Statistics Machine Learning Python

Statistics and Machine Learning in
Python
Release 0.7
Edouard Duchesnay, Tommy Löfstedt, Feki Younes
Oct 06, 2024

CONTENTS
1 Introduction 1
1.1 Introduction to Python language . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Python ecosystem for data-science . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 Development Environment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.4 Package & Environments Dependency Management . . . . . . . . . . . . . . . . 4
1.5 Development with Integrated Development Environment (IDE) and JupyterLab . 8
2 Python Language 11
2.1 Import libraries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.2 Basic operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.3 Data types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.4 Execution control statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.5 List comprehensions, iterators, etc. . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.6 Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
2.7 Regular expression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.8 System programming . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.9 Scripts and argument parsing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
2.10 Networking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
2.11 Object Oriented Programming (OOP) . . . . . . . . . . . . . . . . . . . . . . . . 42
2.12 Style guide for Python programming . . . . . . . . . . . . . . . . . . . . . . . . . 43
2.13 Documenting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
2.14 Modules and packages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
2.15 Unit testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
2.16 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
3 Data Manipulation and Visualization 51

3.1 Numpy: Arrays and Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
3.2 Pandas: data manipulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
3.3 Data visualization: matplotlib & seaborn . . . . . . . . . . . . . . . . . . . . . . . 76
4 Numerical Methods in Python 89

4.1 Numerical Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
4.2 Numerical Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
4.3 Time Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
4.4 Optimization (Minimization) by Gradient Descent . . . . . . . . . . . . . . . . . 116
5 Statistics 135
5.1 Univariate Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
5.2 Lab: Brain volumes study . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182
i
5.3 Linear Mixed Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194
5.4 Multivariate Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
5.5 Resampling and Monte Carlo Methods . . . . . . . . . . . . . . . . . . . . . . . . 218
6 Machine Learning 229

6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
6.2 Linear Dimensionality Reduction and Feature Extraction . . . . . . . . . . . . . . 229
6.3 Manifold learning: non-linear dimension reduction . . . . . . . . . . . . . . . . . 243
6.4 Clustering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
6.5 Linear models for regression problems . . . . . . . . . . . . . . . . . . . . . . . . 256
6.6 Linear models for classification problems . . . . . . . . . . . . . . . . . . . . . . 270
6.7 Non-linear models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287
6.8 Resampling methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293
6.9 Ensemble learning: bagging, boosting and stacking . . . . . . . . . . . . . . . . . 308
6.10 Lab: Faces recognition using various learning models . . . . . . . . . . . . . . . . 323
7 Deep Learning: Introduction 345

7.1 Backpropagation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345
7.2 Multilayer Perceptron (MLP) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 356
8 Deep Learning for Computer Vision 371

8.1 Convolutional neural network . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371
8.2 Transfer Learning Tutorial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
9 Natural Language Processing 397

9.1 Bag-of-Words Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397
10 Indices and tables 411
ii
CHAPTER
ONE
INTRODUCTION
Important links:
• Web page
• Github
• Latest pdf
• Official deposit for citation.
1.1 Introduction to Python language
1.1.1 Python main features
• Python is popular Google trends (Python vs. R, Matlab, SPSS, Stata).

• Python is interpreted: source files .py are executed by the interpreter which is executed
by the processor. Conversely, to interpreted languages, compiled languages, such as C or
C++, rely on two steps: (i) source files are compiled into a binary program. (ii) binaries
are executed by the CPU. directly.
• Python integrates an automatic memory management mechanism: the Garbage Collector
(GC). (do not prevent from memory leak).
• Python is a dynamically-typed language (Java is statically typed).
• Efficient data manipulation is obtained using libraries (Numpy, Scipy, Pytroch) executed
in compiled code.
1.1.2 Development process
Edit python file then execute

1. Write python file, file.py using any text editor:
a = 1
b = 2
print("Hello world")
2. Run with python interpreter. On the dos/unix command line execute wholes file:
1
Statistics and Machine Learning in Python, Release 0.7
python file.py
Interactive mode
1. python interpreter:
python
Quite with CTL-D

2. ipython: advanced interactive python interpreter:
ipython
Quite with CTL-D
1.2 Python ecosystem for data-science
Numpy: Basic numerical operation and matrix operation
import numpy as np
X = np.array([[1, 2], [3, 4]])
v = np.array([1, 2])
np.dot(X, v)
X - X.mean(axis=0)
Scipy: General scientific libraries with advanced matrix operation and solver
import scipy
import scipy.linalg
scipy.linalg.svd(X, full_matrices=False)
2 Chapter 1. Introduction
Pandas: Manipulation of structured data (tables). Input/output excel files, etc.
import pandas as pd
data = pandas.read_excel("datasets/iris.xls")
print(data.head())
Out[8]:
sepal_length sepal_width petal_length petal_width species
0 5.1 3.5 1.4 0.2 setosa
1 4.9 3.0 1.4 0.2 setosa
2 4.7 3.2 1.3 0.2 setosa
3 4.6 3.1 1.5 0.2 setosa
4 5.0 3.6 1.4 0.2 setosa
Matplotlib: visualization (low level primitives)
import numpy as np
import matplotlib.pyplot as plt
#%matplotlib qt
x = np.linspace(0, 10, 50)
sinus = np.sin(x)
plt.plot(x, sinus)
plt.show()
Seaborn: Data visualization (high level primitives for statistics)

See Example gallery
Statsmodel Advanced statistics (linear models, time series, etc.)
Scikit-learn Machine learning: non-deep learning models and toolbox to be combined with
other learning models (Pytorch, etc.).
Pytorch for deep learning.
1.3 Development Environment
A typical Python development environment consists of several key components, which work
together to facilitate coding, testing, and debugging. Here are the main components:
1. Python Interpreter. The core of any Python development environment is the Python inter-
preter (e.g., Python 3.x). It runs Python code and converts it into machine-readable form.
You can download it from python.org.
2. Text Editor or Integrated Development Environment (IDE) or jupyter-notebook.
• Text Editors: Lightweight editors like Sublime Text, Atom, or VS Code offer basic text
editing with syntax highlighting and extensions for Python development.
• IDEs: Full-featured IDEs like PyCharm, VS Code (with Python extensions), or Spy-
der offer advanced features like code completion, debugging, project management,
version control, and testing integrations.
3. Package Manager & Dependency Management
• pip: The default Python package manager, which allows you to install, upgrade, and
manage external libraries and dependencies.
1.3. Development Environment 3

• Conda: An alternative package and environment manager, often used in data science
for managing dependencies and virtual environments.
• Pixi is a fast software package manager built on top of the existing conda ecosystem.
• Conda & Pixi: provide the Python Interpreter.
4. Virtual Environment Manager
• Virtual environments allow you to create isolated environments for different projects,
preventing conflicts between different project dependencies. Tools include:
• venv (python module): Built-in module to create virtual environments.
• virtualenv: Another popular tool for creating isolated environments.
• Conda & Pixi: Manages both packages and environments.
5. Version Control System
• Git: Essential for source control, collaboration, and version management. Platforms
like GitHub, GitLab, and Bitbucket integrate Git for remote repository management.
IDEs often have built-in Git support or plugins that make using Git seamless.
6. Debugger
• Python has a built-in debugger called pdb.
• Most IDEs, like PyCharm or VS Code, offer graphical debugging tools with features
like breakpoints, variable inspection, and step-through execution.
7. Testing Framework
• Tools like unittest (built-in), pytest, or nose2 help automate testing and ensure code
quality.
• IDEs often integrate testing frameworks to run and debug tests efficiently.
8. Documentation Tools
• Tools like Sphinx or pdoc help generate documentation from your code, making it
easier for other developers (and your future self) to understand.
9. Containers (Optional)
• Docker: Used to create isolated, reproducible development environments and ensure
consistency between development and production environments.
1.4 Package & Environments Dependency Management
1.4.1 Pixi Package and Environment Manager
Pixi is a modern package management tool designed to enhance the experience of managing
Python environments particularly for data science and machine learning workflows. It aims
to improve upon the existing tools like Conda by offering faster and more efficient package
management:
• 7 Reasons to Switch from Conda to Pixi.
• Transitioning from the conda or mamba to pixi
• Tutorial for python.

