stat841

Classfication-2009.9.30

Classification

In classification we attempt to approximate a function [math]\displaystyle{ h }[/math], by using a training data set, that will then be able to accurately classify new data inputs.

Given,
[math]\displaystyle{ \mathcal{X} \subset \mathbb{R}^{d} }[/math], a subset of the D-dimensional real vectors and
[math]\displaystyle{ \mathcal{Y} }[/math], a finite set of labels

We try to determine a 'classification rule' [math]\displaystyle{ h }[/math] such that,

[math]\displaystyle{ \,h: \mathcal{X} \mapsto \mathcal{Y} }[/math]

We use n ordered pairs of training data to approximate [math]\displaystyle{ h }[/math],
[math]\displaystyle{ \,\{(X_{1},Y_{1}), (X_{2},Y_{2}), \dots , (X_{n},Y_{n})\} }[/math], [math]\displaystyle{ \,X_{i} \in \mathcal{X} }[/math],[math]\displaystyle{ \,Y_{i} \in \mathcal{Y} }[/math].

Thus, given a new input,
[math]\displaystyle{ \,X \in \mathcal{X} }[/math]
by using the classification rule we can predict a corresponding [math]\displaystyle{ \,\hat{Y}=h(X) }[/math]

Example Suppose we wish to classify fruit into apples and oranges by considering certain features of the fruit. Let [math]\displaystyle{ \mathcal{X}_{i} }[/math]= (colour, diameter, weight) for fruit i and [math]\displaystyle{ \mathcal{Y} }[/math]={apple, orange}. The goal is to find a classification rule such that when a new fruit [math]\displaystyle{ \mathcal{X} }[/math] is presented, it can be classified as either an apple or an orange.

Error rate

'True error rate' of a classifier(h) is defined as the probability that [math]\displaystyle{ \hat{Y} }[/math] predicted from [math]\displaystyle{ \,X }[/math] by classifier [math]\displaystyle{ \,h }[/math] does not actually equal to [math]\displaystyle{ \,Y }[/math], namely, [math]\displaystyle{ \, L(h)=P(h(X) \neq Y) }[/math].

'Empirical error rate(training error rate)' of a classifier(h) is defined as the frequency that [math]\displaystyle{ \hat{Y} }[/math] predicted from [math]\displaystyle{ \,X }[/math] by [math]\displaystyle{ \,h }[/math] does not equal [math]\displaystyle{ \,Y }[/math] in n predictions. The mathematical expression is:

[math]\displaystyle{ \, L_{h}= \frac{1}{n} \sum_{i=1}^{n} I(h(X_{i}) \neq Y_{i}) }[/math], where [math]\displaystyle{ \,I }[/math] is an indicator that [math]\displaystyle{ \, I= \left\{\begin{matrix} 1 & h(X_i) \neq Y_i \\ 0 & h(X_i)=Y_i \end{matrix}\right. }[/math].

Bayes Classifier

The principle of Bayes Classifier is to calculate posteriori probability of given object from its priors probability via Bayes formula, and then choose the class with biggest posteriori probability as the one what the object affiliated with.
Mathematically, for k classes and given object [math]\displaystyle{ \,X=x }[/math], we are going to find out [math]\displaystyle{ \,y_{i} }[/math] that [math]\displaystyle{ \,P(Y=y_{i}|X=x)=max{P(Y=y|X=x), for all y \in \mathcal{Y}} }[/math], and classify [math]\displaystyle{ \,X }[/math] into class [math]\displaystyle{ \,y_{i} }[/math]. In order to calculate the value of [math]\displaystyle{ \,P(Y=y_{i}|X=x) }[/math], we use the Bayes formula:
[math]\displaystyle{ \,P(Y=y|X=x)=\frac{P(X=x|Y=y)P(Y=y)}{P(X=x)} }[/math]
[math]\displaystyle{ \,P(Y=y|X=x) }[/math] is referred to as the posteriori probability, [math]\displaystyle{ \,P(Y=y) }[/math] as the priors probability, [math]\displaystyle{ \,P(X=x|Y=y) }[/math] as the likelihood, and [math]\displaystyle{ \,P(X=x) }[/math] as the evidence.

