Note: originally posted in http://www.holehouse.org/mlclass/12_Support_Vector_Machines.html
Support Vector Machine (SVM) - Optimization objective
- So far, we've seen a range of different algorithms
- With supervised learning algorithms - performance is pretty similar
- What matters more often is;
- The amount of training data
- Skill of applying algorithms
- What matters more often is;
- With supervised learning algorithms - performance is pretty similar
- One final supervised learning algorithm that is widely used - support vector machine (SVM)
-
- Compared to both logistic regression and neural networks, a SVM sometimes gives a cleaner way of learning non-linear functions
- Later in the course we'll do a survey of different supervised learning algorithms
- Start with logistic regression, see how we can modify it to get the SVM
- As before, the logistic regression hypothesis is as follows
- And the sigmoid activation function looks like this
- In order to explain the math, we use z as defined above
- As before, the logistic regression hypothesis is as follows
- What do we want logistic regression to do?
- We have an example where y = 1
- Then we hope hθ(x) is close to 1
- With hθ(x) close to 1, (θT x) must be much larger than 0
- Similarly, when y = 0
- Then we hope hθ(x) is close to 0
- With hθ(x) close to 0, (θT x) must be much less than 0
- This is our classic view of logistic regression
- Let's consider another way of thinking about the problem
- We have an example where y = 1
- Alternative view of logistic regression
- If you look at cost function, each example contributes a term like the one below to the overall cost function
- For the overall cost function, we sum over all the training examples using the above function, and have a 1/m term
- If you look at cost function, each example contributes a term like the one below to the overall cost function
- If you then plug in the hypothesis definition (hθ(x)), you get an expanded cost function equation;
-
- So each training example contributes that term to the cost function for logistic regression
- If y = 1 then only the first term in the objective matters
- If we plot the functions vs. z we get the following graph
- This plot shows the cost contribution of an example when y = 1 given z
- So if z is big, the cost is low - this is good!
- But if z is 0 or negative the cost contribution is high
- This is why, when logistic regression sees a positive example, it tries to set θT x to be a very large term
- This plot shows the cost contribution of an example when y = 1 given z
- If we plot the functions vs. z we get the following graph
- If y = 0 then only the second term matters
-
- We can again plot it and get a similar graph
- Same deal, if z is small then the cost is low
- But if s is large then the cost is massive
- Same deal, if z is small then the cost is low
- We can again plot it and get a similar graph
SVM cost functions from logistic regression cost functions
- To build a SVM we must redefine our cost functions
- When y = 1
- Take the y = 1 function and create a new cost function
- Instead of a curved line create two straight lines (magenta) which acts as an approximation to the logistic regression y = 1 function
- Take point (1) on the z axis
- Flat from 1 onwards
- Grows when we reach 1 or a lower number
- This means we have two straight lines
- Flat when cost is 0
- Straight growing line after 1
- Take point (1) on the z axis
- So this is the new y=1 cost function
- Gives the SVM a computational advantage and an easier optimization problem
- We call this function cost1(z)
- When y = 1
- Similarly
- When y = 0
- Do the equivalent with the y=0 function plot
- We call this function cost0(z)
- Do the equivalent with the y=0 function plot
- When y = 0
- So here we define the two cost function terms for our SVM graphically
- How do we implement this?