Installation
Linux & macOS
curl -fsSL https://pixi.sh/install.sh | bash
Windows
iwr -useb https://pixi.sh/install.ps1 | iex
Uninstall
Creating an Environment, then add python, and packages
pixi init myenv

cd myenv
pixi add python=3.8
pixi add scikit-learn pandas statsmodels seaborn
pixi add spyder spyder-kernels
Example with pystatsml, After downloading pystatsml repository:
git clone https://github.com/duchesnay/pystatsml.git

cd pystatsml
Install dependencies contained in pixi.toml file (within the project directory)
pixi install
Activate an environment (within the project directory)
pixi shell
What’s in the environment?
pixi list
Deactivating an environment
exit
Install/uninstall a package
pixi add numpy

pixi remove numpy
1.4. Package & Environments Dependency Management 5

1.4.2 Anaconda and Conda Environments
Anaconda is a python distribution that ships most of python tools and libraries.
Installation
1. Download anaconda
2. Install it, on Linux
bash Anaconda3-2.4.1-Linux-x86_64.sh
3. Add anaconda path in your PATH variable (For Linux in your .bashrc file), example:
export PATH="${HOME}/anaconda3/bin:$PATH"
Conda environments
• A Conda environments contains a specific collection of conda packages that you have
installed.
• Control packages environment for a specific purpose: collaborating with someone else,
delivering an application to your client,
• Switch between environments
Creating an environment. Example, environment_student.yml:
name: pystatsml
channels:
- conda-forge
dependencies:
- ipython
- scipy
- numpy
- pandas>=2.0.3
- jupyter
- matplotlib
- scikit-learn>=1.3.0
- seaborn
- statsmodels>=0.14.0
- torchvision
- skorch
Create the environment (go have a coffee):
conda env create -f pystatsml.yml
List of all environments. Activate/deactivate an environment:
conda env list

conda activate pystatsml
conda deactivate
Updating an environment (additional or better package, remove packages). Update the contents
of your environment.yml file accordingly and then run the following command:
conda env update --file pystatsml.yml --prune
List all packages or search for a specific package in the current environment:
conda list
conda list numpy
Search for available versions of package in an environment:
conda search -f numpy
Install new package in an environment:
conda install numpy
Delete an environment:
conda remove -n pystatsml --all
Miniconda
Anaconda without the collection of (>700) packages. With Miniconda you download only the
packages you want with the conda command: conda install PACKAGENAME
1. Download Miniconda
2. Install it, on Linux:
bash Miniconda3-latest-Linux-x86_64.sh
3. Add anaconda path in your PATH variable in your .bashrc file:
export PATH=${HOME}/miniconda3/bin:$PATH
4. Install required packages:
conda install -y scipy

conda install -y pandas
conda install -y matplotlib
conda install -y statsmodels
conda install -y scikit-learn
conda install -y spyder
conda install -y jupyter
1.4. Package & Environments Dependency Management 7

1.4.3 Pip
pip alternative for packages management (update -U in user directory --user):
pip install -U --user seaborn
Example:
pip install -U --user nibabel

pip install -U --user nilearn
1.5 Development with Integrated Development Environment (IDE) and

JupyterLab
Integrated Development Environment (IDE) are software development environment that pro-
vide:
• Source-code editor (auto-completion, etc.).
• Execution facilities (interactive, etc.).
• Debugger.
1.5.1 Visual Studio Code (VS Code)
Setup:
• Installation.
• Tuto for Linux.
• Useful settings for python: VS Code for python
• Extensions for data-science in python: Python, Jupyter, Python Extension Pack, Python
Pylance, Path Intellisense
Execution, three possibilities:
1. Run Python file
2. Interactive execution in python interpreter, type: Shift/Enter
3. Interactive execution in Jupyter:
• Install Jupyter Extension (cube icon / type jupyter / Install).
• Optional, Shift/Enter will send selected text to interactive Jupyter notebook: in
settings (gear wheel or CTL,: press control and comma keys), check box: Jupyter >
Interactive Window Text Editor > Execute Selection
Remote Development using SSH
1. Setup ssh to hostname
2. Select Remote-SSH: Connect to Host. . . from the Command Palette (F1, Ctrl+Shift+P)
and use the same user@hostname as in step 1
3. Remember hosts: (F1, Ctrl+Shift+P): Remote-SSH: Add New SSH Host or clicking on
the Add New icon in the SSH Remote Explorer in the Activity Bar
1.5.2 Spyder
Spyder is a basic IDE dedicated to data-science.

• Syntax highlighting.
• Code introspection for code completion (use TAB).
• Support for multiple Python consoles (including IPython).
• Explore and edit variables from a GUI.
• Debugging.
• Navigate in code (go to function definition) CTL.
Shortcuts: - F9 run line/selection
1.5.3 JupyterLab (Jupyter Notebook)
JupyterLab allows data scientists to create and share document, ie, Jupyter Notebook. A Note-
book is that is a document .ipynb including:
• Python code, text, figures (plots), equations, and other multimedia resources.
• The Notebook allows interactive execution of blocs of codes or text.
• Notebook is edited using a Web browsers and it is executed by (possibly remote) IPython
kernel.
jupyter notebook
New/kernel
Advantages:
• Rapid and one shot data analysis
• Share all-in-one data analysis documents: inluding code, text and figures
Drawbacks (source):
• Difficult to maintain and keep in sync when collaboratively working on code.
• Difficult to operationalize your code when using Jupyter notebooks as they don’t feature
any built-in integration or tools for operationalizing your machine learning models.
• Difficult to scale: Jupyter notebooks are designed for single-node data science. If your
data is too big to fit in your computer’s memory, using Jupyter notebooks becomes signif-
icantly more difficult.
1.5. Development with Integrated Development Environment (IDE) and JupyterLab 9

CHAPTER
TWO
PYTHON LANGUAGE
Source Kevin Markham
2.1 Import libraries
‘generic import’ of math module
import math
math.sqrt(25)
5.0
import a function
from math import sqrt

sqrt(25) # no longer have to reference the module
5.0
import multiple functions at once
from math import sqrt, exp
import all functions in a module (strongly discouraged)

from os import *
define an alias
import nltk
import numpy as np
np.sqrt(9)
np.float64(3.0)
show all functions in math module
content = dir(math)
11
2.2 Basic operations
Numbers
10 + 4 # add (returns 14)

10 - 4 # subtract (returns 6)
10 * 4 # multiply (returns 40)
10 ** 4 # exponent (returns 10000)
10 / 4 # divide (returns 2 because both types are 'int')
10 / float(4) # divide (returns 2.5)
5 % 4 # modulo (returns 1) - also known as the remainder
10 / 4 # true division (returns 2.5)
10 // 4 # floor division (returns 2)
Boolean operations
comparisons (these return True)
5 > 3
5 >= 3
5 != 3
5 == 5
True
Boolean operations (these return True)
5 > 3 and 6 > 3

