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Lecture

Model Selection: Generalization and Validation

In course

CS-433: Machine learning

Machine learning methods are becoming increasingly central in many sciences and applications. In this course, fundamental principles and methods of machine learning will be introduced, analyzed and practically implemented. ...

Description

This lecture covers the concepts of generalization, model selection, and validation in machine learning. The instructor explains the importance of assessing the quality of a model, the process of model selection, and the use of cross-validation to ensure unbiased estimates of the generalization error. By splitting the data into training and test sets, and using techniques like K-fold cross-validation, the lecture demonstrates how to choose the best model parameter and evaluate its performance accurately.

Instructors (2)

Martin Jaggi

Martin Jaggi is a Tenure Track Assistant Professor at EPFL, heading the Machine Learning and Optimization Laboratory. Before that, he was a post-doctoral researcher at ETH Zurich, at the Simons Institute in Berkeley, and at École Polytechnique in Paris. He has earned his PhD in Machine Learning and Optimization from ETH Zurich in 2011, and a MSc in Mathematics also from ETH Zurich.

Nicolas Henri Bernard Flammarion

Nicolas Flammarion is a tenure-track assistant professor in computer science at EPFL. Prior to that, he was a postdoctoral fellow at UC Berkeley, hosted by Michael I. Jordan. He received his PhD in 2017 from Ecole Normale Superieure in Paris, where he was advised by Alexandre d’Aspremont and Francis Bach. In 2018 he received the prize of the Fondation Mathematique Jacques Hadamard for the best PhD thesis in the field of optimization. His research focuses primarily on learning problems at the interface of machine learning, statistics and optimization.

Official source

Ontological neighbourhood

Statistics

Data analysis: Cross-validation

Related concepts (32)

Cross-validation (statistics)

Cross-validation, sometimes called rotation estimation or out-of-sample testing, is any of various similar model validation techniques for assessing how the results of a statistical analysis will generalize to an independent data set. Cross-validation is a resampling method that uses different portions of the data to test and train a model on different iterations. It is mainly used in settings where the goal is prediction, and one wants to estimate how accurately a predictive model will perform in practice.

Training, validation, and test data sets

In machine learning, a common task is the study and construction of algorithms that can learn from and make predictions on data. Such algorithms function by making data-driven predictions or decisions, through building a mathematical model from input data. These input data used to build the model are usually divided into multiple data sets. In particular, three data sets are commonly used in different stages of the creation of the model: training, validation, and test sets.

Generalization error

For supervised learning applications in machine learning and statistical learning theory, generalization error (also known as the out-of-sample error or the risk) is a measure of how accurately an algorithm is able to predict outcome values for previously unseen data. Because learning algorithms are evaluated on finite samples, the evaluation of a learning algorithm may be sensitive to sampling error. As a result, measurements of prediction error on the current data may not provide much information about predictive ability on new data.

Model selection

Model selection is the task of selecting a model from among various candidates on the basis of performance criterion to choose the best one. In the context of learning, this may be the selection of a statistical model from a set of candidate models, given data. In the simplest cases, a pre-existing set of data is considered. However, the task can also involve the design of experiments such that the data collected is well-suited to the problem of model selection.

Statistical model validation

In statistics, model validation is the task of evaluating whether a chosen statistical model is appropriate or not. Oftentimes in statistical inference, inferences from models that appear to fit their data may be flukes, resulting in a misunderstanding by researchers of the actual relevance of their model. To combat this, model validation is used to test whether a statistical model can hold up to permutations in the data.

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