- As a comparison/reminder we have logistic regression below
- If this looks unfamiliar its because we previously had the - sign outside the expression
- For the SVM we take our two logistic regression y=1 and y=0 terms described previously and replace with
- cost1(θT x)
- cost0(θT x)
- So we get
- In convention with SVM notation we rename a few things here
- 1) Get rid of the 1/m terms
- This is just a slightly different convention
- By removing 1/m we should get the same optimal values for
- 1/m is a constant, so should get same optimization
- e.g. say you have a minimization problem which minimizes to u = 5
- If your cost function * by a constant, you still generates the minimal value
- That minimal value is different, but that's irrelevant
- 2) For logistic regression we had two terms;
- Training data set term (i.e. that we sum over m) = A
- Regularization term (i.e. that we sum over n) = B
- So we could describe it as A + λB
- Need some way to deal with the trade-off between regularization and data set terms
- Set different values for λ to parametrize this trade-off
- Instead of parameterization this as A + λB
- For SVMs the convention is to use a different parameter called C
- So do CA + B
- If C were equal to 1/λ then the two functions (CA + B and A + λB) would give the same value
- So, our overall equation is
- Unlike logistic, hθ(x) doesn't give us a probability, but instead we get a direct prediction of 1 or 0
-
- So if θT x is equal to or greater than 0 --> hθ(x) = 1
- Else --> hθ(x) = 0
Large margin intuition
- Sometimes people refer to SVM as large margin classifiers
- We'll consider what that means and what an SVM hypothesis looks like
- The SVM cost function is as above, and we've drawn out the cost terms below
- Left is cost1 and right is cost0
- What does it take to make terms small
- If y =1
- cost1(z) = 0 only when z >= 1
- If y = 0
- cost0(z) = 0 only when z <= -1
- If y =1
- Interesting property of SVM
- If you have a positive example, you only really need z to be greater or equal to 0
- If this is the case then you predict 1
- SVM wants a bit more than that - doesn't want to *just* get it right, but have the value be quite a bit bigger than zero
- Throws in an extra safety margin factor
- If you have a positive example, you only really need z to be greater or equal to 0
- Logistic regression does something similar
- What are the consequences of this?
- Consider a case where we set C to be huge
- C = 100,000
- So considering we're minimizing CA + B
- If C is huge we're going to pick an A value so that A is equal to zero
- What is the optimization problem here - how do we make A = 0?
- Making A = 0
- If y = 1
- Then to make our "A" term 0 need to find a value of θ so (θT x) is greater than or equal to 1
- Similarly, if y = 0
- Then we want to make "A" = 0 then we need to find a value of θ so (θT x) is equal to or less than -1
- If y = 1
- So - if we think of our optimization problem a way to ensure that this first "A" term is equal to 0, we re-factor our optimization problem into just minimizing the "B" (regularization) term, because
- When A = 0 --> A*C = 0
- So we're minimizing B, under the constraints shown below
- Turns out when you solve this problem you get interesting decision boundaries
- The green and magenta lines are functional decision boundaries which could be chosen by logistic regression
- But they probably don't generalize too well
- The black line, by contrast is the the chosen by the SVM because of this safety net imposed by the optimization graph
- More robust separator
- Mathematically, that black line has a larger minimum distance (margin) from any of the training examples
- By separating with the largest margin you incorporate robustness into your decision making process
- Consider a case where we set C to be huge
- We looked at this at when C is very large
-
- SVM is more sophisticated than the large margin might look
- If you were just using large margin then SVM would be very sensitive to outliers
- You would risk making a ridiculous hugely impact your classification boundary
- A single example might not represent a good reason to change an algorithm
- If C is very large then we do use this quite naive maximize the margin approach
- So we'd change the black to the magenta
- But if C is reasonably small, or a not too large, then you stick with the black decision boundary
- If you were just using large margin then SVM would be very sensitive to outliers
- What about non-linearly separable data?
- Then SVM still does the right thing if you use a normal size C
- So the idea of SVM being a large margin classifier is only really relevant when you have no outliers and you can easily linearly separable data
- Means we ignore a few outliers
- SVM is more sophisticated than the large margin might look
Large margin classification mathematics (optional)
- Have two (2D) vectors u and v - what is the inner product (uT v)?