5 > 3 or 5 < 3
not False
False or not False and True # evaluation order: not, and, or
True
2.3 Data types
Determine the type of an object
type(2) # returns 'int'

type(2.0) # returns 'float'
type('two') # returns 'str'
type(True) # returns 'bool'
type(None) # returns 'NoneType'
Check if an object is of a given type
isinstance(2.0, int) # returns False

isinstance(2.0, (int, float)) # returns True
12 Chapter 2. Python Language

True
Convert an object to a given type
float(2)
int(2.9)
str(2.9)
'2.9'
zero, None, and empty containers are converted to False
bool(0)
bool(None)
bool('') # empty string
bool([]) # empty list
bool({}) # empty dictionary
False
Non-empty containers and non-zeros are converted to True
bool(2)
bool('two')
bool([2])
True
2.3.1 Lists
Different objects categorized along a certain ordered sequence, lists are ordered, iterable, mu-
table (adding or removing objects changes the list size), can contain multiple data types.
Creation
Empty list (two ways)
empty_list = []
empty_list = list()
List with values
simpsons = ['homer', 'marge', 'bart']
Examine a list
simpsons[0] # print element 0 ('homer')

len(simpsons) # returns the length (3)
2.3. Data types 13

Modify a list (does not return the list)

Append
simpsons.append('lisa') # append element to end

simpsons.extend(['itchy', 'scratchy']) # append multiple elements to end
# insert element at index 0 (shifts everything right)
Insert
simpsons.insert(0, 'maggie')
# searches for first instance and removes it
Remove
simpsons.remove('bart')
simpsons.pop(0) # removes element 0 and returns it
# removes element 0 (does not return it)
del simpsons[0]
simpsons[0] = 'krusty' # replace element 0
Concatenate lists (slower than ‘extend’ method)
neighbors = simpsons + ['ned', 'rod', 'todd']
Replicate
rep = ["a"] * 2 + ["b"] * 3
Find elements in a list
'lisa' in simpsons
simpsons.count('lisa') # counts the number of instances
simpsons.index('itchy') # returns index of first instance
List slicing (selection) [start:end:stride]
weekdays = ['mon', 'tues', 'wed', 'thurs', 'fri']

weekdays[0] # element 0
weekdays[0:3] # elements 0, 1, 2
weekdays[:3] # elements 0, 1, 2
weekdays[3:] # elements 3, 4
weekdays[-1] # last element (element 4)
weekdays[::2] # every 2nd element (0, 2, 4)
['mon', 'wed', 'fri']
Reverse list

weekdays[::-1] # backwards (4, 3, 2, 1, 0)

# alternative method for returning the list backwards
list(reversed(weekdays))
['fri', 'thurs', 'wed', 'tues', 'mon']
Sort list
Sort a list in place (modifies but does not return the list)
simpsons.sort()
simpsons.sort(reverse=True) # sort in reverse
simpsons.sort(key=len) # sort by a key
Return a sorted list (but does not modify the original list)
sorted(simpsons)
sorted(simpsons, reverse=True)
sorted(simpsons, key=len)
['lisa', 'itchy', 'krusty', 'scratchy']
2.3.2 Tuples
Like lists, but their size cannot change: ordered, iterable, immutable, can contain multiple data
types
# create a tuple
digits = (0, 1, 'two') # create a tuple directly
digits = tuple([0, 1, 'two']) # create a tuple from a list
# trailing comma is required to indicate it's a tuple
zero = (0,)
# examine a tuple
digits[2] # returns 'two'
len(digits) # returns 3
digits.count(0) # counts the number of instances of that value (1)
digits.index(1) # returns the index of the first instance of that value (1)
# elements of a tuple cannot be modified

# digits[2] = 2 # throws an error
# concatenate tuples
digits = digits + (3, 4)
# create a single tuple with elements repeated (also works with lists)
(3, 4) * 2 # returns (3, 4, 3, 4)
# tuple unpacking
bart = ('male', 10, 'simpson') # create a tuple
2.3. Data types 15

2.3.3 Strings
A sequence of characters, they are iterable, immutable
# create a string
s = str(42) # convert another data type into a string
s = 'I like you'
# examine a string
s[0] # returns 'I'
len(s) # returns 10
# string slicing like lists

s[:6] # returns 'I like'
s[7:] # returns 'you'
s[-1] # returns 'u'
# basic string methods (does not modify the original string)

s.lower() # returns 'i like you'
s.upper() # returns 'I LIKE YOU'
s.startswith('I') # returns True
s.endswith('you') # returns True
s.isdigit() # returns False (True if every character is a digit)
s.find('like') # returns index of first occurrence
s.find('hate') # returns -1 since not found
s.replace('like', 'love') # replaces all instances of 'like' with 'love'
# split a string into a list of substrings separated by a delimiter

s.split(' ') # returns ['I','like','you']
s.split() # same thing
s2 = 'a, an, the'
s2.split(',') # returns ['a',' an',' the']
# join a list of strings into one string using a delimiter

stooges = ['larry', 'curly', 'moe']
' '.join(stooges) # returns 'larry curly moe'
# concatenate strings
s3 = 'The meaning of life is'
s4 = '42'
s3 + ' ' + s4 # returns 'The meaning of life is 42'
s3 + ' ' + str(42) # same thing
# remove whitespace from start and end of a string

s5 = ' ham and cheese '
s5.strip() # returns 'ham and cheese'
'ham and cheese'
Strings formatting

# string substitutions: all of these return 'raining cats and dogs'

'raining %s and %s' % ('cats', 'dogs') # old way
'raining {} and {}'.format('cats', 'dogs') # new way
'raining {arg1} and {arg2}'.format(arg1='cats', arg2='dogs') # named arguments
# String formatting
# See: https://realpython.com/python-formatted-output/
# Old method
print('6 %s' % 'bananas')
print('%d %s cost $%.1f' % (6, 'bananas', 3.14159))
# Format method positional arguments

print('{0} {1} cost ${2:.1f}'.format(6, 'bananas', 3.14159))
6 bananas
6 bananas cost $3.1
6 bananas cost $3.1
Strings encoding
Normal strings allow for escaped characters. The default strings use unicode string (u string)
print('first line\nsecond line') # or

print(u'first line\nsecond line')
print('first line\nsecond line' == u'first line\nsecond line')
first line
second line
first line
second line
True
Raw strings treat backslashes as literal characters
print(r'first line\nfirst line')

print('first line\nsecond line' == r'first line\nsecond line')
first line\nfirst line

False
Sequence of bytes are not strings, should be decoded before some operations
s = b'first line\nsecond line'

print(s)
print(s.decode('utf-8').split())
b'first line\nsecond line'

['first', 'line', 'second', 'line']
2.3. Data types 17

2.3.4 Dictionaries
Dictionary is the must-known data structure. Dictionaries are structures which can contain
multiple data types, and is ordered with key-value pairs: for each (unique) key, the dictionary
outputs one value. Keys can be strings, numbers, or tuples, while the corresponding values can
be any Python object. Dictionaries are: unordered, iterable, mutable
Creation
# Empty dictionary (two ways)

empty_dict = {}
empty_dict = dict()
simpsons_roles_dict = {'Homer': 'father', 'Marge': 'mother',

'Bart': 'son', 'Lisa': 'daughter', 'Maggie': 'daughter'}
simpsons_roles_dict = dict(Homer='father', Marge='mother',

Bart='son', Lisa='daughter', Maggie='daughter')
simpsons_roles_dict = dict([('Homer', 'father'), ('Marge', 'mother'),

