Supervised Learning002

• Generalized Linear Models

In the regression problem, we had y|x;θ ~ N(μ, σ²), and in the classification one, y|x;θ ~ Bernoulli(Φ), for some appropriate definitions of μ and Φ as functions of x and θ. In this section we will show that both of these methods are special cases of a broader family of models, called Generalized Linear Models(GLMs). We will also show how other models in GLM family can be derived and applied to other classification and regerssion problems.

• The exponential family

p(y; η) = b(y)exp(η^TT(y) - a(η))

Here, η is called the natural parameter(also called the canonical parameter) of the distribution; T(y) is suffcient statistic (for the distributions we consider, it willl often be the case that T(y) = y); and a(η) is the log partition function. The quantity e^-a(η) essentially plays the role of a normalization constant, that makes sure the distribution p(y; η) sums/integrates over y to 1.

The Bernoulli and Gaussian distributions are examples of exponential family distributions.

• The Bernoulli distribution with mean Φ, written Bernoulli(Φ), specifies a distribution over y ∈ { 0, 1}, so that

 

 

• Gaussian distribution. Recall that, when deriving linear regerssion, the value of σ² had no effect on our final choice of θ and h_θ(x). Thus we can choose an arbitrary value for σ² without changing anything. To simplify the derivation below, let's set σ² = 1. We then have:

• Constructing GLMs(Generalized Linear Models)

Consider a classification or regression problem where we would like to predict the value of some random variable y as a function of x. To derive a  GLM for this problem, we will make the following three assumptions about the conditional distribution of y given x and about our model:

1. y|x;θ ~ ExponentialFamily(η). I.e., given x and θ, the distribution of y follows some exponential family distribution, with parameter η.
2. Given x, our goal is to predict the expected value of T(y) given x. In most of our examples, we will have T(y) = y, so this means we would like the prediction h(x) output by our learned hypothesis h to satisfy h(x) = E[y|x]
3. The natural parameter η and the inputs x are related linearly: η = θ^Tx.

The third of these assumptions might seem the least well justified of the above, and it might be better thought of as a "design choice" in our recipe for designing GLMs, rather than as an assumption per se.