Boosting and other Expert Fusion Strategies. References Chapter 9.5 Duda Hart & Stock Leo Breiman...

Boosting and other Expert Fusion Strategies

References

• http://www.boosting.org• Chapter 9.5 Duda Hart & Stock• Leo Breiman Boosting Bagging

Arcing• Presentation adapted from:

Rishi Sinha, Robin Dhamankar

http://www.boosting.org/

Types of Multiple Experts

• Single expert on full observation space

• Single expert for sub regions of observation space (Trees)

• Multiple experts on full observation space

• Multiple experts on sub regions of observation space

Types of Multiple Experts Training

• Use full observation space for each expert

• Use different observation features for each expert

• Use different observations for each expert

• Combine the above

Online Experts Selection

• N strategies (experts)

• At time t:– Learner A chooses a distribution over N

experts

– Let pt(i) be the probability of i-th expert

– pt(i) = 1 and for a loss vector lt

Loss at time t: pt(i) lt(i)

• Assume bounded loss, lt(i) in [0,1]

Experts Algorithm: Greedy

• For each expert define its cumulative loss:

• Greedy: At time t choose the expert with minimum loss, namely, arg min Li

t

t

j

ji

t

ilL

1

Greedy Analysis

• Theorem: Let LGT be the loss of

Greedy at time T, then

• Proof in notes.• Weakness: Relies on a single

expert for every observation

)1min( Ti

i

TG LNL

Better Multiple Experts Algorithms

• Would like to bound

• Better Bound: Hedge AlgorithmUtilizes all experts for each observation

Ti

i

TA LL min

Multiple Experts Algorithm: Hedge

• Maintain weight vector at time t: wt

• Probabilities pt(k) = wt(k) / wt(j)• Initialization w1(i) = 1/N• Updates: wt+1(k) = wt(k) Ub(lt(k)) where b in [0,1] and br < Ub (r) < 1-(1-b)r

Hedge Analysis

• Lemma: For any sequence of losses

• Proof (Mansour’s scribe)• Corollary:

H

N

j

T Lbjw )1())(ln(1

1

b

jw

H

N

j

T

L

1

))(ln(1

1

Hedge: Properties

• Bounding the weights

• Similarly for a subset of experts.

Ti

T

t

t

Lil

T

t

tb

T

biwbiw

ilUiwiw

)()(

))(()()(

1)(

1

1

11

1

Hedge: Performance

• Let k be with minimal loss

• Therefore

TkLT

N

j

T bkwkwjw )()()( 11

1

1

bbLN

b

bN

H

Tk

TkL

L

1)/1ln()ln(

1

)1

ln(

Hedge: Optimizing b

• For b=1/2 we have

• Better selection of b:

)2ln(2)ln(2 TkH LNL

)ln(ln2min NNLLL iiH

Occam Razor

• Finding the shortest consistent hypothesis.

• Definition: ()-Occam algorithm– >0 and <1– Input: a sample S of size m– Output: hypothesis h– for every (x,b) in S: h(x)=b– size(h) < size(ct) m

• Efficiency.

Occam Razor Theorem

• A: (,)-Occam algorithm for C using H• D distribution over inputs X• ct in C the target function• Sample size:

• with probability 1- A(S)=h has error(h) <

)1(121

ln1

2

n

m

Occam Razor Theorem

• Use the bound for finite hypothesis class.• Effective hypothesis class size 2size(h)

• size(h) < n m

• Sample size:

1ln

12lnln

1 2 mn

mmn

Weak and Strong Learning

PAC Learning model (Strong Learning)

• There exists a distribution D over domain X

• Examples: <x, c(x)>– use c for target function (rather than ct)

• Goal: – With high probability (1-)– find h in H such that – error(h,c ) < – arbitrarily small, thus STRONG LEARNING

Weak Learning Model

• Goal: error(h,c) < ½ - (Slightly above chance)• The parameter is small

– constantIntuitively: A much easier task

• Question:– Assume C is weak learnable, – C is PAC (strong) learnable

Majority Algorithm

• Hypothesis: hM(x)= MAJ[ h1(x), ... , hT(x) ]

• size(hM) < T size(ht)

• Using Occam Razor

Majority: outline

• Sample m example• Start with a distribution 1/m per

example.

