2.3 指数加权平均

I want to show you a few optimization algorithms. They are faster than gradient descent. In order to understand those algorithms, you need to be able they use something called exponentially weighted averages. Also called exponentially weighted moving averages in statistics.

So, for this example I got the daily temperature from London from last year.

This data looks a little bit noisy and if you want to compute the trends, the local average or a moving average of the temperature, here’s what you can do. Let’s initialize V zero equals zero. And then, on every day, we’re going to average it with a weight of 0.9 times whatever appears as value, plus 0.1 times that day temperature.

So, theta one here would be the temperature from the first day. And on the second day, we’re again going to take a weighted average. 0.9 times the previous value plus 0.1 times today’s temperature and so on. Day two plus 0.1 times theta three and so on. And the more general formula is V on a given day is 0.9 times V from the previous day, plus 0.1 times the temperature of that day. So, if you compute this and plot it in red, this is what you get. You get a moving average of what’s called an exponentially weighted average of the daily temperature.

It turns out that for reasons we are going to later, when you compute this you can think of VT as approximately averaging over, something like one over one minus beta, day's temperature. So, for example when beta goes 0.9 you could think of this as averaging over the last 10 days temperature. And that was the red line.

Now, let’s try something else.

Let’s set beta to be very close to one, let’s say it’s 0.98. Then, if you look at 1/1 minus 0.98, this is equal to 50. So, this is, you know, think of this as averaging over roughly, the last 50 days temperature. And if you plot that you get this green line.

So, notice a couple of things with this very high value of beta. The plot you get is much smoother because you’re now averaging over more days of temperature. So, the curve is just, you know, less wavy is now smoother, but on the flip side the curve has now shifted further to the right because you’re now averaging over a much larger window of temperatures. And by averaging over a larger window, this formula, this exponentially weighted average formula. It adapts more slowly, when the temperature changes.

So, there’s just a bit more latency. And the reason for that is when Beta 0.98 then it’s giving a lot of weight to the previous value and a much smaller weight just 0.02, to whatever you're seeing right now. So, when the temperature changes, when temperature goes up or down, there’s exponentially weighted average. Just adapts more slowly when beta is so large.

If you set beta to another extreme, let’s say it is 0.5, then this by the formula we have on the right. This is something like averaging over just two days temperature, and you plot that you get this yellow line. And by averaging only over two days temperature, you have a much, as if you’re averaging over much shorter window. So, you’re much more noisy, much more susceptible to outliers. But this adapts much more quickly to what the temperature changes.

So, this formula is highly implemented, exponentially weighted average. Again, it’s called an exponentially weighted, moving average in the statistics literature. We’re going to call it exponentially weighted average for short and by varying this parameter or later we’ll see such a hyper parameter if you’re learning algorithm you can get slightly different effects and there will usually be some value in between that works best. That gives you the red curve which you know maybe looks like a beta average of the temperature than either the green or the yellow curve.

You now know the basics of how to compute exponentially weighted averages. In the next video, let’s get a bit more intuition about what it’s doing.