Consider the special case that [math]\displaystyle{ \,Y }[/math] has only two possible values, that is, [math]\displaystyle{ \, \mathcal{Y}=\{0, 1\} }[/math]. Consider the probability that [math]\displaystyle{ \,r(X)=P\{Y=1|X=x\} }[/math]. Given [math]\displaystyle{ \,x }[/math], if [math]\displaystyle{ \,P(Y=1|X=x)\gt P(Y=0|X=x) }[/math], then [math]\displaystyle{ \,Y }[/math] is more likely to be 1 when [math]\displaystyle{ \,X=x }[/math]. But since [math]\displaystyle{ \, 0, 1 \in \mathcal{Y} }[/math] are labels, it is meaningless to measure the conditional probability of [math]\displaystyle{ \,Y }[/math]. Thus, by Bayes formula, we have

[math]\displaystyle{ \,r(X)=P(Y=1|X=x)=\frac{P(X=x|Y=1)P(Y=1)}{P(X=x)}=\frac{P(X=x|Y=1)P(Y=1)}{P(X=x|Y=1)P(Y=1)+P(X=x|Y=0)P(Y=0)} }[/math]

Definition:

The Bayes classification rule [math]\displaystyle{ \,h }[/math] is:

[math]\displaystyle{ \, h(X)= \left\{\begin{matrix} 1 & r(x)\gt \frac{1}{2} \\ 0 & otherwise \end{matrix}\right. }[/math]

The set [math]\displaystyle{ \,D(h)=\{x: P(Y=1|X=x)=P(Y=0|X=x)\} }[/math] is called the decision boundary.

'Important Theorem': The Bayes rule is optimal in true error rate, that is for any other classification rule [math]\displaystyle{ \, \overline{h} }[/math], we have [math]\displaystyle{ \,L(\overline{h}) \le L(h) }[/math].

Notice: Although the Bayes rule is optimal, we still need other methods, and the reason for the fact is that in the Bayes equation discussed before, it is generally impossible for us to know the [math]\displaystyle{ \,P(Y=1) }[/math], and [math]\displaystyle{ \,P(X=x|Y=1) }[/math] and ultimately calculate the value of [math]\displaystyle{ \,r(X) }[/math], which makes Bayes rule inconvenient in practice.

Currently, there are four primary classifier based on Bayes Classifier: Naive Bayes classifier[1], TAN, BAN and GBN.
useful link:Decision Theory, Bayes Classifier

Bayes VS Frequentist

During the history of statistics, there are two major classification methods : Bayes and frequentist. The two methods represent two different ways of thoughts and hold different view to define probability. The followings are the main differences between Bayes and Frequentist.

Frequentist

1. Probability is objective.
2. Data is a repeatable random sample(there is a frequency).
3. Parameters are fixed and unknown constant.
4. Not applicable to single event. For example, a frequentist cannot predict the weather of tomorrow because tomorrow is only one unique event, and cannot be referred to a frequency in a lot of samples.

Bayes

1. Probability is subjective.
2. Data are fixed.
3. Parameters are unknown and random variables that have a given distribution and other probability statements can be made about them.
4. Can be applied to single events based on degree of confidence or beliefs. For example, Bayesian can predict tomorrow's weather, such as having the probability of [math]\displaystyle{ \,50% }[/math] of rain.

Example

Suppose there is a man named Jack. In bayes method, at first, one can see this man (object), and then judge whether his name is Jack (label). On the other hand, in Frequentist method, one doesn’t see the man (object), but can see the photos (label) of this man to judge whether he is Jack.

Linear and Quadratic Discriminant Analysis - October 2,2009

LDA

To perform LDA we make two assumptions. 1. The clusters belonging to all classes each follow a multivariate normal distribution. [math]\displaystyle{ x \in \mathbb{R}^d }[/math] [math]\displaystyle{ f_k(x)=\frac{1}{ (2\pi)^{d/2}|\Sigma_k|^{1/2} }\exp\left( -\frac{1}{2} [x - \mu_k]^\top \Sigma_k^{-1} [x - \mu_k] \right) }[/math]

2. Each cluster has the same variance [math]\displaystyle{ \,\Sigma }[/math] equal to the mean variance of [math]\displaystyle{ \Sigma_k \forall k }[/math].

We wish to solve for the boundary where the error rates for classifying a point are equal, where one side of the boundary gives a lower error rate for one class and the other side gives a lower error rate for the other class.

So we solve [math]\displaystyle{ \,r_k(x)=r_l(x) }[/math] for all the pairwise combinations of classes.