- Plot u on graph
- i.e u1 vs. u2
- i.e u1 vs. u2
- One property which is good to have is the norm of a vector
- Written as ||u||
- This is the euclidean length of vector u
- So ||u|| = SQRT(u12 + u22) = real number
- i.e. length of the arrow above
- Can show via Pythagoras
- Written as ||u||
- For the inner product, take v and orthogonally project down onto u
- First we can plot v on the same axis in the same way (v1 vs v1)
- Measure the length/magnitude of the projection
- So here, the green line is the projection
- p = length along u to the intersection
- p is the magnitude of the projection of vector v onto vector u
- Possible to show that
- uT v = p * ||u||
- So this is one way to compute the inner product
- uT v = u1v1+ u2v2
- So therefore
- p * ||u|| = u1v1+ u2v2
- This is an important rule in linear algebra
- We can reverse this too
- So we could do
- vT u = v1u1+ v2u2
- Which would obviously give you the same number
- So we could do
- uT v = p * ||u||
- p can be negative if the angle between them is 90 degrees or more
- So here p is negative
- Plot u on graph
- Use the vector inner product theory to try and understand SVMs a little better
SVM decision boundary
![](http://www.holehouse.org/mlclass/12_Support_Vector_Machines_files/Image%20[22].png)
- For the following explanation - two simplification
- Set θ0= 0 (i.e. ignore intercept terms)
- Set n = 2 - (x1, x2)
- i.e. each example has only 2 features
- Given we only have two parameters we can simplify our function to
- And, can be re-written as
- Should give same thing
- We may notice that
- The term in red is the norm of θ
- If we take θ as a 2x1 vector
- If we assume θ0 = 0 its still true
- The term in red is the norm of θ
- So, finally, this means our optimization function can be re-defined as
- So the SVM is minimizing the squared norm
- Given this, what are the (θT x) parameters doing?
- Given θ and given example x what is this equal to
- We can look at this in a comparable manner to how we just looked at u and v
- Say we have a single positive training example (red cross below)
- Although we haven't been thinking about examples as vectors it can be described as such
- Now, say we have our parameter vector θ and we plot that on the same axis
- The next question is what is the inner product of these two vectors
- p, is in fact pi, because it's the length of p for example i
- Given our previous discussion we know
(θT xi ) = pi * ||θ||
= θ1xi1 + θ2xi2 - So these are both equally valid ways of computing θT xi
- Given our previous discussion we know
- p, is in fact pi, because it's the length of p for example i
- Given θ and given example x what is this equal to
- What does this mean?
- The constraints we defined earlier
- (θT x) >= 1 if y = 1
- (θT x) <= -1 if y = 0
- Can be replaced/substituted with the constraints
- pi * ||θ|| >= 1 if y = 1
- pi * ||θ|| <= -1 if y = 0
- The constraints we defined earlier
-
- Writing that into our optimization objective
- Writing that into our optimization objective
- So, given we've redefined these functions let us now consider the training example below
- Given this data, what boundary will the SVM choose? Note that we're still assuming θ0 = 0, which means the boundary has to pass through the origin (0,0)
- Green line - small margins
- SVM would not chose this line
- Decision boundary comes very close to examples
- Lets discuss why the SVM would not chose this decision boundary
- SVM would not chose this line
- Green line - small margins
- Looking at this line
- We can show that θ is at 90 degrees to the decision boundary
- θ is always at 90 degrees to the decision boundary (can show with linear algebra, although we're not going to!)
- We can show that θ is at 90 degrees to the decision boundary
- Given this data, what boundary will the SVM choose? Note that we're still assuming θ0 = 0, which means the boundary has to pass through the origin (0,0)
- So now lets look at what this implies for the optimization objective
- Look at first example (x1)
- Project a line from x1 on to to the θ vector (so it hits at 90 degrees)
- The distance between the intersection and the origin is (p1)
- Similarly, look at second example (x2)
-
- Project a line from x2 into to the θ vector
- This is the magenta line, which will be negative (p2)
- If we overview these two lines below we see a graphical representation of what's going on;
- We find that both these p values are going to be pretty small
- If we look back at our optimization objective
- We know we need p1 * ||θ|| to be bigger than or equal to 1 for positive examples
- If p is small
- Means that ||θ|| must be pretty large
- If p is small
- Similarly, for negative examples we need p2 * ||θ|| to be smaller than or equal to -1
- We saw in this example p2 is a small negative number
- So ||θ|| must be a large number
- We saw in this example p2 is a small negative number
- We know we need p1 * ||θ|| to be bigger than or equal to 1 for positive examples
- Why is this a problem?
