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Approaching (Almost) Any Machine Learning Problem


 
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If you're looking for an overview of how to approach (almost) any machine learning problem, this is a good place to start. Read on as a Kaggle competition veteran shares his pipelines and approach to problem-solving.



Next, we come to the stacker module. Stacker module is not a model stacker but a feature stacker. The different features after the processing steps described above can be combined using the stacker module.

You can horizontally stack all the features before putting them through further processing by using numpy hstack or sparse hstack depending on whether you have dense or sparse features.

And can also be achieved by FeatureUnion module in case there are other processing steps such as pca or feature selection (we will visit decomposition and feature selection later in this post).

Once, we have stacked the features together, we can start applying machine learning models. At this stage only models you should go for should be ensemble tree based models. These models include:

  • RandomForestClassifier
  • RandomForestRegressor
  • ExtraTreesClassifier
  • ExtraTreesRegressor
  • XGBClassifier
  • XGBRegressor

We cannot apply linear models to the above features since they are not normalized. To use linear models, one can use Normalizer or StandardScaler from scikit-learn.

These normalization methods work only on dense features and don’t give very good results if applied on sparse features. Yes, one can apply StandardScaler on sparse matrices without using the mean (parameter: with_mean=False).

If the above steps give a “good” model, we can go for optimization of hyperparameters and in case it doesn’t we can go for the following steps and improve our model.

The next steps include decomposition methods:

For the sake of simplicity, we will leave out LDA and QDA transformations. For high dimensional data, generally PCA is used decompose the data. For images start with 10-15 components and increase this number as long as the quality of result improves substantially. For other type of data, we select 50-60 components initially (we tend to avoid PCA as long as we can deal with the numerical data as it is).

can be found here:

For text data, after conversion of text to sparse matrix, go for Singular Value Decomposition (SVD). A variation of SVD called TruncatedSVD can be found in scikit-learn.

The number of SVD components that generally work for TF-IDF or counts are between 120-200. Any number above this might improve the performance but not substantially and comes at the cost of computing power.

After evaluating further performance of the models, we move to scaling of the datasets, so that we can evaluate linear models too. The normalized or scaled features can then be sent to the machine learning models or feature selection modules.

There are multiple ways in which feature selection can be achieved. One of the most common way is greedy feature selection (forward or backward). In greedy feature selection we choose one feature, train a model and evaluate the performance of the model on a fixed evaluation metric. We keep adding and removing features one-by-one and record performance of the model at every step. We then select the features which have the best evaluation score. One implementation of greedy feature selection with AUC as evaluation metric can be found here: https://github.com/abhishekkrthakur/greedyFeatureSelection. It must be noted that this implementation is not perfect and must be changed/modified according to the requirements.

Other faster methods of feature selection include selecting best features from a model. We can either look at coefficients of a logit model or we can train a random forest to select best features and then use them later with other machine learning models.

Remember to keep low number of estimators and minimal optimization of hyper parameters so that you don’t overfit.

The feature selection can also be achieved using Gradient Boosting Machines. It is good if we use xgboost instead of the implementation of GBM in scikit-learn since xgboost is much faster and more scalable.

We can also do feature selection of sparse datasets using RandomForestClassifier / RandomForestRegressor and xgboost.

Another popular method for feature selection from positive sparse datasets is chi-2 based feature selection and we also have that implemented in scikit-learn.

Here, we use chi2 in conjunction with SelectKBest to select 20 features from the data. This also becomes a hyperparameter we want to optimize to improve the result of our machine learning models.

Don’t forget to dump any kinds of transformers you use at all the steps. You will need them to evaluate performance on the validation set.

Next (or intermediate) major step is model selection + hyperparameter optimization.

We generally use the following algorithms in the process of selecting a machine learning model:

  • Classification:
    • Random Forest
    • GBM
    • Logistic Regression
    • Naive Bayes
    • Support Vector Machines
    • k-Nearest Neighbors
  • Regression
    • Random Forest
    • GBM
    • Linear Regression
    • Ridge
    • Lasso
    • SVR

Which parameters should I optimize? How do I choose parameters closest to the best ones? These are a couple of questions people come up with most of the time. One cannot get answers to these questions without experience with different models + parameters on a large number of datasets. Also people who have experience are not willing to share their secrets. Luckily, I have quite a bit of experience too and I’m willing to give away some of the stuff.

Let’s break down the hyperparameters, model wise:

RS* = Cannot say about proper values, go for Random Search in these hyperparameters.

In my opinion, and strictly my opinion, the above models will out-perform any others and we don’t need to evaluate any other models.

Once again, remember to save the transformers:

And apply them on validation set separately:

The above rules and the framework has performed very well in most of the datasets I have dealt with. Of course, it has also failed for very complicated tasks. Nothing is perfect and we keep on improving on what we learn. Just like in machine learning.

Get in touch with me with any doubts: abhishek4 [at] gmail [dot] com

Bio: Abhishek Thakur holds a Master's degree in Computer Science from University of Bonn, and is a Senior Data Scientist on the Data Science team at Searchmetrics Inc., working on some of the most interesting data driven studies, applied machine learning algorithms and deriving insights from huge amounts of data. He is also a Kaggle competition Grandmaster.

Original. Reposted with permission.

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