[math]\displaystyle{ \,\Rightarrow Pr(Y=k|X=x)=Pr(Y=l|X=x) }[/math]

[math]\displaystyle{ \,\Rightarrow \frac{Pr(X=x|Y=k)Pr(Y=k)}{Pr(X=x)}=\frac{Pr(X=x|Y=l)Pr(Y=l)}{Pr(X=x)} }[/math] using Bayes' Theorem

[math]\displaystyle{ \,\Rightarrow Pr(X=x|Y=k)Pr(Y=k)=Pr(X=x|Y=l)Pr(Y=l) }[/math] by canceling denominators

[math]\displaystyle{ \,\Rightarrow f_k(x)\pi_k=f_l(x)\pi_l }[/math]

[math]\displaystyle{ \,\Rightarrow \frac{1}{ (2\pi)^{d/2}|\Sigma|^{1/2} }\exp\left( -\frac{1}{2} [x - \mu_k]^\top \Sigma^{-1} [x - \mu_k] \right)\pi_k=\frac{1}{ (2\pi)^{d/2}|\Sigma|^{1/2} }\exp\left( -\frac{1}{2} [x - \mu_l]^\top \Sigma^{-1} [x - \mu_l] \right)\pi_l }[/math]

[math]\displaystyle{ \,\Rightarrow \exp\left( -\frac{1}{2} [x - \mu_k]^\top \Sigma^{-1} [x - \mu_k] \right)\pi_k=\exp\left( -\frac{1}{2} [x - \mu_l]^\top \Sigma^{-1} [x - \mu_l] \right)\pi_l }[/math] Since both [math]\displaystyle{ \Sigma }[/math] are equal based on the assumptions specific to LDA.

[math]\displaystyle{ \,\Rightarrow -\frac{1}{2} [x - \mu_k]^\top \Sigma^{-1} [x - \mu_k] + \log(\pi_k)=-\frac{1}{2} [x - \mu_l]^\top \Sigma^{-1} [x - \mu_l] +\log(\pi_l) }[/math] taking the log of both sides.

[math]\displaystyle{ \,\Rightarrow \log(\frac{\pi_k}{\pi_l})-\frac{1}{2}\left( x^\top\Sigma^{-1}x + \mu_k^\top\Sigma^{-1}\mu_k - 2x^\top\Sigma^{-1}\mu_k - x^\top\Sigma^{-1}x - \mu_l^\top\Sigma^{-1}\mu_l + 2x^\top\Sigma^{-1}\mu_l \right)=0 }[/math] by expanding out

[math]\displaystyle{ \,\Rightarrow \log(\frac{\pi_k}{\pi_l})-\frac{1}{2}\left( \mu_k^\top\Sigma^{-1}\mu_k-\mu_l^\top\Sigma^{-1}\mu_l - 2x^\top\Sigma^{-1}(\mu_k-\mu_l) \right)=0 }[/math] after canceling out like terms and factoring.

File:lda.jpg

We can see that this is a linear function in x with general form ax+b=0, ie., the decision boundary is linear in x.

In the special case where the number of samples from each class are equal ([math]\displaystyle{ \,\pi_k=\pi_l }[/math]), the boundary surface or line lies halfway between [math]\displaystyle{ \,\mu_l }[/math] and [math]\displaystyle{ \,\mu_k }[/math]

QDA

The concept is the same idea of finding a boundary where the error rate for classification between classes are equal, except the assumption that each cluster has the same variance is removed.

Following along from where QDA diverges from LDA.

[math]\displaystyle{ \,f_k(x)\pi_k=f_l(x)\pi_l }[/math]

[math]\displaystyle{ \,\Rightarrow \frac{1}{ (2\pi)^{d/2}|\Sigma_k|^{1/2} }\exp\left( -\frac{1}{2} [x - \mu_k]^\top \Sigma_k^{-1} [x - \mu_k] \right)\pi_k=\frac{1}{ (2\pi)^{d/2}|\Sigma_l|^{1/2} }\exp\left( -\frac{1}{2} [x - \mu_l]^\top \Sigma_l^{-1} [x - \mu_l] \right)\pi_l }[/math]

[math]\displaystyle{ \,\Rightarrow \frac{1}{|\Sigma_k|^{1/2} }\exp\left( -\frac{1}{2} [x - \mu_k]^\top \Sigma_k^{-1} [x - \mu_k] \right)\pi_k=\frac{1}{|\Sigma_l|^{1/2} }\exp\left( -\frac{1}{2} [x - \mu_l]^\top \Sigma_l^{-1} [x - \mu_l] \right)\pi_l }[/math] by cancellation

