1 多元线性回归
更一般的情况,数据集 \(D\) 的样本由 \(d\) 个属性描述,此时我们试图学得
\[f(\boldsymbol{x}_i) = \boldsymbol{w}^T\boldsymbol{x}_i+b \text{,使得} f(\boldsymbol{x}_i) \simeq y_i
\]
称为多元线性回归(multivariate linear regression)或多变量线性回归。
类似的,使用最小二乘法估计 \(\boldsymbol{w}\) 和 \(b\)。
由 \(f(\boldsymbol{x}_i) = \boldsymbol{w}^T\boldsymbol{x}_i+b\) 知:
\[f(\boldsymbol{x}_1) = w_1x_{11} + w_2x_{12} + ... + w_dx_{1d} + b \\
f(\boldsymbol{x}_2) = w_1x_{21} + w_2x_{22} + ... + w_dx_{2d} + b \\
... ... \\
f(\boldsymbol{x}_m) = w_1x_{m1} + w_2x_{m2} + ... + w_dx_{md} + b \\
\]
我们记
\[\hat{\boldsymbol{w}} = (\boldsymbol{w};b) = \begin{pmatrix}w_1\\w_2\\ \vdots \\w_d\\b\end{pmatrix}
\]
\[\boldsymbol{X} =\begin{pmatrix}
x_{11} & x_{12} & \cdots & x_{1d} & 1 \\
x_{21} & x_{22} & \cdots & x_{2d} & 1 \\
\vdots & \vdots & \ddots & \vdots & \vdots \\
x_{m1} & x_{m2} & \cdots & x_{md} & 1
\end{pmatrix}
=\begin{pmatrix}
\boldsymbol{x}_1^T & 1 \\
\boldsymbol{x}_2^T & 1 \\
\vdots & \vdots \\
\boldsymbol{x}_m^T & 1
\end{pmat