• Modify the distribution and get ht

• Hypothesis is the majority • Terminate when perfect classification

– of the sample

Majority: Algorithm

• Use the Hedge algorithm.• The “experts” will be associate with

points.• Loss would be a correct classification.

– lt(i)= 1 - | ht(xi) – c(xi) |

• Setting b= 1- • hM(x) = MAJORITY( hi(x))

• Q: How do we set T?

Majority: Analysis

• Consider the set of errors SS={i | hM(xi)c(xi) }

• For every i in S:Li / T < ½ (Proof!)

• From Hedge properties:

2/)())(ln( 2 TxD

MSi iL

MAJORITY: Correctness

• Error Probability:

• Number of Rounds:

• Terminate when error less than 1/m

Si ixD )(

2/2 Te

2

ln2

m

T

Bagging• Generate a random sample from training set by selecting

elements with replacement.

• Repeat this sampling procedure, getting a sequence of k “independent” training sets

• A corresponding sequence of classifiers C1,C2,…,Ck is constructed for each of these training sets, by using the same classification algorithm

• To classify an unknown sample X, let each classifier predict.

• The Bagged Classifier C* then combines the predictions of the individual classifiers to generate the final outcome. (sometimes combination is simple voting)

Taken from Lecture slides for Data Mining Concepts and Techniques by Jiawei Han and M Kamber

Boosting

• Also Ensemble Method. =>The final prediction is a combination of the prediction of several predictors.

• What is different?– Its iterative. – Boosting: Successive classifiers depends upon its

predecessors. Previous methods : Individual classifiers were “independent”

– Training Examples may have unequal weights.– Look at errors from previous classifier step to decide how

to focus on next iteration over data– Set weights to focus more on ‘hard’ examples. (the ones

on which we committed mistakes in the previous iterations)

Boosting

• W(x) is the distribution of weights over N training observations ∑ W(xi)=1

• Initially assign uniform weights W0(x) = 1/N for

all x, step k=0

• At each iteration k :– Find best weak classifier Ck(x) using weights Wk(x)

– With error rate εk and based on a loss function:

• weight αk the classifier Ck‘s weight in the final hypothesis

• For each xi , update weights based on εk to get Wk+1(xi )

• CFINAL(x) =sign [ ∑ αi Ci (x) ]

Boosting (Algorithm)

Boosting As Additive Model

• The final prediction in boosting f(x) can be expressed as an additive expansion of individual classifiers

• The process is iterative and can be expressed as follows.

• Typically we would try to minimize a loss function on the training examples

);()(1

m

M

mm xbxf

);()()( 1 mmmm xbxfxf

N

i

M

mmimi xbyL

Mmm 1 1},{

);(,min1


• Simple case: Squared-error loss

• Forward stage-wise modeling amounts to just fitting the residuals from previous iteration.

• Squared-error loss not robust for classification

2))((2

1))(,( xfyxfyL

2

21

1

));((

));()((

));()(,(

iim

iimi

iimi

xbr

xbxfy

xbxfyL


• AdaBoost for Classification: L(y, f (x)) = exp(-y ∙ f (x)) - the exponential loss function

N

iimiimi

G

N

iimimi

G

i

N

ii

f

xGyxfy

xGxfy

xfyL

m

m

11

,

11

,

1

))(exp())(exp(minarg

)])()([exp(minarg

))(,(minarg


First assume that β is constant, and minimize w.r.t. G:

ew

xGyIwee

wexGyIwee

ewew

xfywwherexGyw

xGyxfy

N

i

mi

N

iii

mi

G

N

i

mi

N

iii

mi

G

N

xGy

mi

N

xGy

mi

G

imim

i

N

iimi

mi

G

N

iimiimi

G

iiii

m

m

1

)(

1

)(

1

)(

1

)(

)(

)(

)(

)(

1)(

1

)(

,

11

,

)])(([)(minarg

)])(([)(minarg

minarg

))(exp(,))(exp(minarg

))(exp())(exp(minarg


)()(minarg

)])(([)(minarg

1

)(

1

)(

Heerree

ew

xGyIwee

mG

N

i

mi

N

iii

mi

G

errm : It is the training error on the weighted samples

The last equation tells us that in each iteration we must find a classifier that minimizes the training error on the weighted samples.


