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RobinB27
151 lines
7.5 KiB
TeX
151 lines
7.5 KiB
TeX
A different approach: Try to learn $\P^*$ directly.\\
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\subtext{$\P^*$ is the data-generating distribution}
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Some terminology:
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\begin{tabular}{ll}
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$\mathcal{D} = \bigl\{ (x_i,y_i) \bigr\}_{i=1}^n$ & Dataset, sampled i.i.d. from $\P^*$ \\
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$\P^*$ & Data-generating distribution \\
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$\mathcal{P}$ & Family of potential distributions \\
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$\hat{\P} \in \mathcal{P}$ & Optimal model of $\P^*$
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\end{tabular}
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Some advantages \& applications:
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\begin{enumerate}
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\item Allows assumptions about data-generating process\\
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\subtext{e.g. what is the likelihood of sampling $\mathcal{D}$}?
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\item Understand why some methods work\\
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\subtext{e.g. on which distributions does the square loss work?}
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\item Encode prior knowledge into the model
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\item Quantify uncertainty of predictions
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\item Develop new decision rules
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\item Generate entirely new samples
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\end{enumerate}
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\subsection{Assumptions}
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\textbf{Assumption 1}: We assume $\mathcal{D}$ is i.i.d. sampled from $\P^*_{X,Y}$. Thus:
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$$
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\P_\mathcal{D} = \prod_{i=1}^n \P_{X_i,Y_i} \qquad \text{(Independence)}
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$$
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\remark i.i.d. is a strong assumption: often false in practice.\\
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\subtext{e.g. sampling with temporal/spatial dependencies, bias, etc.}
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\method \textbf{General-purpose Estimators}\\
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Methods that make no further assumptions, e.g. Histograms or Kernel Density Estimation (KDE).\\
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\subtext{Generally require large $\mathcal{D}$ to be accurate, thus discouraged}
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\newpage
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\textbf{Assumption 2}: $\P^* \in \mathcal{P}$ (some family of param. models $\mathcal{P}$)
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\definition \textbf{Parametric family of distributions}\\
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\smalltext{$\theta \in \Theta \subset \R^p$ fully describes the distribution $\P^\theta$}
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$$
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\mathcal{P} = \Bigl\{ \P^\theta \ \Big|\ \theta \in \Theta \Bigr\}
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$$
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The art here, is to choose $\mathcal{P}$ s.t. $\P^* \in \mathcal{P}$ is likely. Then:
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$$
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\exists \theta^* \in \Theta:\quad \P^* = \P^{\theta^*} \in \mathcal{P}
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$$
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\subtext{$\theta \mapsto \P^\theta$ is assumed to be continuous. The advantage of this is that, if $\theta$ is close to $\theta^*$, then $\P^\theta$ is close to $\P^{\theta^*}=\P^*$.}
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\subsection{Statistical Inference}
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\textbf{Problem}: How to choose $\hat{\P}$ from $\mathcal{P}$, s.t. $\hat{\P}$ is close to $\P^*$?\\
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\subtext{If $\mathcal{P}$ is parametric, this is the same as looking for $\hat{\theta} \in \Theta$ close to $\theta^*$}
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{\footnotesize
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\notation if $Z$ has $\P_Z \in \mathcal{P} = \{ \P^\theta_Z \sep \theta \in \Theta \}$
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\begin{align*}
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p(z;\theta) &= p_Z^\theta(z)
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\end{align*}
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\notation In the Bayesian context, where $\theta^*$ is sampled from $\P_\theta$:
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\begin{align*}
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p(\theta) &= p_{\theta^*}(\theta) \\
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p(z \sep \theta) &= p_{Z|\theta^*=\theta}(z) \\
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p(\theta \sep z) &= p_{\theta^*|Z=z}
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\end{align*}
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Where $p$ is either a density or mass function.
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}
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There are 2 paradigms:
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\begin{enumerate}
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\item \textbf{Frequentist}: Model only using observed data
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\item \textbf{Bayesian}: Model also using prior beliefs
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\end{enumerate}
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\subsubsection{Bayesian Paradigm}
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\textbf{Further Assumption}: $\theta^*$ is sampled from a distribution $\P_{\theta^*}$\\
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\subtext{Note how $\P_{\theta^*} \neq \P^{\theta^*}$.}
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\theorem \textbf{Bayes' Theorem} (Applied to Inference)
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$$
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\underbrace{p(\theta \sep \mathcal{D})}_\text{Posterior Belief} = \underbrace{\frac{p(\mathcal{D}\sep\theta)}{p(\mathcal{D})}}_\text{Update} \cdot \underbrace{p(\theta)}_\text{Prior Belief}
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$$
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$$
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p(\mathcal{D}) = \int p(\mathcal{D}\sep\theta) \cdot p(\theta)\ \text{d}\theta
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$$
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\subsubsection{Maximum Likelihood Estimator (MLE)}
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Frequentist Approach: $\theta^*$ is considered fixed a priori.
