Theoretical analyses of cross-validation error and voting in instance-based learning

This paper begins with a general theory of error in cross-validation testing of algorithms for supervised learning from examples. It is assumed that the examples are described by attribute-value pairs, where the values are symbolic. Cross-validation requires a set of training examples and a set of testing examples. The value of the attribute that is to be predicted is known to the learner in the training set, but unknown in the testing set. The theory demonstrates that cross-validation error has two components: error on the training set (inaccuracy) and sensitivity to noise (instability). This general theory is then applied to voting in instance-based learning. Given an example in the testing set, a typical instance-based learning algorithm predicts the designated attribute by voting among the k nearest neighbors (the k most similar examples) to the testing example in the training set. Voting is intended to increase the stability (resistance to noise) of instance-based learning, but a theoretical analysis shows that there are circumstances in which voting can be destabilizing. The theory suggests ways to minimize cross-validation error, by insuring that voting is stable and does not adversely affect accuracy

Consistency of cross validation for comparing regression procedures

Theoretical developments on cross validation (CV) have mainly focused on selecting one among a list of finite-dimensional models (e.g., subset or order selection in linear regression) or selecting a smoothing parameter (e.g., bandwidth for kernel smoothing). However, little is known about consistency of cross validation when applied to compare between parametric and nonparametric methods or within nonparametric methods. We show that under some conditions, with an appropriate choice of data splitting ratio, cross validation is consistent in the sense of selecting the better procedure with probability approaching 1. Our results reveal interesting behavior of cross validation. When comparing two models (procedures) converging at the same nonparametric rate, in contrast to the parametric case, it turns out that the proportion of data used for evaluation in CV does not need to be dominating in size. Furthermore, it can even be of a smaller order than the proportion for estimation while not affecting the consistency property.Comment: Published in at http://dx.doi.org/10.1214/009053607000000514 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

On Machine-Learned Classification of Variable Stars with Sparse and Noisy Time-Series Data

With the coming data deluge from synoptic surveys, there is a growing need for frameworks that can quickly and automatically produce calibrated classification probabilities for newly-observed variables based on a small number of time-series measurements. In this paper, we introduce a methodology for variable-star classification, drawing from modern machine-learning techniques. We describe how to homogenize the information gleaned from light curves by selection and computation of real-numbered metrics ("feature"), detail methods to robustly estimate periodic light-curve features, introduce tree-ensemble methods for accurate variable star classification, and show how to rigorously evaluate the classification results using cross validation. On a 25-class data set of 1542 well-studied variable stars, we achieve a 22.8% overall classification error using the random forest classifier; this represents a 24% improvement over the best previous classifier on these data. This methodology is effective for identifying samples of specific science classes: for pulsational variables used in Milky Way tomography we obtain a discovery efficiency of 98.2% and for eclipsing systems we find an efficiency of 99.1%, both at 95% purity. We show that the random forest (RF) classifier is superior to other machine-learned methods in terms of accuracy, speed, and relative immunity to features with no useful class information; the RF classifier can also be used to estimate the importance of each feature in classification. Additionally, we present the first astronomical use of hierarchical classification methods to incorporate a known class taxonomy in the classifier, which further reduces the catastrophic error rate to 7.8%. Excluding low-amplitude sources, our overall error rate improves to 14%, with a catastrophic error rate of 3.5%.Comment: 23 pages, 9 figure

A Taxonomy of Big Data for Optimal Predictive Machine Learning and Data Mining

Big data comes in various ways, types, shapes, forms and sizes. Indeed, almost all areas of science, technology, medicine, public health, economics, business, linguistics and social science are bombarded by ever increasing flows of data begging to analyzed efficiently and effectively. In this paper, we propose a rough idea of a possible taxonomy of big data, along with some of the most commonly used tools for handling each particular category of bigness. The dimensionality p of the input space and the sample size n are usually the main ingredients in the characterization of data bigness. The specific statistical machine learning technique used to handle a particular big data set will depend on which category it falls in within the bigness taxonomy. Large p small n data sets for instance require a different set of tools from the large n small p variety. Among other tools, we discuss Preprocessing, Standardization, Imputation, Projection, Regularization, Penalization, Compression, Reduction, Selection, Kernelization, Hybridization, Parallelization, Aggregation, Randomization, Replication, Sequentialization. Indeed, it is important to emphasize right away that the so-called no free lunch theorem applies here, in the sense that there is no universally superior method that outperforms all other methods on all categories of bigness. It is also important to stress the fact that simplicity in the sense of Ockham's razor non plurality principle of parsimony tends to reign supreme when it comes to massive data. We conclude with a comparison of the predictive performance of some of the most commonly used methods on a few data sets.Comment: 18 pages, 2 figures 3 table

Can we identify non-stationary dynamics of trial-to-trial variability?"