)1

log(2

1

1

01

0)(1

0)(

)()(

2

2

m

m

m

m

mm

m

m

m

err

err

eerr

err

errerre

eeerre

eeeerrH

eeeerrH

Now that we have found G, we minimize w.r.t. β:

Boosting (Recall)

• W(x) is the distribution of weights over the N training observations ∑ W(xi)=1

• Initially assign uniform weights W0(x) = 1/N for

all x, step k=0


– With error rate εk and based on a loss function:

• weight αk the classifier Ck‘s weight in the final hypothesis

• For each xi , update weights based on εk to get Wk+1(xi )


AdaBoost

• W(x) is the distribution of weights over the N training points ∑ W(xi)=1

• Initially assign uniform weights W0(x) = 1/N for all x.


– Compute εk the error rate as

εk= [ ∑ W(xi ) ∙ I(yi ≠ Ck(xi )) ] / [ ∑ W(xi )]

– weight αk the classifier Ck‘s weight in the final hypothesis Set αk = log ((1 – εk )/εk )

– For each xi , Wk+1(xi ) = Wk(xi ) ∙ exp[αk ∙ I(yi ≠ Ck(xi ))]


AdaBoost(Example)

Original Training set : Equal Weights to all training samples

Taken from “A Tutorial on Boosting” by Yoav Freund and Rob Schapire

AdaBoost (Example)

ROUND 1

AdaBoost (Example)

ROUND 2

AdaBoost (Example)

ROUND 3

AdaBoost (Example)

AdaBoost (Characteristics)• Why exponential loss function?

– Computational• Simple modular re-weighting• Derivative easy so determining optimal

parameters is relatively easy

– Statistical • In a two label case it determines one half

the log odds of P(Y=1|x) => We can use the sign as the classification rule

• Accuracy depends upon number of iterations ( How sensitive.. we will see soon).

Boosting performance

Decision stumps are very simple rules of thumb that test condition on a single attribute.

Decision stumps formed the individual classifiers whose predictions were combined to generate the final prediction.

The misclassification rate of the Boosting algorithm was plotted against the number of iterations performed.


Steep decrease in error


• Pondering over how many iterations would be sufficient….

• Observations– First few ( about 50) iterations increase

the accuracy substantially.. Seen by the steep decrease in misclassification rate.

– As iterations increase training error decreases ? and generalization error decreases ?

Can Boosting do well if?

• Limited training data?– Probably not ..

• Many missing values ?• Noise in the data ?• Individual classifiers not very

accurate ?– It cud if the individual classifiers have

considerable mutual disagreement.

Adaboost

• “Probably one of the three most influential ideas in machine learning in the last decade, along with Kernel methods and Variational approximations.”

• Original idea came from Valiant• Motivation: We want to improve the

performance of a weak learning algorithm

Adaboost• Algorithm:

Boosting Trees Outline

• Basics of boosting trees.• A numerical optimization problem• Control the model complexity,

generalization– Size of trees– Number of Iterations – Regularization

• Interpret the final model– Single variable– Correlation of variables

Boosting Trees : Basics

• Formally a tree is

• The parameters found by minimizing the empirical risk.

• Finding: j given R j : typically mean of yi in Rj

– Rj : Is tough but solutions exist.

JjjR 1},{

)(),(1

j

J

jj RxIxT

J

j Rxji

ji

yL1

),(minargˆ

Basics Continued …

• Approximate criterion for optimizing

• Boosted tree model is sum of such trees induced in a forward stage wise manner

• In case of binary classification and exponential loss functions this reduces to Ada Boost

)),(,(~

minarg~

1

i

N

ii xTyL

Numerical Optimization

• Loss Function is

• So the problem boils down to finding

• Which in optimization procedures are solved as

N

iii

ffxfyLfLf

1

^))(,(minarg)(minarg

Numerical Optimization Methods

• Steepest Descent

• Loss on Training Data converges to 0.

mmm

mmm

TNmxfxf

i

iiim

gff

gfL

gxf

xfyLg

imi

*

)*(minarg

,...,g,g])(

))(,([

1

1

2m1m)()( 1

},...,,{)}(),...,(),({ 2121 NNmmmm yyyxfxfxff

Generalization

• Gradient Boosting– We want the algorithm to generalize. – Gradient on the other hand is defined only

on the training data points.– So fit the tree T to the negative gradient

values by least squares.