('Bart', 'son'), ('Lisa', 'daughter'), ('Maggie',
˓→'daughter')])
print(simpsons_roles_dict)
{'Homer': 'father', 'Marge': 'mother', 'Bart': 'son', 'Lisa': 'daughter', 'Maggie

˓→': 'daughter'}
Access
# examine a dictionary
simpsons_roles_dict['Homer'] # 'father'
len(simpsons_roles_dict) # 5
simpsons_roles_dict.keys() # list: ['Homer', 'Marge', ...]
simpsons_roles_dict.values() # list:['father', 'mother', ...]
simpsons_roles_dict.items() # list of tuples: [('Homer', 'father') ...]
'Homer' in simpsons_roles_dict # returns True
'John' in simpsons_roles_dict # returns False (only checks keys)
# accessing values more safely with 'get'

simpsons_roles_dict['Homer'] # returns 'father'
simpsons_roles_dict.get('Homer') # same thing
try:
simpsons_roles_dict['John'] # throws an error
except KeyError as e:
print("Error", e)
simpsons_roles_dict.get('John') # None
# returns 'not found' (the default)
simpsons_roles_dict.get('John', 'not found')

Error 'John'
'not found'
Modify a dictionary (does not return the dictionary)
simpsons_roles_dict['Snowball'] = 'dog' # add a new entry

simpsons_roles_dict['Snowball'] = 'cat' # add a new entry
simpsons_roles_dict['Snoop'] = 'dog' # edit an existing entry
del simpsons_roles_dict['Snowball'] # delete an entry
simpsons_roles_dict.pop('Snoop') # removes and returns ('dog')

simpsons_roles_dict.update(
{'Mona': 'grandma', 'Abraham': 'grandpa'}) # add multiple entries
print(simpsons_roles_dict)
{'Homer': 'father', 'Marge': 'mother', 'Bart': 'son', 'Lisa': 'daughter', 'Maggie

˓→': 'daughter', 'Mona': 'grandma', 'Abraham': 'grandpa'}
Intersecting two dictionaries
simpsons_ages_dict = {'Homer': 45, 'Marge': 43,

'Bart': 11, 'Lisa': 10, 'Maggie': 1}
print(simpsons_roles_dict.keys() & simpsons_ages_dict.keys())
inter = simpsons_roles_dict.keys() & simpsons_ages_dict.keys()
l = list()
for n in inter:
l.append([n, simpsons_ages_dict[n], simpsons_roles_dict[n]])
[[n, simpsons_ages_dict[n], simpsons_roles_dict[n]] for n in inter]
{'Homer', 'Bart', 'Lisa', 'Maggie', 'Marge'}
[['Homer', 45, 'father'], ['Bart', 11, 'son'], ['Lisa', 10, 'daughter'], ['Maggie
˓→', 1, 'daughter'], ['Marge', 43, 'mother']]
String substitution using a dictionary: syntax %(key)format, where format is the formatting
character e.g. s for string.
print('Homer is the %(Homer)s of the family' % simpsons_roles_dict)
Homer is the father of the family
2.3. Data types 19

2.3.5 Sets
Like dictionaries, but with unique keys only (no corresponding values). They are: unordered, it-
erable, mutable, can contain multiple data types made up of unique elements (strings, numbers,
or tuples)
Creation
# create an empty set

empty_set = set()
# create a set
languages = {'python', 'r', 'java'} # create a set directly
snakes = set(['cobra', 'viper', 'python']) # create a set from a list
Examine a set
len(languages) # 3
'python' in languages # True
True
Set operations
languages & snakes # intersection: {'python'}

languages | snakes # union: {'cobra', 'r', 'java', 'viper', 'python'}
languages - snakes # set difference: {'r', 'java'}
snakes - languages # set difference: {'cobra', 'viper'}
# modify a set (does not return the set)

languages.add('sql') # add a new element
# try to add an existing element (ignored, no error)
languages.add('r')
languages.remove('java') # remove an element
try:
languages.remove('c') # remove a non-existing element: throws an error
except KeyError as e:
print("Error", e)
# removes an element if present, but ignored otherwise

languages.discard('c')
languages.pop() # removes and returns an arbitrary element
languages.clear() # removes all elements
languages.update('go', 'spark') # add multiple elements (list or set)
# get a sorted list of unique elements from a list

sorted(set([9, 0, 2, 1, 0])) # returns [0, 1, 2, 9]
Error 'c'
[0, 1, 2, 9]

2.4 Execution control statements
2.4.1 Conditional statements
if statement
x = 3
if x > 0:
print('positive')
positive
if/else statement
if x > 0:
print('positive')
else:
print('zero or negative')
positive
Single-line if/else statement, known as a ‘ternary operator’
sign = 'positive' if x > 0 else 'zero or negative'

print(sign)
positive
if/elif/else statement
if x > 0:
print('positive')
elif x == 0:
print('zero')
else:
print('negative')
positive
2.4.2 Loops
Loops are a set of instructions which repeat until termination conditions are met. This can
include iterating through all values in an object, go through a range of values, etc
# range returns a list of integers

# returns [0, 1, 2]: includes first value but excludes second value
range(0, 3)
range(3) # same thing: starting at zero is the default
range(0, 5, 2) # returns [0, 2, 4]: third argument specifies the 'stride'
2.4. Execution control statements 21

range(0, 5, 2)
Iterate on list values
fruits = ['Apple', 'Banana', 'cherry']

for fruit in fruits:
print(fruit.upper())
APPLE
BANANA
CHERRY
Iterate with index
for i in range(len(fruits)):
print(fruits[i].lower())
apple
banana
cherry
Iterate with index and values: enumerate
for i, val in enumerate(fruits):

print(i, val.upper())
# Use range when iterating over a large sequence to avoid actually

# creating the integer list in memory
v = 0
for i in range(10 ** 6):
v += 1
0 APPLE
1 BANANA
2 CHERRY
2.5 List comprehensions, iterators, etc.
2.5.1 List comprehensions
List comprehensions provides an elegant syntax for the most common processing pattern:
1. iterate over a list,
2. apply some operation
3. store the result in a new list
Classical iteration over a list

nums = [1, 2, 3, 4, 5]
cubes = []
for num in nums:
cubes.append(num ** 3)
Equivalent list comprehension
cubes = [num**3 for num in nums] # [1, 8, 27, 64, 125]
Classical iteration over a list with if condition: create a list of cubes of even numbers
cubes_of_even = []
for num in nums:
if num % 2 == 0:
cubes_of_even.append(num**3)
Equivalent list comprehension with if condition syntax: [expression for variable in

iterable if condition]
cubes_of_even = [num**3 for num in nums if num % 2 == 0] # [8, 64]
Classical iteration over a list with if else condition: for loop to cube even numbers and square
odd numbers
cubes_and_squares = []
for num in nums:
if num % 2 == 0:
cubes_and_squares.append(num**3)
else:
cubes_and_squares.append(num**2)
Equivalent list comprehension (using a ternary expression) for loop to cube even numbers
and square odd numbers syntax: [true_condition if condition else false_condition for
variable in iterable]
cubes_and_squares = [num**3 if num % 2 == 0 else num**2 for num in nums]

print(cubes_and_squares)
[1, 8, 9, 64, 25]
Nested loops: flatten a 2d-matrix
matrix = [[1, 2], [3, 4]]

items = []
for row in matrix:
for item in row:
items.append(item)
Equivalent list comprehension with Nested loops
2.5. List comprehensions, iterators, etc. 23

items = [item for row in matrix

for item in row]
print(items)
[1, 2, 3, 4]
2.5.2 Set comprehension
fruits = ['apple', 'banana', 'cherry']