- The optimization objective is trying to find a set of parameters where the norm of theta is small
- So this doesn't seem like a good direction for the parameter vector (because as p values get smaller ||θ|| must get larger to compensate)
- So we should make p values larger which allows ||θ|| to become smaller
- So this doesn't seem like a good direction for the parameter vector (because as p values get smaller ||θ|| must get larger to compensate)
- The optimization objective is trying to find a set of parameters where the norm of theta is small
- Look at first example (x1)
- So lets chose a different boundary
- Now if you look at the projection of the examples to θ we find that p1 becomes large and ||θ|| can become small
- So with some values drawn in
- This means that by choosing this second decision boundary we can make ||θ|| smaller
- Which is why the SVM choses this hypothesis as better
- This is how we generate the large margin effect
- The magnitude of this margin is a function of the p values
- So by maximizing these p values we minimize ||θ||
- Finally, we did this derivation assuming θ0 = 0,
- If this is the case we're entertaining only decision boundaries which pass through (0,0)
- If you allow θ0 to be other values then this simply means you can have decision boundaries which cross through the x and y values at points other than (0,0)
- Can show with basically same logic that this works, and even when θ0 is non-zero when you have optimization objective described above (when C is very large) that the SVM is looking for a large margin separator between the classes
Kernels - 1: Adapting SVM to non-linear classifiers
- What are kernels and how do we use them
- We have a training set
- We want to find a non-linear boundary
- Come up with a complex set of polynomial features to fit the data
- Have hθ(x) which
- Returns 1 if the combined weighted sum of vectors (weighted by the parameter vector) is less than or equal to 0
- Else return 0
- Another way of writing this (new notation) is
- That a hypothesis computes a decision boundary by taking the sum of the parameter vector multiplied by a new feature vector f, which simply contains the various high order x terms
- e.g.
- hθ(x) = θ0+ θ1f1+ θ2f2 + θ3f3
- Where
- f1= x1
- f2 = x1x2
- f3 = ...
- i.e. not specific values, but each of the terms from your complex polynomial function
- Is there a better choice of feature f than the high order polynomials?
- As we saw with computer imaging, high order polynomials become computationally expensive
- Have hθ(x) which
- We have a training set
- New features
-
- Define three features in this example (ignore x0)
- Have a graph of x1 vs. x2 (don't plot the values, just define the space)
- Pick three points in that space
- These points l1, l2, and l3, were chosen manually and are called landmarks
- Given x, define f1 as the similarity between (x, l1)
- = exp(- (|| x - l1 ||2 ) / 2σ2)
= - || x - l1 || is the euclidean distance between the point x and the landmark l1 squared
- Disussed more later
- If we remember our statistics, we know that
- σ is the standard deviation
- σ2 is commonly called the variance
- = exp(- (|| x - l1 ||2 ) / 2σ2)
- Remember, that as discussed
- Given x, define f1 as the similarity between (x, l1)
- So, f2 is defined as
- f2 = similarity(x, l1) = exp(- (|| x - l2 ||2 ) / 2σ2)
- And similarly
- f3 = similarity(x, l2) = exp(- (|| x - l1 ||2 ) / 2σ2)
- This similarity function is called a kernel
- This function is a Gaussian Kernel
- So, instead of writing similarity between x and l we might write
-
- f1 = k(x, l1)
Diving deeper into the kernel
- So lets see what these kernels do and why the functions defined make sense
- Say x is close to a landmark
- Then the squared distance will be ~0
- So
- Which is basically e-0
- Which is close to 1
- Which is basically e-0
- So
- Say x is far from a landmark
- Then the squared distance is big
- Gives e-large number
- Which is close to zero
- Gives e-large number
- Then the squared distance is big
- Each landmark defines a new features
- Then the squared distance will be ~0
- Say x is close to a landmark
- If we plot f1 vs the kernel function we get a plot like this
- Notice that when x = [3,5] then f1 = 1
- As x moves away from [3,5] then the feature takes on values close to zero
- So this measures how close x is to this landmark
- σ2 is a parameter of the Gaussian kernel
- Defines the steepness of the rise around the landmark
- Above example σ2 = 1
- Below σ2 = 0.5
- We see here that as you move away from 3,5 the feature f1 falls to zero much more rapidly
- The inverse can be seen if σ2 = 3
- Given this definition, what kinds of hypotheses can we learn?