• MART – Multiple additive regression trees

N

iiim xTg

1

2~

));((minarg

Algorithm

M

J

jjmmm

Rximi

j

f

End

RxIxfxfd

xfyL

c

b

x

m

jmim

^

1jm1

1jm

lm

mjmim

im

0

f :Output

For

)()()()

))(,(minarg

Rregion different t within coefficien of valueoptimal theFind )

J 1,2,...j ,R r to treeregression aFit )

function losson based r residuals pseudo Compute a)

:M to1mFor 2.

treenode terminalsingle to)(f Initialize.1

Tuning the Parameters

• The parameters that can be tuned are– The size of constituent trees J.– The number of boosting iterations M.– Shrinkage– Penalized Regression

Right-sized trees

• The optimal for one step might not be the optimal for the algorithm– Using very large tree (such as C4.5) as

weak learner to fit the residue assumes each tree is the last one in the expansion. Usually degrade performance and increase computation

• Solution : restrict the value of J to be the same for all trees.

Right sized trees.

• For trees the higher order interactions effects present in large trees suffer inaccuracies.

• J is the factor that helps control the higher order interactions. Thus we would like to keep J low.

• In practice the value of 4 J 8 is seen to have worked the best.

Controlling M (Regularization)

• After each iteration the training risk L(fM).

• As M , L(fM) 0• But this would risk over fitting the

training data.• To avoid this monitor prediction risk

on a validation sample.• Other methods in the Next Chapter.

Shrinkage

• Scale the contribution of each tree by a factor 0 < < 1 to control the learning rate.

and M control the prediction risk on training data.

• Are not independent of each other.

J

jjmjmmm RxIxff

1

^

1 )(*)(

Experts: Motivation

• Given a set of experts– No prior information– No consistent behavior– Goal: Predict as the best expert

• Model– online model– Input: historical results.

Expert: Goal

• Match the loss of best expert.• Loss:

– LA

– Li

• Can we hope to do better?

Example: Guessing letters

• Setting:– Alphabet of k letters

• Loss:– 1 incorrect guess– 0 correct guess

• Experts:– Each expert guesses a certain letter always.

• Game: guess the most popular letter online.

Example 2: Rock-Paper-Scissors

• Two player game.• Each player chooses: Rock, Paper, or Scissors.• Loss Matrix:

• Goal: Play as best as we can given the opponent.

Rock Paper Scissors

Rock 1/2 1 0

Paper 0 1/2 1

Scissors

1 0 1/2

Example 3: Placing a point

• Action: choosing a point d.• Loss (give the true location y): ||d-y||.• Experts: One for each point.• Important: Loss is Convex

• Goal: Find a “center”

||||)1(||||))1(( 2121 ydydydd

Adaboost

• Line 1: Given input space X and training examples x1,…xm and label space Y = {-1,1}

• Line 2: Initialize a distribution D to 1/m where m is the number of instances in the input space.

• Line 3: for( int t=0;t<T;t++)• Line 4: Train weak learning algorithm using Dt

• Line 5: Get a weak hypothesis ht which maps the input space to the label space. The error of this hypothesis is εt

• Line 6: αt = (1/2)ln((1- εt)/ εt)• Line 7: Dt(instancei)=(1/ Zt)(Dt(instancei)x{e- αt }if the

hypothesis correctly matched the instance to the label• x{eαt } otherwise

Adaboost

• Final hypothesis: H(x) = sign(sum(αt ht (x)))• Main ideas:

– Adaboost forces the weak learner to focus on incorrectly classified instances

– Training error decreases exponentially– Does boosting overfit?