unique_lengths = {len(fruit) for fruit in fruits}
print(unique_lengths)
{5, 6}
2.5.3 Dictionary comprehension
Create a dictionary from a list
fruit_lengths = {fruit: len(fruit) for fruit in fruits}

print(fruit_lengths)
{'apple': 5, 'banana': 6, 'cherry': 6}
Iterate over keys and values. Increase age of each subject:
simpsons_ages_ = {key: val + 1 for key, val in simpsons_ages_dict.items()}

print(simpsons_ages_)
{'Homer': 46, 'Marge': 44, 'Bart': 12, 'Lisa': 11, 'Maggie': 2}
Combine two dictionaries sharing key. Example, a function that joins two dictionaries (inter-
secting keys) into a dictionary of lists
simpsons_info_dict = {name: [simpsons_roles_dict[name], simpsons_ages_dict[name]]

for name in simpsons_roles_dict.keys() &
simpsons_ages_dict.keys()}
print(simpsons_info_dict)
{'Homer': ['father', 45], 'Bart': ['son', 11], 'Lisa': ['daughter', 10], 'Maggie
˓→': ['daughter', 1], 'Marge': ['mother', 43]}

2.5.4 Iterators itertools package
import itertools
Example: Cartesian product
print([[x, y] for x, y in itertools.product(['a', 'b', 'c'], [1, 2])])
[['a', 1], ['a', 2], ['b', 1], ['b', 2], ['c', 1], ['c', 2]]
2.5.5 Example, use loop, dictionary and set to count words in a sentence
quote = """Tick-tow
our incomes are like our shoes; if too small they gall and pinch us
but if too large they cause us to stumble and to trip
"""
words = quote.split()
len(words)
count = {word: 0 for word in set(words)}
for word in words:

count[word] += 1
# count[word] = count[word] + 1
print(count)
import numpy as np
freq_veq = np.array(list(count.values())) / len(words)
{'they': 2, 'too': 2, 'and': 2, 'like': 1, 'large': 1, 'stumble': 1, 'gall': 1,

˓→'incomes': 1, 'us': 2, 'cause': 1, 'trip': 1, 'Tick-tow': 1, 'to': 2, 'but': 1,
˓→'if': 2, 'small': 1, 'our': 2, 'are': 1, 'shoes;': 1, 'pinch': 1}
2.5.6 Exceptions handling
dct = dict(a=[1, 2], b=[4, 5])
key = 'c'
try:
dct[key]
except:
print("Key %s is missing. Add it with empty value" % key)
dct['c'] = []
print(dct)
2.5. List comprehensions, iterators, etc. 25

Key c is missing. Add it with empty value

{'a': [1, 2], 'b': [4, 5], 'c': []}
2.6 Functions
Functions are sets of instructions launched when called upon, they can have multiple input
values and a return value
Function with no arguments and no return values
def print_text():
print('this is text')
# call the function

print_text()
this is text
Function with one argument and no return values
def print_this(x):
print(x)
# call the function

print_this(3) # prints 3
n = print_this(3) # prints 3, but doesn't assign 3 to n
# because the function has no return statement
print(n)
3
3
None
Dynamic typing
Important remarque: Python is a dynamically typed language, meaning that the Python in-
terpreter does type checking at runtime (as opposed to compiled language that are statically
typed). As a consequence, the function behavior, decided, at execution time, will be different
and specific to parameters type. Python function are polymorphic.
def add(a, b):

return a + b
print(add(2, 3), add("deux", "trois"), add(["deux", "trois"], [2, 3]))
5 deuxtrois ['deux', 'trois', 2, 3]

Default arguments
def power_this(x, power=2):

return x ** power
print(power_this(2), power_this(2, 3))
4 8
Docstring to describe the effect of a function IDE, ipython (type: ?power_this) to provide
function documentation.
def power_this(x, power=2):

"""Return the power of a number.
Args:
x (float): the number
power (int, optional): the power. Defaults to 2.
"""
return x ** power
Return several values as tuple
def min_max(nums):
return min(nums), max(nums)
# return values can be assigned to a single variable as a tuple

min_max_num = min_max([1, 2, 3]) # min_max_num = (1, 3)
# return values can be assigned into multiple variables using tuple unpacking
min_num, max_num = min_max([1, 2, 3]) # min_num = 1, max_num = 3
2.6.1 Reference and copy
References are used to access objects in memory, here lists. A single object may have multiple
references. Modifying the content of the one reference will change the content of all other
references.
Modify a a reference of a list
num = [1, 2, 3]
same_num = num # create a second reference to the same list
same_num[0] = 0 # modifies both 'num' and 'same_num'
print(num, same_num)
[0, 2, 3] [0, 2, 3]
Copies are references to different objects. Modifying the content of the one reference, will not
affect the others.
2.6. Functions 27
Modify a copy of a list
new_num = num.copy()
new_num = num[:]
new_num = list(num)
new_num[0] = -1 # modifies 'new_num' but not 'num'
print(num, new_num)
[0, 2, 3] [-1, 2, 3]
Examine objects
id(num) == id(same_num) # returns True

id(num) == id(new_num) # returns False
num is same_num # returns True
num is new_num # returns False
num == same_num # returns True
num == new_num # returns True (their contents are equivalent)
False
Functions’ arguments are references to objects. Thus functions can modify their arguments with
possible side effect.
def change(x, index, newval):

x[index] = newval
l = [0, 1, 2]
change(x=l, index=1, newval=33)
print(l)
[0, 33, 2]
2.6.2 Example: function, and dictionary comprehension
Example of a function join_dict_to_table(dict1, dict2) joining two dictionaries (intersect-

ing keys) into a table, i.e., a list of tuples, where the first column is the key, the second and third
columns are the values of the dictionaries.
simpsons_ages_dict = {'Homer': 45, 'Marge': 43, 'Bart': 11, 'Lisa': 10}

simpsons_roles_dict = {'Homer': 'father', 'Marge': 'mother', 'Bart': 'son',
'Maggie': 'daughter'}
def join_dict_to_table(dict1, dict2):

table = [[key] + [dict1[key], dict2[key]]
for key in dict1.keys() & dict2.keys()]
return table
print("Roles:", simpsons_roles_dict)
print("Ages:", simpsons_ages_dict)
(continues on next page)

(continued from previous page)

print("Join:", join_dict_to_table(simpsons_roles_dict,
simpsons_ages_dict))
Roles: {'Homer': 'father', 'Marge': 'mother', 'Bart': 'son', 'Maggie': 'daughter'}