Identifying sources of the apparent variability in non-stationary scenarios is a fundamental problem in many biological data analysis settings. For instance, neurophysiological responses to the same task often vary from each repetition of the same experiment (trial) to the next. The origin and functional role of this observed variability is one of the fundamental questions in neuroscience. The nature of such trial-to-trial dynamics however remains largely elusive to current data analysis approaches. A range of strategies have been proposed in modalities such as electro-encephalography but gaining a fundamental insight into latent sources of trial-to-trial variability in neural recordings is still a major challenge. In this paper, we present a proof-of-concept study to the analysis of trial-to-trial variability dynamics founded on non-autonomous dynamical systems. At this initial stage, we evaluate the capacity of a simple statistic based on the behaviour of trajectories in classification settings, the trajectory coherence, in order to identify trial-to-trial dynamics. First, we derive the conditions leading to observable changes in datasets generated by a compact dynamical system (the Duffing equation). This canonical system plays the role of a ubiquitous model of non-stationary supervised classification problems. Second, we estimate the coherence of class-trajectories in empirically reconstructed space of system states. We show how this analysis can discern variations attributable to non-autonomous deterministic processes from stochastic fluctuations. The analyses are benchmarked using simulated and two different real datasets which have been shown to exhibit attractor dynamics. As an illustrative example, we focused on the analysis of the rat's frontal cortex ensemble dynamics during a decision-making task. Results suggest that, in line with recent hypotheses, rather than internal noise, it is the deterministic trend which most likely underlies the observed trial-to-trial variability. Thus, the empirical tool developed within this study potentially allows us to infer the source of variability in in-vivo neural recordings

Multi-test Decision Tree and its Application to Microarray Data Classification

Objective: The desirable property of tools used to investigate biological data is easy to understand models and predictive decisions. Decision trees are particularly promising in this regard due to their comprehensible nature that resembles the hierarchical process of human decision making. However, existing algorithms for learning decision trees have tendency to underfit gene expression data. The main aim of this work is to improve the performance and stability of decision trees with only a small increase in their complexity. Methods: We propose a multi-test decision tree (MTDT); our main contribution is the application of several univariate tests in each non-terminal node of the decision tree. We also search for alternative, lower-ranked features in order to obtain more stable and reliable predictions. Results: Experimental validation was performed on several real-life gene expression datasets. Comparison results with eight classifiers show that MTDT has a statistically significantly higher accuracy than popular decision tree classifiers, and it was highly competitive with ensemble learning algorithms. The proposed solution managed to outperform its baseline algorithm on $14$ datasets by an average $6$ percent. A study performed on one of the datasets showed that the discovered genes used in the MTDT classification model are supported by biological evidence in the literature. Conclusion: This paper introduces a new type of decision tree which is more suitable for solving biological problems. MTDTs are relatively easy to analyze and much more powerful in modeling high dimensional microarray data than their popular counterparts

Ensemble Committees for Stock Return Classification and Prediction

This paper considers a portfolio trading strategy formulated by algorithms in the field of machine learning. The profitability of the strategy is measured by the algorithm's capability to consistently and accurately identify stock indices with positive or negative returns, and to generate a preferred portfolio allocation on the basis of a learned model. Stocks are characterized by time series data sets consisting of technical variables that reflect market conditions in a previous time interval, which are utilized produce binary classification decisions in subsequent intervals. The learned model is constructed as a committee of random forest classifiers, a non-linear support vector machine classifier, a relevance vector machine classifier, and a constituent ensemble of k-nearest neighbors classifiers. The Global Industry Classification Standard (GICS) is used to explore the ensemble model's efficacy within the context of various fields of investment including Energy, Materials, Financials, and Information Technology. Data from 2006 to 2012, inclusive, are considered, which are chosen for providing a range of market circumstances for evaluating the model. The model is observed to achieve an accuracy of approximately 70% when predicting stock price returns three months in advance.Comment: 15 pages, 4 figures, Neukom Institute Computational Undergraduate Research prize - second plac