neural network and denoising autoencoders; taking features of clients and items into account, factorisation machines libFM, a hypergraph topic model; the quality of recommendations: RMSE, precision@k, recall@k, diversity, novelty, coverage, serendipity, bias, offline and online evaluation.

A closing review of the first semester: empirical risk minimisation and gradient methods; underfitting, overfitting, multicollinearity and regularisation; optimisation formulations of supervised learning (regression, classification, ranking) and unsupervised learning (density, mixtures, clustering, one-class classification, semi-supervised learning, PU-learning, principal component analysis, autoencoders); the six scientific schools of machine learning — symbolism, evolutionism, analogism, Bayesianism, connectionism, compositionism — and their Soviet roots; estimate-calculating algorithms; practice: CRISP-DM, data preprocessing, model evaluation and selection, loss analysis, A/B testing, meta-learning and AutoML.

Bias–variance analysis: the decomposition of the error into noise, bias and variance, the bias and variance of simple voting, why complex ensembles do not overfit; gradient boosting for an arbitrary loss function as a parametric approximation of a gradient step; stochastic gradient boosting; special cases: regression, AdaBoost, AnyBoost, variants of loss functions; XGBoost: the tree as a linear model, L0 and L2 regularisation, analytical leaf values and the splitting criterion; CatBoost: leakage in the gradients, ordered boosting on subsamples of doubling length, unbiased target statistics for categorical features.

Active learning: the model itself chooses which objects to give the teacher for labelling. The problem setting, why active learning is faster than passive learning, learning curves; pool-based sampling, query synthesis and stream-based selective sampling, cost-sensitive methods; uncertainty sampling (least confidence, minimum margin, maximum entropy), query by committee, version space reduction, expected model change, expected error reduction; query synthesis by the Nelder–Mead method and by the variance reduction criterion; density weighting; exploratory actions, the ε-active and EG-active algorithms with the exponentiated gradient; active learning in crowdsourcing: reconciling annotators' labels, models of their reliability and of object difficulty, assigning tasks to annotators.

Reinforcement learning as learning from the environment's response: the multi-armed bandit problem, estimating the value of an action, the greedy and ε-greedy strategies, the exploration–exploitation trade-off, the UCB method, the exponential moving average, the pursuit method and reinforcement comparison; an environment with states, the Markov decision process, how it differs from ordinary machine learning problems, the discounted return, the state and action value functions, the Bellman equation, the SARSA and Q-learning methods, on-policy and off-policy; deep Q-learning DQN on the example of Atari games, experience replay; gradient optimisation of the policy (policy gradient) and its connection with log-likelihood maximisation; model-based and model-free approaches, a regression model of the reward with an upper confidence bound, LinUCB, recommending news articles, evaluating a policy on historical data.

The optimal separating hyperplane and the width of the separating strip; the hinge loss and L2 regularization; the Karush–Kuhn–Tucker conditions, the dual problem and the types of objects; kernels, rectifying spaces and the constructive building of kernels; SVM as a two-layer neural network; choosing the constant C; SVM regression; L1 regularization, Elastic Net SVM, SFM and RVM.

The continuity and compactness hypotheses; the Minkowski metric and feature-free distances; the generalized metric classifier, the k nearest neighbours method, the Parzen window and the method of potential functions as a linear classifier; complete cross-validation, the compactness profile and the exact CCV formula for the nearest neighbour method; prototype selection; Nadaraya–Watson kernel smoothing, the choice of kernel and bandwidth.

Objects, features and answers; the types of supervised learning problems; parametric models and the learning method; loss functions and empirical risk minimization; the Runge example and overfitting; hold-out, leave-one-out and cross-validation; applied problems from medical diagnosis to sales forecasting; the CRISP-DM standard.

Ensembles of models: base algorithms, the space of estimates, the decision rule and correcting functions; the problem of diversity of base algorithms; bagging, the random subspace method and a common pseudocode of stochastic ensembling; the unbiased out-of-bag estimate and estimating feature importance; converting simple voting into weighted voting; the random forest; boosting for binary classification with abstentions, the exponential approximation of the threshold loss function, the main theorem of AdaBoost with proof, convergence, classical AdaBoost and heuristics; why boosting does not overfit: experiments, bounding the probability of error through margins, the distribution of margins, comparison with bagging; the ComBoost algorithm.

Estimating a probability density from a sample: the maximum likelihood principle, the multivariate Gaussian density and its geometric meaning, multicollinearity and regularisation of the covariance matrix; separating a mixture of distributions, the EM algorithm as a method of simple iterations, the Gaussian mixture (GMM); the nonparametric Parzen–Rosenblatt estimate, the choice of kernel and window width; Bayesian classification theory: the generative and discriminative approaches, the optimal Bayes classifier, the Parzen window method, the quadratic discriminant, Fisher's linear discriminant, the radial basis function network and its training by the EM algorithm.