Ages: {'Homer': 45, 'Marge': 43, 'Bart': 11, 'Lisa': 10}
Join: [['Marge', 'mother', 43], ['Bart', 'son', 11], ['Homer', 'father', 45]]
2.7 Regular expression
Regular Expression (RE, or RegEx) allow to search and patterns in strings. See this page for the
syntax of the RE patterns.
import re
Usual patterns
• . period symbol matches any single character (except newline ‘n’).
• pattern``+`` plus symbol matches one or more occurrences of the pattern.
• [] square brackets specifies a set of characters you wish to match
• [abc] matches a, b or c
• [a-c] matches a to z
• [0-9] matches 0 to 9
• [a-zA-Z0-9]+ matches words, at least one alphanumeric character (digits and alphabets)
• [\w]+ matches words, at least one alphanumeric character including underscore.
• \s Matches where a string contains any whitespace character, equivalent to [ tnrfv].
• [^\s] Caret ^ symbol (the start of a square-bracket) inverts the pattern selection .
# regex = re.compile("^.+(firstname:.+)_(lastname:.+)_(mod-.+)")
# regex = re.compile("(firstname:.+)_(lastname:.+)_(mod-.+)")
Compile (re.compile(string)) regular expression with a pattern that captures the pattern
firstname:<subject_id>_lastname:<session_id>
pattern = re.compile("firstname:[\w]+_lastname:[\w]+")
/home/ed203246/git/pystatsml/python_lang/python_lang.py:936: SyntaxWarning:␣
˓→invalid escape sequence '\w'
Match (re.match(string)) to be used in test, loop, etc. Determine if the RE matches at the
beginning of the string.
2.7. Regular expression 29

yes_ = True if pattern.match("firstname:John_lastname:Doe") else False

no_ = True if pattern.match("blahbla_firstname:John_lastname:Doe") else False
no2_ = True if pattern.match("OUPS-John_lastname:Doe") else False
print(yes_, no_, no2_)
True False False
Match (re.search(string)) to be used in test, loop, etc. Determine if the RE matches at any
location in the string.
yes_ = True if pattern.search("firstname:John_lastname:Doe") else False

yes2_ = True if pattern.search(
"blahbla_firstname:John_lastname:Doe") else False
no_ = True if pattern.search("OUPS-John_lastname:Doe") else False
print(yes_, yes2_, no_)
True True False
Find (re.findall(string)) all substrings where the RE matches, and returns them as a list.
# Find the whole pattern within the string

print(pattern.findall("firstname:John_lastname:Doe blah blah"))
# Find words
print(re.compile("[a-zA-Z0-9]+").findall("firstname:John_lastname:Doe"))
# Find words with including underscore

print(re.compile("[\w]+").findall("firstname:John_lastname:Doe"))
print(re.compile("[\w]+").findall("firstname:John_lastname:Doe"))
['firstname:John_lastname:Doe']
['firstname', 'John', 'lastname', 'Doe']
['firstname', 'John_lastname', 'Doe']
Extract specific parts of the RE: use parenthesis (part of pattern to be matched) Extract John
and Doe, such as John is suffixed with firstname: and Doe is suffixed with lastname:
pattern = re.compile("firstname:([\w]+)_lastname:([\w]+)")
print(pattern.findall("firstname:John_lastname:Doe \
firstname:Bart_lastname:Simpson"))


pattern = re.compile("firstname:([\w]+)_lastname:([\w]+)")
[('John', 'Doe'), ('Bart', 'Simpson')]
Split (re.split(string)) splits the string where there is a match and returns a list of strings
where the splits have occurred. Example, match any non alphanumeric character (digits and
alphabets) [â-zA-Z0-9] to split the string.
print(re.compile("[â-zA-Z0-9]").split("firstname:John_lastname:Doe"))
['firstname', 'John', 'lastname', 'Doe']
Substitute (re.sub(pattern, replace, string)) returns a string where matched occurrences

are replaced with the content of replace variable.
print(re.sub('\s', "_", "Sentence with white space"))

print(re.sub('\s+', "_", "Sentence with white space"))
˓→invalid escape sequence '\s'
print(re.sub('\s', "_", "Sentence with white space"))

print(re.sub('\s+', "_", "Sentence with white space"))

Sentence_with_white______space
Sentence_with_white_space
Remove all non-alphanumeric characters and space in a string
re.sub('[^0-9a-zA-Z\s]+', '', 'H^&ell`.,|o W]{+orld')
re.sub('[^0-9a-zA-Z\s]+', '', 'H^&ell`.,|o W]{+orld')
'Hello World'
2.8 System programming
2.8.1 Operating system interfaces (os)
import os
Get/set current working directory
# Get the current working directory

cwd = os.getcwd()
print(cwd)
2.8. System programming 31

# Set the current working directory

os.chdir(cwd)
/home/ed203246/git/pystatsml/python_lang
Temporary directory
import tempfile
tmpdir = tempfile.gettempdir()
print(tmpdir)
/tmp
Join paths
mytmpdir = os.path.join(tmpdir, "foobar")
Create a directory
os.makedirs(os.path.join(tmpdir, "foobar", "plop", "toto"), exist_ok=True)
# list containing the names of the entries in the directory given by path.
os.listdir(mytmpdir)
['plop']
2.8.2 File input/output
filename = os.path.join(mytmpdir, "myfile.txt")

print(filename)
lines = ["Dans python tout est bon", "Enfin, presque"]
/tmp/foobar/myfile.txt
Write line by line
fd = open(filename, "w")
fd.write(lines[0] + "\n")
fd.write(lines[1] + "\n")
fd.close()
Context manager to automatically close your file
with open(filename, 'w') as f:

for line in lines:
f.write(line + '\n')
Read read one line at a time (entire file does not have to fit into memory)

f = open(filename, "r")
f.readline() # one string per line (including newlines)
f.readline() # next line
f.close()
# read the whole file at once, return a list of lines

f = open(filename, 'r')
f.readlines() # one list, each line is one string
f.close()
# use list comprehension to duplicate readlines without reading entire file at␣
˓→once
f = open(filename, 'r')
[line for line in f]
f.close()
# use a context manager to automatically close your file

with open(filename, 'r') as f:
lines = [line for line in f]
2.8.3 Explore, list directories
Walk through directories and subdirectories os.walk(dir)
WD = os.path.join(tmpdir, "foobar")
for dirpath, dirnames, filenames in os.walk(WD):

print(dirpath, dirnames, filenames)
/tmp/foobar ['plop'] ['myfile.txt']

/tmp/foobar/plop ['toto'] []
/tmp/foobar/plop/toto [] []
Search for a file using a wildcard glob.glob(dir)
import glob
filenames = glob.glob(os.path.join(tmpdir, "*", "*.txt"))
print(filenames)
['/tmp/foobar/myfile.txt']
Manipulating file names, basename and extension
def split_filename_inparts(filename):
dirname_ = os.path.dirname(filename)
filename_noext_, ext_ = os.path.splitext(filename)
basename_ = os.path.basename(filename_noext_)
return dirname_, basename_, ext_

print(filenames[0], "=>", split_filename_inparts(filenames[0]))
/tmp/foobar/myfile.txt => ('/tmp/foobar', 'myfile', '.txt')
File operations: (recursive) copy, move, test if exists: shutil package
import shutil
Copy
src = os.path.join(tmpdir, "foobar", "myfile.txt")

dst = os.path.join(tmpdir, "foobar", "plop", "myfile.txt")
shutil.copy(src, dst)
print("copy %s to %s" % (src, dst))
copy /tmp/foobar/myfile.txt to /tmp/foobar/plop/myfile.txt
Test if file exists ?
print("File %s exists ?" % dst, os.path.exists(dst))
File /tmp/foobar/plop/myfile.txt exists ? True
Recursive copy,deletion and move
src = os.path.join(tmpdir, "foobar", "plop")

dst = os.path.join(tmpdir, "plop2")
try:
print("Copy tree %s under %s" % (src, dst))
# Note that by default (dirs_exist_ok=True), meaning that copy will fail
# if destination exists.
shutil.copytree(src, dst, dirs_exist_ok=True)
print("Delete tree %s" % dst)

shutil.rmtree(dst)
print("Move tree %s under %s" % (src, dst))

shutil.move(src, dst)
except (FileExistsError, FileNotFoundError) as e:
pass
Copy tree /tmp/foobar/plop under /tmp/plop2