[math]\displaystyle{ \,\Rightarrow -\frac{1}{2}\log(|\Sigma_k|)-\frac{1}{2} [x - \mu_k]^\top \Sigma_k^{-1} [x - \mu_k]+\log(\pi_k)=-\frac{1}{2}\log(|\Sigma_l|)-\frac{1}{2} [x - \mu_l]^\top \Sigma_l^{-1} [x - \mu_l]+\log(\pi_l) }[/math] by taking the log of both sides

[math]\displaystyle{ \,\Rightarrow \log(\frac{\pi_k}{\pi_l})-\frac{1}{2}\log(\frac{|\Sigma_k|}{|\Sigma_l|})-\frac{1}{2}\left( x^\top\Sigma_k^{-1}x + \mu_k^\top\Sigma_k^{-1}\mu_k - 2x^\top\Sigma_k^{-1}\mu_k - x^\top\Sigma_l^{-1}x - \mu_l^\top\Sigma_l^{-1}\mu_l + 2x^\top\Sigma_l^{-1}\mu_l \right)=0 }[/math] by expanding out

[math]\displaystyle{ \,\Rightarrow \log(\frac{\pi_k}{\pi_l})-\frac{1}{2}\log(\frac{|\Sigma_k|}{|\Sigma_l|})-\frac{1}{2}\left( x^\top(\Sigma_k^{-1}-\Sigma_l^{-1})x + \mu_k^\top\Sigma_k^{-1}\mu_k - \mu_l^\top\Sigma_l^{-1}\mu_l - 2x^\top(\Sigma_k^{-1}\mu_k-\Sigma_l^{-1}\mu_l) \right)=0 }[/math] this time there are no cancellations, so we can only factor

File:qda.gif

The final result is a quadratic equation specifying a curved boundary between classes with general form ax²+bx+c=0.

Linear and Quadratic Discriminant Analysis cont'd - October 5, 2009

Summarizing LDA and QDA

We can summarize what we have learned on LDA and QDA so far into the following theorem.

Theorem:

Suppose that [math]\displaystyle{ \,Y \in \{1,\dots,k\} }[/math], if [math]\displaystyle{ \,f_k(x) = Pr(X=x|Y=y) }[/math] is Gaussian, the Bayes Classifier rule is:

[math]\displaystyle{ \,h(X) = \arg\max_{k} \delta_k(x) }[/math]

where

[math]\displaystyle{ \,\delta_k = - \frac{1}{2}log(|\Sigma_k|) - \frac{1}{2}(x-\mu_k)^\top\Sigma_k^{-1}(x-\mu_k) + log (\pi_k) }[/math] (quadratic)

If the covariance of the Gaussians are the same, this becomes:

[math]\displaystyle{ \,\delta_k = x^\top\Sigma^{-1}\mu_k - \frac{1}{2}\mu_k^\top\Sigma^{-1}\mu_k + log (\pi_k) }[/math] (linear)

• Note [math]\displaystyle{ \,\arg\max_{k} \delta_k(x) }[/math]returns the set of k for which [math]\displaystyle{ \,\delta_k(x) }[/math] attains its largest value.

In practice

We need to estimate the prior, so in order to do this, we use the sample estimates of [math]\displaystyle{ \,\pi,\mu_k,\Sigma_k }[/math] in place of the true values, i.e.

File:estimation.png

Estimation of the probability of belonging to either class k or l

[math]\displaystyle{ \,\hat{\pi_k} = \hat{Pr}(y=k) = \frac{n_k}{n} }[/math]

[math]\displaystyle{ \,\hat{\mu_k} = \frac{1}{n_k}\sum_{i:y_i=k}x_i }[/math]

[math]\displaystyle{ \,\hat{\Sigma_k} = \frac{1}{n_k}\sum_{i:y_i=k}(x_i-\hat{\mu_k})(x_i-\hat{\mu_k})^\top }[/math]

In the case where we have a common covariance matrix, we get the ML estimate to be

[math]\displaystyle{ \,\Sigma=\frac{\sum_{r=1}^{k}(n_r\Sigma_r)}{\sum_{l=1}^{k}(n_l)} }[/math]

Computation

Case 1: (Example) [math]\displaystyle{ \, \Sigma_k = I }[/math]

This means that the data is distributed symmetrically around the center [math]\displaystyle{ \mu }[/math], i.e. the isocontours are all circles.