• Baum showed Generalization error = O(sqrt(Td/m))• Schapire showed error = O(sqrt(d/mθ))• Does Generalization error depend on T or not? The jury

is still out.– No overfit mechanism

AdaBoost: Dynamic Boosting

• Better bounds on the error• No need to “know” • Each round a different b

– as a function of the error

AdaBoost: Input

• Sample of size m: < xi,c(xi) >

• A distribution D over examples – We will use D(xi)=1/m

• Weak learning algorithm• A constant T (number of iterations)

AdaBoost: Algorithm

• Initialization: w1(i) = D(xi)• For t = 1 to T DO

– pt(i) = wt(i) / wt(j)– Call Weak Learner with pt

– Receive ht

– Compute the error t of ht on pt

– Set bt= t/(1-t)– wt+1(i) = wt(i) (bt)e, where e=1-|ht(xi)-c(xi)|

• Output

T

t t

T

ttt

A bxhbIxh1

1

1log21)()1(log)(

AdaBoost: Analysis

• Theorem: – Given 1, ... , T

– the error of hA is bounded by

T

ttt

T

1

)1(2

AdaBoost: Proof

• Let lt(i) = 1-|ht(xi)-c(xi)|

• By definition: pt lt = 1 –t

• Upper bounding the sum of weights– From the Hedge Analysis.

• Error occurs only if

T

t t

T

ttt bxcxhb

11

1log21 |)()(|)1(log

AdaBoost Analysis (cont.)

• Bounding the weight of a point• Bounding the sum of weights

• Final bound as function of bt

• Optimizing bt:

– bt= t / (1 – t)

AdaBoost: Fixed bias

• Assume t= 1/2 - • We bound:

TT e222/2 )41(

Learning OR with few attributes

• Target function: OR of k literals• Goal: learn in time:

– polynomial in k and log n– and constant

• ELIM makes “slow” progress – disqualifies one literal per round– May remain with O(n) literals

Set Cover - Definition

• Input: S1 , … , St and Si U

• Output: Si1, … , Sik and j Sjk=U

• Question: Are there k sets that cover U?

• NP-complete

Set Cover Greedy algorithm

• j=0 ; Uj=U; C=

• While Uj – Let Si be arg max |Si Uj|

– Add Si to C

– Let Uj+1 = Uj – Si

– j = j+1

Set Cover: Greedy Analysis

• At termination, C is a cover.• Assume there is a cover C’ of size k.

• C’ is a cover for every Uj

• Some S in C’ covers Uj/k elements of Uj

• Analysis of Uj: |Uj+1| |Uj| - |Uj|/k

• Solving the recursion.• Number of sets j < k ln |U|

Building an Occam algorithm

• Given a sample S of size m– Run ELIM on S – Let LIT be the set of literals– There exists k literals in LIT that

classify correctly all S

• Negative examples: – any subset of LIT classifies theme

correctly

Building an Occam algorithm

• Positive examples: – Search for a small subset of LIT – Which classifies S+ correctly– For a literal z build Tz={x | z satisfies x}– There are k sets that cover S+

– Find k ln m sets that cover S+

• Output h = the OR of the k ln m literals • Size (h) < k ln m log 2n• Sample size m =O( k log n log (k log n))

Application : Data mining

• Challenges in real world data mining problems– Data has large number of observations and large number of

variables on each observation.– Inputs are a mixture of various different kinds of variables– Missing values, outliers and variables with skewed

distribution.– Results to be obtained fast and they should be

interpretable.

• So off-shelf techniques are difficult to come up with.• Boosting Decision Trees ( AdaBoost or MART) come

close to an off-shelf technique for Data Mining.

Boosting TreesPresented by Rishi Sinha

Occam Razor

Occam algorithm and compression

A BS(xi,bi)

x1, … , xm

compression

• Option 1:

– A sends B the values b1 , … , bm

– m bits of information• Option 2:

– A sends B the hypothesis h– Occam: large enough m has size(h) < m

• Option 3 (MDL):– A sends B a hypothesis h and “corrections”– complexity: size(h) + size(errors)

Independent Component Analysis (ICA)

• This is the first ICA paper– My source for this explanation of ICA

is “Independent Component Analysis: A Tutorial” by Aapo Hyvarinen and “Variational Methods forBayesian Independent Component Analysis” ICA chapter by Rizwan A. Choudrey

Boosting and other Expert Fusion Strategies. References Chapter 9.5 Duda Hart & Stock Leo Breiman...

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