- With training examples x we predict "1" when
- θ0+ θ1f1+ θ2f2 + θ3f3 >= 0
- For our example, lets say we've already run an algorithm and got the
- θ0 = -0.5
- θ1 = 1
- θ2 = 1
- θ3 = 0
- Given our placement of three examples, what happens if we evaluate an example at the magenta dot below?
- Looking at our formula, we know f1 will be close to 1, but f2 and f3 will be close to 0
- So if we look at the formula we have
- θ0+ θ1f1+ θ2f2 + θ3f3 >= 0
- -0.5 + 1 + 0 + 0 = 0.5
- 0.5 is greater than 1
- So if we look at the formula we have
- If we had another point far away from all three
- This equates to -0.5
- So we predict 0
- This equates to -0.5
- For our example, lets say we've already run an algorithm and got the
- Considering our parameter, for points near l1 and l2 you predict 1, but for points near l3 you predict 0
- Which means we create a non-linear decision boundary that goes a lil' something like this;
- Inside we predict y = 1
- Outside we predict y = 0
- So this show how we can create a non-linear boundary with landmarks and the kernel function in the support vector machine
-
- But
-
- How do we get/chose the landmarks
- What other kernels can we use (other than the Gaussian kernel)
Kernels II
- Filling in missing detail and practical implications regarding kernels
- Spoke about picking landmarks manually, defining the kernel, and building a hypothesis function
- Where do we get the landmarks from?
- For complex problems we probably want lots of them
- Take the training data
- For each example place a landmark at exactly the same location
- So end up with m landmarks
- One landmark per location per training example
- Means our features measure how close to a training set example something is
- Given a new example, compute all the f values
- Gives you a feature vector f (f0 to fm)
- f0 = 1 always
- Gives you a feature vector f (f0 to fm)
- A more detailed look at generating the f vector
- If we had a training example - features we compute would be using (xi, yi)
- So we just cycle through each landmark, calculating how close to that landmark actually xi is
- f1i, = k(xi, l1)
- f2i, = k(xi, l2)
- ...
- fmi, = k(xi, lm)
- Somewhere in the list we compare x to itself... (i.e. when we're at fii)
- So because we're using the Gaussian Kernel this evalues to 1
- Take these m features (f1, f2 ... fm) group them into an [m +1 x 1] dimensional vector called f
- fi is the f feature vector for the ith example
- And add a 0th term = 1
- So we just cycle through each landmark, calculating how close to that landmark actually xi is
- If we had a training example - features we compute would be using (xi, yi)
- Given these kernels, how do we use a support vector machine
- Predict y = 1 if (θT f) >= 0
- Because θ = [m+1 x 1]
- And f = [m +1 x 1]
- So, this is how you make a prediction assuming you already have θ
- How do you get θ?