We have:

[math]\displaystyle{ \,\delta_k = - \frac{1}{2}log(|I|) - \frac{1}{2}(x-\mu_k)^\top I(x-\mu_k) + log (\pi_k) }[/math]

We see that the first term in the above equation, [math]\displaystyle{ \,\frac{1}{2}log(|I|) }[/math], is zero. The second term contains [math]\displaystyle{ \, (x-\mu_k)^\top I(x-\mu_k) = (x-\mu_k)^\top(x-\mu_k) }[/math], which is the squared Euclidean distance between [math]\displaystyle{ \,x }[/math] and [math]\displaystyle{ \,\mu_k }[/math]. Therefore we can find the distance between a point and each center and adjust it with the log of the prior, [math]\displaystyle{ \,log(\pi_k) }[/math]. The class that has the minimum distance will maximise [math]\displaystyle{ \,\delta_k }[/math]. According to the theorem, we can then classify the point to a specific class [math]\displaystyle{ \,k }[/math]. In addition, [math]\displaystyle{ \, \Sigma_k = I }[/math] implies that our data is spherical.

Case 2: (General Case) [math]\displaystyle{ \, \Sigma_k \ne I }[/math]

We can decompose this as:

[math]\displaystyle{ \, \Sigma_k = USV^\top = USU^\top }[/math] (since if [math]\displaystyle{ \, U = XX^\top }[/math] and [math]\displaystyle{ \, V=X^\top X }[/math] , if [math]\displaystyle{ \, X }[/math] is symmetric, [math]\displaystyle{ \, U=V }[/math] , and here [math]\displaystyle{ \, \Sigma }[/math] is symmetric)

and the inverse of [math]\displaystyle{ \,\Sigma_k }[/math] is

[math]\displaystyle{ \, \Sigma_k^{-1} = (USU^\top)^{-1} = (U^\top)^{-1}S^{-1}U^{-1} = US^{-1}U^\top }[/math] (since [math]\displaystyle{ \,U }[/math] is orthonormal)

So from the formula for [math]\displaystyle{ \,\delta_k }[/math], the second term is

[math]\displaystyle{ \, (x-\mu_k)^\top\Sigma_k^{-1}(x-\mu_k) }[/math]

[math]\displaystyle{ \, = (x-\mu_k)^\top US^{-1}U^T(x-\mu_k) }[/math]

[math]\displaystyle{ \, = (U^\top x-U^\top\mu_k)^\top S^{-1}(U^\top x-U^\top \mu_k) }[/math]

[math]\displaystyle{ \, = (U^\top x-U^\top\mu_k)^\top S^{-\frac{1}{2}}S^{-\frac{1}{2}}(U^\top x-U^\top\mu_k) }[/math]

[math]\displaystyle{ \, = (S^{-\frac{1}{2}}U^\top x-S^{-\frac{1}{2}}U^\top\mu_k)^\top I(S^{-\frac{1}{2}}U^\top x-S^{-\frac{1}{2}}U^\top \mu_k) }[/math]

[math]\displaystyle{ \, = (S^{-\frac{1}{2}}U^\top x-S^{-\frac{1}{2}}U^\top\mu_k)^\top(S^{-\frac{1}{2}}U^\top x-S^{-\frac{1}{2}}U^\top \mu_k) }[/math]

where we have the Euclidean distance between [math]\displaystyle{ \, S^{-\frac{1}{2}}U^\top x }[/math] and [math]\displaystyle{ \, S^{-\frac{1}{2}}U^\top\mu_k }[/math].

A transformation of all the data points can be done from [math]\displaystyle{ \,x }[/math] to [math]\displaystyle{ \,x^* }[/math] where [math]\displaystyle{ \, x^* \leftarrow S^{-\frac{1}{2}}U^\top x }[/math].

It is now possible to do classification with [math]\displaystyle{ \,x^* }[/math], treating it as in Case 1 above.

Note that when we have multiple classes, they must all have the same transformation, else, ahead of time we would have to assume a data point belongs to one class or the other. All classes therefore need to have the same shape for classification to be applicable using this method. So this method works for LDA.

If the classes have different shapes, in another word, have different covariance [math]\displaystyle{ \,\Sigma_k }[/math], can we use the same method to transform all data points [math]\displaystyle{ \,x }[/math] to [math]\displaystyle{ \,x^* }[/math]?

The answer is NO. Consider that you have two classes with different shapes, then consider transforming them to the same shape. Given a data point, justify which class this point belongs to. The question is, which transformation can you use? For example, if you use the transformation of class A, then you have assumed that this data point belongs to class A.