What is "prediction problem"?

In a context of machine learning, numerous tasks can be seen as prediction problem. For example, this user guide provides solutions for:

For any kinds of prediction problems, we generally provide a set of input-output pairs as:

  • Input: Set of features
    • e.g., ["1:0.001","4:0.23","35:0.0035",...]
  • Output: Target value
    • e.g., 1, 0, 0.54, 42.195, ...

Once a prediction model has been constructed based on the samples, the model can make prediction for unforeseen inputs.

In order to train prediction models, an algorithm so-called stochastic gradient descent (SGD) is normally applied. You can learn more about this from the following external resources:

Importantly, depending on types of output value, prediction problem can be categorized into regression and classification problem.

Regression

The goal of regression is to predict real values as shown below:

features (input) target real value (output)
["1:0.001","4:0.23","35:0.0035",...] 21.3
["1:0.2","3:0.1","13:0.005",...] 6.2
["5:1.3","22:0.0.089","77:0.0001",...] 17.1
... ...

In practice, target values could be any of small/large float/int negative/positive values. Our CTR prediction tutorial solves regression problem with small floating point target values in a 0-1 range, for example.

While there are several ways to realize regression by using Hivemall, train_regressor() is one of the most flexible functions. This feature is explained in this page.

Classification

In contrast to regression, output for classification problems should be (integer) labels:

features (input) label (output)
["1:0.001","4:0.23","35:0.0035",...] 0
["1:0.2","3:0.1","13:0.005",...] 1
["5:1.3","22:0.0.089","77:0.0001",...] 1
... ...

In case the number of possible labels is 2 (0/1 or -1/1), the problem is binary classification, and Hivemall's train_classifier() function enables you to build binary classifiers. Binary Classification demonstrates how to use the function.

Another type of classification problems is multi-class classification. This task assumes that the number of possible labels is more than 2. We need to use different functions for the multi-class problems, and our news20 and iris tutorials would be helpful.

Mathematical formulation of generic prediction model

Here, we briefly explain about how prediction model is constructed.

First and foremost, we represent input and output for prediction models as follows:

  • Input: a vector x\mathbf{x}
  • Output: a value yy

For a set of samples (x1,y1),(x2,y2),,(xn,yn)(\mathbf{x}_1, y_1), (\mathbf{x}_2, y_2), \cdots, (\mathbf{x}_n, y_n), the goal of prediction algorithms is to find a weight vector (i.e., parameters) w\mathbf{w} by minimizing the following error:

E(w):=1ni=1nL(w;xi,yi)+λR(w) E(\mathbf{w}) := \frac{1}{n} \sum_{i=1}^{n} L(\mathbf{w}; \mathbf{x}_i, y_i) + \lambda R(\mathbf{w})

In the above formulation, there are two auxiliary functions we have to know:

  • L(w;xi,yi)L(\mathbf{w}; \mathbf{x}_i, y_i)
    • Loss function for a single sample (xi,yi)(\mathbf{x}_i, y_i) and given w\mathbf{w}.
    • If this function produces small values, it means the parameter w\mathbf{w} is successfully learnt.
  • R(w)R(\mathbf{w})
    • Regularization function for the current parameter w\mathbf{w}.
    • It prevents failing to a negative condition so-called over-fitting.

(λ\lambda is a small value which controls the effect of regularization function.)

Eventually, minimizing the function E(w)E(\mathbf{w}) can be implemented by the SGD technique as described before, and w\mathbf{w} itself is used as a "model" for future prediction.

Interestingly, depending on a choice of loss and regularization function, prediction model you obtained will behave differently; even if one combination could work as a classifier, another choice might be appropriate for regression.

Below we list possible options for train_regressor and train_classifier, and this is the reason why these two functions are the most flexible in Hivemall:

  • Loss function: -loss, -loss_function

    • For train_regressor
      • SquaredLoss (synonym: squared)
      • QuantileLoss (synonym: quantile)
      • EpsilonInsensitiveLoss (synonym: epsilon_insensitive)
      • SquaredEpsilonInsensitiveLoss (synonym: squared_epsilon_insensitive)
      • HuberLoss (synonym: huber)
    • For train_classifier
      • HingeLoss (synonym: hinge)
      • LogLoss (synonym: log, logistic)
      • SquaredHingeLoss (synonym: squared_hinge)
      • ModifiedHuberLoss (synonym: modified_huber)
      • The following losses are mainly designed for regression but can sometimes be useful in classification as well:
        • SquaredLoss (synonym: squared)
        • QuantileLoss (synonym: quantile)
        • EpsilonInsensitiveLoss (synonym: epsilon_insensitive)
        • SquaredEpsilonInsensitiveLoss (synonym: squared_epsilon_insensitive)
        • HuberLoss (synonym: huber)
  • Regularization function: -reg, -regularization

    • L1
    • L2
    • ElasticNet
    • RDA

Additionally, there are several variants of the SGD technique, and it is also configurable as:

  • Optimizer: -opt, -optimizer
    • SGD
    • AdaGrad
    • AdaDelta
    • Adam

Note

Option values are case insensitive and you can use sgd or rda, or huberloss in lower-case letters.

Furthermore, optimizer offers to set auxiliary options such as:

  • Number of iterations: -iter, -iterations [default: 10]
    • Repeat optimizer's learning procedure more than once to diligently find better result.
  • Convergence rate: -cv_rate, -convergence_rate [default: 0.005]
    • Define a stopping criterion for the iterative training.
    • If the criterion is too small or too large, you may encounter over-fitting or under-fitting depending on value of -iter option.
  • Mini-batch size: -mini_batch, -mini_batch_size [default: 1]
    • Instead of learning samples one-by-one, this option enables optimizer to utilize multiple samples at once to minimize the error function.
    • Appropriate mini-batch size leads efficient training and effective prediction model.

For details of available options, following queries might be helpful to list all of them:

select train_regressor(array(), 0, '-help');
select train_classifier(array(), 0, '-help');

In practice, you can try different combinations of the options in order to achieve higher prediction accuracy.

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