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\method \textbf{Maximum Likelihood Estimator}\\
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Finds $\hat{\theta}_\text{MLE}$, which maximizes chance of observing $\mathcal{D}$ over the possible distributions $\mathcal{P} = \bigl\{ \P^\theta_{X,Y} \sep \theta \in \Theta \bigr\}$.
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\definition \textbf{Maximum Likelihood Estimator}\\
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\smalltext{Corresponding to $\hat{\P}_{X,Y}=\P^{\hat{\theta}_\text{MLE}}_{X,Y}$}
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$$
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\hat{\theta}_\text{MLE} = \underset{\theta\in\Theta}{\text{arg max}}\ p(\mathcal{D};\theta) \overset{\text{i.i.d.}}{=} \underset{\theta\in\Theta}{\text{arg max}}\prod_{i=1}^n p\bigl( x_i,y_i;\theta \bigr)
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$$
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{\footnotesize
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\remark Since $\log$ is strictly mon. increasing, the maximizer of the log-likelihood also maximizes the likelihood.
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}
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Applying several transformations:
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{\footnotesize
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\begin{align*}
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\hat{\theta}_\text{MLE} &= \underset{\theta\in\Theta}{\text{arg max}}\prod_{i=1}^n p\bigl( x_i,y_i;\theta \bigr) \\
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&= \underset{\theta\in\Theta}{\text{arg max}}\ \log \Biggl( \prod_{i=1}^n p\bigl( x_i,y_i;\theta \bigr) \Biggr) \\
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&= \underset{\theta\in\Theta}{\text{arg max}}\ \sum_{i=1}^n \log \Bigl( p\bigl( x_i,y_i;\theta \bigr) \Bigr) \\
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&= \underset{\theta\in\Theta}{\text{arg min}}\ \sum_{i=1}^n -\log \Bigl( p\bigl( x_i,y_i;\theta \bigr) \Bigr) \\
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&= \underset{\theta\in\Theta}{\text{arg min}}\ \sum_{i=1}^n -\log \Bigl( p\bigl( y_i \sep x_i ; \theta \bigr)\cdot p(x_i) \Bigr) \\
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&= \underset{\theta\in\Theta}{\text{arg min}}\ \sum_{i=1}^n -\log \Bigl( p\bigl( y_i \sep x_i ; \theta \bigr) \Bigr) + \underbrace{\sum_{i=1}^n - \log\bigl(p(x_i)\bigr)}_\text{Indep. from $\theta$} \\
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&= \underset{\theta\in\Theta}{\text{arg min}}\ \sum_{i=1}^n -\log \Bigl( p\bigl( y_i \sep x_i ; \theta \bigr) \Bigr)
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\end{align*}
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}
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This has turned into an optimization problem. 2 approaches:
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\begin{enumerate}
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\item Analytically: insert $p\bigl( x_i,y_i ; \theta \bigr)$ or $p\bigl( y_i \sep x_i ; \theta \bigr)$.\\
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\subtext{There are closed-form expressions in this statistical model.}
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\item Numerically: Gradient Descent
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\end{enumerate}
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\remark MLE is useful: It can be shown to converge to $\theta^*$.
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\newpage
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\subsubsection{Maximum A Poseriori Estimator (MAP)}
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Bayesian Approach: $\theta^*$ is considered a random variable.
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\method \textbf{Maximum A Posteriori Estimator}\\
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Finds $\hat{\theta}_\text{MAP}$, which maximizes post. belief $p(\theta\sep\mathcal{D})$, i.e. it finds the $\theta \in \Theta$ with the highest density \textit{after} obataining $\mathcal{D}$.
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\definition \textbf{Maximum A Posteriori Estimator}\\
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\smalltext{Corresponding to $\hat{\P}_{X,Y} = \P^{\hat{\theta}_\text{MAP}}_{X,Y}$}
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\begin{align*}
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\hat{\theta}_\text{MAP} &= \underset{\theta \in \Theta}{\text{arg max}}\ p\bigl( \theta\sep\mathcal{D} \bigr) \\
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&= \underset{\theta \in \Theta}{\text{arg max}}\ p\bigl( \mathcal{D}\sep\theta \bigr)\cdot p(\theta) \\
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&\overset{\text{i.i.d.}}{=} \underset{\theta \in \Theta}{\text{arg max}}\Biggl( \prod_{i=1}^n p\bigl( x_i,y_i \sep \theta \bigr) \Biggr)\cdot p(\theta) \\
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\end{align*}
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{\footnotesize
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\remark Intuitively, we can use $p(\theta)$ as a weight for $\theta$, which can be used to introduce prior assumptions.
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}
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