- Use the SVM learning algorithm
- Now, we minimize using f as the feature vector instead of x
- By solving this minimization problem you get the parameters for your SVM
- In this setup, m = n
- Because number of features is the number of training data examples we have
- One final mathematic detail (not crucial to understand)
- If we ignore θ0 then the following is true
- What many implementations do is
- Where the matrix M depends on the kernel you use
- Gives a slightly different minimization - means we determine a rescaled version of θ
- Allows more efficient computation, and scale to much bigger training sets
- If you have a training set with 10 000 values, means you get 10 000 features
- Solving for all these parameters can become expensive
- So by adding this in we avoid a for loop and use a matrix multiplication algorithm instead
- If we ignore θ0 then the following is true
- You can apply kernels to other algorithms
- But they tend to be very computationally expensive
- But the SVM is far more efficient - so more practical
- Lots of good off the shelf software to minimize this function
- SVM parameters (C)
- Bias and variance trade off
- Must chose C
- C plays a role similar to 1/LAMBDA (where LAMBDA is the regularization parameter)
- Large C gives a hypothesis of low bias high variance --> overfitting
- Small C gives a hypothesis of high bias low variance --> underfitting
- SVM parameters (σ2)
- Parameter for calculating f values
- Large σ2 - f features vary more smoothly - higher bias, lower variance
- Small σ2 - f features vary abruptly - low bias, high variance
- Parameter for calculating f values
SVM - implementation and use
- So far spoken about SVM in a very abstract manner
- What do you need to do this
- Use SVM software packages (e.g. liblinear, libsvm) to solve parameters θ
- Need to specify
- Choice of parameter C
- Choice of kernel
- We've looked at the Gaussian kernel
- Need to define σ (σ2)
- Discussed σ2
- When would you chose a Gaussian?
- If n is small and/or m is large
- e.g. 2D training set that's large
- If n is small and/or m is large
- If you're using a Gaussian kernel then you may need to implement the kernel function
- e.g. a function
fi = kernel(x1,x2)- Returns a real number
- Some SVM packages will expect you to define kernel
- Although, some SVM implementations include the Gaussian and a few others
- Gaussian is probably most popular kernel
- e.g. a function
- NB - make sure you perform feature scaling before using a Gaussian kernel
- If you don't features with a large value will dominate the f value
- Need to define σ (σ2)
- Could use no kernel - linear kernel
- Predict y = 1 if (θT x) >= 0
- So no f vector
- Get a standard linear classifier
- Why do this?
- If n is large and m is small then
- Lots of features, few examples
- Not enough data - risk overfitting in a high dimensional feature-space
- If n is large and m is small then
- Predict y = 1 if (θT x) >= 0
- Other choice of kernel
- Linear and Gaussian are most common
- Not all similarity functions you develop are valid kernels
- Must satisfy Merecer's Theorem
- SVM use numerical optimization tricks
- Mean certain optimizations can be made, but they must follow the theorem
- Polynomial Kernel
- We measure the similarity of x and l by doing one of
- (xT l)2
- (xT l)3
- (xT l+1)3
- General form is
- (xT l+Con)D
- If they're similar then the inner product tends to be large
- Not used that often
- Two parameters
-
- Degree of polynomial (D)
- Number you add to l (Con)
- Usually performs worse than the Gaussian kernel
- Used when x and l are both non-negative
- We measure the similarity of x and l by doing one of
- String kernel
- Used if input is text strings
- Use for text classification
- Chi-squared kernel
- Histogram intersection kernel
- Many packages have built in multi-class classification packages
- Otherwise use one-vs all method
- Not a big issue
- When should you use SVM and when is logistic regression more applicable
- If n (features) is large vs. m (training set)
-
- e.g. text classification problem
-
- Feature vector dimension is 10 000
- Training set is 10 - 1000
- Then use logistic regression or SVM with a linear kernel
- If n is small and m is intermediate
- n = 1 - 1000
- m = 10 - 10 000
- Gaussian kernel is good
- If n is small and m is large
- n = 1 - 1000
- m = 50 000+
- SVM will be slow to run with Gaussian kernel
- In that case
- Manually create or add more features
- Use logistic regression of SVM with a linear kernel
- Logistic regression and SVM with a linear kernel are pretty similar
- Do similar things
- Get similar performance
- A lot of SVM's power is using diferent kernels to learn complex non-linear functions
- For all these regimes a well designed NN should work
- But, for some of these problems a NN might be slower - SVM well implemented would be faster
- SVM has a convex optimization problem - so you get a global minimum
- It's not always clear how to chose an algorithm
- Often more important to get enough data
- Designing new features
- Debugging the algorithm
- SVM is widely perceived a very powerful learning algorithm