Delete tree /tmp/plop2
Move tree /tmp/foobar/plop under /tmp/plop2

2.8.4 Command execution with subprocess
For more advanced use cases, the underlying Popen interface can be used directly.
import subprocess
subprocess.run([command, args*])
• Run the command described by args.
• Wait for command to complete
• return a CompletedProcess instance.
• Does not capture stdout or stderr by default. To do so, pass PIPE for the stdout and/or
stderr arguments.
p = subprocess.run(["ls", "-l"])
print(p.returncode)
Run through the shell
subprocess.run("ls -l", shell=True)
CompletedProcess(args='ls -l', returncode=0)
Capture output
out = subprocess.run(
["ls", "-a", "/"], stdout=subprocess.PIPE, stderr=subprocess.STDOUT)
# out.stdout is a sequence of bytes that should be decoded into a utf-8 string
print(out.stdout.decode('utf-8').split("\n")[:5])
['.', '..', 'bin', 'bin.usr-is-merged', 'boot']
2.8.5 Multiprocessing and multithreading
Difference between multiprocessing and multithreading is essential to perform efficient parallel

processing on multi-cores computers.
Multiprocessing
A process is a program instance that has been loaded into memory and managed
by the operating system. Process = address space + execution context (thread of
control)
• Process address space is made of (memory) segments for (i) code, (ii) data
(static/global), (iii) heap (dynamic memory allocation), and the execution
stack (functions’ execution context).
• Execution context consists of (i) data registers, (ii) Stack Pointer (SP), (iii)
Program Counter (PC), and (iv) working Registers.

OS Scheduling of processes: context switching (ie. save/load Execution context)

Pros/cons
• Context switching expensive.
• (potentially) complex data sharing (not necessary true).
• Cooperating processes - no need for memory protection (separate address
spaces).
• Relevant for parallel computation with memory allocation.
Multithreading
• Threads share the same address space (Data registers): access to code, heap
and (global) data.
• Separate execution stack, PC and Working Registers.
Pros/cons
• Faster context switching only SP, PC and Working Registers.
• Can exploit fine-grain concurrency
• Simple data sharing through the shared address space.
• But most of concurrent memory operations are serialized (blocked) by the
global interpreter lock (GIL). The GIL prevents two threads writing to the
same memory at the same time.
• Relevant for GUI, I/O (Network, disk) concurrent operation
In Python
• As long the GIL exists favor multiprocessing over multithreading
• Multithreading rely on threading module.
• Multiprocessing rely on multiprocessing module.
Example: Random forest
Random forest are the obtained by Majority vote of decision tree on estimated on bootstrapped
samples.
Toy dataset
import time
import numpy as np
from sklearn.datasets import make_classification
from sklearn.model_selection import train_test_split
from sklearn.tree import DecisionTreeClassifier
from sklearn.metrics import balanced_accuracy_score
# Toy dataset
X, y = make_classification(n_features=1000, n_samples=5000, n_informative=20,
random_state=1, n_clusters_per_class=3)
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.8,
random_state=42)

Random forest algorithm: (i) In parallel, fit decision trees on bootstrapped data samples. Make
predictions. (ii) Majority vote on predictions
1. In parallel, fit decision trees on bootstrapped data sample. Make predictions.
def boot_decision_tree(X_train, X_test, y_train, predictions_list=None):

N = X_train.shape[0]
boot_idx = np.random.choice(np.arange(N), size=N, replace=True)
clf = DecisionTreeClassifier(random_state=0)
clf.fit(X_train[boot_idx], y_train[boot_idx])
y_pred = clf.predict(X_test)
if predictions_list is not None:
predictions_list.append(y_pred)
return y_pred
Independent runs of decision tree, see variability of predictions
for i in range(5):
y_test_boot = boot_decision_tree(X_train, X_test, y_train)
print("%.2f" % balanced_accuracy_score(y_test, y_test_boot))
0.63
0.64
0.65
0.66
0.64
2. Majority vote on predictions
def vote(predictions):
maj = np.apply_along_axis(
lambda x: np.argmax(np.bincount(x)),
axis=1,
arr=predictions
)
return maj
Sequential execution
Sequentially fit decision tree on bootstrapped samples, then apply majority vote
nboot = 2
start = time.time()
y_test_boot = np.dstack([boot_decision_tree(X_train, X_test, y_train)
for i in range(nboot)]).squeeze()
y_test_vote = vote(y_test_boot)
print("Balanced Accuracy: %.2f" % balanced_accuracy_score(y_test, y_test_vote))
print("Sequential execution, elapsed time:", time.time() - start)
Balanced Accuracy: 0.63

Sequential execution, elapsed time: 1.1944975852966309
Multithreading

Concurrent (parallel) execution of the function with two threads.
from threading import Thread
predictions_list = list()
thread1 = Thread(target=boot_decision_tree,
args=(X_train, X_test, y_train, predictions_list))
thread2 = Thread(target=boot_decision_tree,
# Will execute both in parallel

start = time.time()
thread1.start()
thread2.start()
# Joins threads back to the parent process

thread1.join()
thread2.join()
# Vote on concatenated predictions

y_test_boot = np.dstack(predictions_list).squeeze()
print("Concurrent execution with threads, elapsed time:", time.time() - start)

Concurrent execution with threads, elapsed time: 0.6298990249633789
Multiprocessing
Concurrent (parallel) execution of the function with processes (jobs) executed in different ad-
dress (memory) space. Process-based parallelism
Process() for parallel execution and Manager() for data sharing
Sharing data between process with Managers Therefore, sharing data requires specific mech-
anism using . Managers provide a way to create data which can be shared between different
processes, including sharing over a network between processes running on different machines.
A manager object controls a server process which manages shared objects.
from multiprocessing import Process, Manager
predictions_list = Manager().list()
p1 = Process(target=boot_decision_tree,
p2 = Process(target=boot_decision_tree,
# Will execute both in parallel

start = time.time()
p1.start()
p2.start()

# Joins processes back to the parent process

p1.join()
p2.join()

y_test_boot = np.dstack(predictions_list).squeeze()
print("Concurrent execution with processes, elapsed time:", time.time() - start)

Concurrent execution with processes, elapsed time: 0.6073751449584961
Pool() of workers (processes or Jobs) for concurrent (parallel) execution of multiples tasks.
Pool can be used when N independent tasks need to be executed in parallel, when there are
more tasks than cores on the computer.
1. Initialize a Pool(), map(), apply_async(), of P workers (Process, or Jobs), where P <
number of cores in the computer. Use cpu_count to get the number of logical cores in the
current system, See: Number of CPUs and Cores in Python.
2. Map N tasks to the P workers, here we use the function Pool.apply_async() that runs the
jobs asynchronously. Asynchronous means that calling pool.apply_async does not block
the execution of the caller that carry on, i.e., it returns immediately with a AsyncResult
object for the task.
that the caller (than runs the sub-processes) is not blocked by the to the process pool does not
block, allowing the caller that issued the task to carry on.# 3. Wait for all jobs to complete
pool.join() 4. Collect the results
from multiprocessing import Pool, cpu_count

# Numbers of logical cores in the current system.
# Rule of thumb: Divide by 2 to get nb of physical cores
njobs = int(cpu_count() / 2)
start = time.time()
ntasks = 12
pool = Pool(njobs)
# Run multiple tasks each with multiple arguments
async_results = [pool.apply_async(boot_decision_tree,
args=(X_train, X_test, y_train))
for i in range(ntasks)]
# Close the process pool & wait for all jobs to complete
pool.close()
pool.join()
# Collect the results

y_test_boot = np.dstack([ar.get() for ar in async_results]).squeeze()


print("Concurrent execution with processes, elapsed time:", time.time() - start)

Concurrent execution with processes, elapsed time: 1.8702690601348877
2.9 Scripts and argument parsing
Example, the word count script
import os
import os.path
import argparse
import re
import pandas as pd
if __name__ == "__main__":
# parse command line options
output = "word_count.csv"
parser = argparse.ArgumentParser()
parser.add_argument('-i', '--input',
help='list of input files.',
nargs='+', type=str)
parser.add_argument('-o', '--output',
help='output csv file (default %s)' % output,
type=str, default=output)
options = parser.parse_args()
if options.input is None :
parser.print_help()
raise SystemExit("Error: input files are missing")
else:
filenames = [f for f in options.input if os.path.isfile(f)]
# Match words
regex = re.compile("[a-zA-Z]+")
count = dict()
for filename in filenames:
fd = open(filename, "r")
for line in fd:
for word in regex.findall(line.lower()):
if not word in count:
count[word] = 1


else:
count[word] += 1
fd = open(options.output, "w")
# Pandas
df = pd.DataFrame([[k, count[k]] for k in count], columns=["word", "count"])
df.to_csv(options.output, index=False)
2.10 Networking
# TODO
2.10.1 FTP
FTP with ftplib
import ftplib
ftp = ftplib.FTP("ftp.cea.fr")
ftp.login()
ftp.cwd('/pub/unati/people/educhesnay/pystatml')
ftp.retrlines('LIST')
fd = open(os.path.join(tmpdir, "README.md"), "wb")

ftp.retrbinary('RETR README.md', fd.write)
fd.close()
ftp.quit()
-rwxrwxr-x 1 ftp ftp 3019 Oct 16 2019 README.md

-rwxrwxr-x 1 ftp ftp 10672252 Dec 18 2020␣
˓→StatisticsMachineLearningPython.pdf
-rwxrwxr-x 1 ftp ftp 9676120 Nov 12 2020␣

˓→StatisticsMachineLearningPythonDraft.pdf
-rwxrwxr-x 1 ftp ftp 9798485 Jul 08 2020␣

˓→StatisticsMachineLearningPythonDraft_202007.pdf
'221 Goodbye.'
FTP file download with urllib
import urllib
ftp_url = 'ftp://ftp.cea.fr/pub/unati/people/educhesnay/pystatml/README.md'
urllib.request.urlretrieve(ftp_url, os.path.join(tmpdir, "README2.md"))
('/tmp/README2.md', <email.message.Message object at 0x723af3ad08c0>)
2.10. Networking 41
2.10.2 HTTP
# TODO
2.10.3 Sockets
# TODO
2.10.4 xmlrpc
# TODO
2.11 Object Oriented Programming (OOP)
Sources
• http://python-textbok.readthedocs.org/en/latest/Object_Oriented_Programming.html
Principles
• Encapsulate data (attributes) and code (methods) into objects.
• Class = template or blueprint that can be used to create objects.
• An object is a specific instance of a class.
• Inheritance: OOP allows classes to inherit commonly used state and behavior from other
classes. Reduce code duplication
• Polymorphism: (usually obtained through polymorphism) calling code is agnostic as to
whether an object belongs to a parent class or one of its descendants (abstraction, modu-
larity). The same method called on 2 objects of 2 different classes will behave differently.
class Shape2D:
def area(self):
raise NotImplementedError()
# __init__ is a special method called the constructor
# Inheritance + Encapsulation
class Square(Shape2D):
def __init__(self, width):
self.width = width
def area(self):
return self.width ** 2


class Disk(Shape2D):
def __init__(self, radius):
self.radius = radius
def area(self):
return math.pi * self.radius ** 2
Object creation
square = Square(2)
Call a method of the object
square.area()
More sophisticated use
shapes = [Square(2), Disk(3)]
# Polymorphism
print([s.area() for s in shapes])
s = Shape2D()
try:
s.area()
except NotImplementedError as e:
print("NotImplementedError", e)
[4, 28.274333882308138]
NotImplementedError
2.12 Style guide for Python programming
See PEP 8
• Spaces (four) are the preferred indentation method.
• Two blank lines for top level function or classes definition.
• One blank line to indicate logical sections.
• Never use: from lib import *
• Bad: Capitalized_Words_With_Underscores
• Function and Variable Names: lower_case_with_underscores
• Class Names: CapitalizedWords (aka: CamelCase)
2.12. Style guide for Python programming 43

2.13 Documenting
See Documenting Python Documenting = comments + docstrings (Python documentation

string)
• Docstrings are use as documentation for the class, module, and packages. See it as “living
documentation”.
• Comments are used to explain non-obvious portions of the code. “Dead documentation”.
Docstrings for functions (same for classes and methods):
def my_function(a, b=2):

"""
This function ...
Parameters
----------
a : float
First operand.
b : float, optional
Second operand. The default is 2.
Returns
-------
Sum of operands.
Example
-------
>>> my_function(3)
5
"""
# Add a with b (this is a comment)
return a + b
print(help(my_function))
Help on function my_function in module __main__:
my_function(a, b=2)
This function ...
Parameters
----------
a : float
First operand.
b : float, optional
Second operand. The default is 2.
Returns
-------


Sum of operands.
Example
-------
>>> my_function(3)
5
None
Docstrings for scripts:

At the begining of a script add a pream:
"""
Created on Thu Nov 14 12:08:41 CET 2019
@author: firstname.lastname@email.com
Some description
"""
2.14 Modules and packages
Python packages and modules structure python code into modular “libraries” to be shared.
2.14.1 Package
Packages are a way of structuring Python’s module namespace by using “dotted module names”.
A package is a directory (here, stat_pkg) containing a __init__.py file.
Example, package
stat_pkg/
__init__.py
datasets_mod.py
The __init__.py can be empty. Or it can be used to define the package API, i.e., the modules
(*.py files) that are exported and those that remain internal.
Example, file stat_pkg/__init__.py
# 1) import function for modules in the packages

from .module import make_regression
# 2) Make them visible in the package

__all__ = ["make_regression"]
2.14. Modules and packages 45

2.14.2 Module
A module is a python file. Example, stat_pkg/datasets_mod.py
import numpy as np
def make_regression(n_samples=10, n_features=2, add_intercept=False):
...
return X, y, coef
Usage
import stat_pkg as pkg
X, y, coef = pkg.make_regression()
print(X.shape)
(10, 2)
2.14.3 The search path
With a directive like import stat_pkg, Python will searches for

• a module, file named stat_pkg.py or,
• a package, directory named stat_pkg containing a stat_pkg/__init__.py file.
Python will search in a list of directories given by the variable sys.path. This variable is initial-
ized from these locations:
• The directory containing the input script (or the current directory when no file is speci-
fied).
• ``PYTHONPATH`` (a list of directory names, with the same syntax as the shell variable
PATH).
In our case, to be able to import stat_pkg, the parent directory of stat_pkg must be in sys.path.
You can modify PYTHONPATH by any method, or access it via sys package, example:
import sys
sys.path.append("/home/ed203246/git/pystatsml/python_lang")
2.15 Unit testing
When developing a library (e.g., a python package) that is bound to evolve and being corrected,
we want to ensure that: (i) The code correctly implements some expected functionalities; (ii)
the modifications and additions don’t break those functionalities;
Unit testing is a framework to asses to those two points. See sources:
• Unit testing reference doc
• Getting Started With Testing in Python

2.15.1 unittest: test your code
1) Write unit tests (test cases)

In a directory usually called tests create a test case, i.e., a python file test_datasets_mod.py
(general syntax is test_<mymodule>.py) that will execute some functionalities of the module
and test if the output are as expected. test_datasets_mod.py file contains specific directives:
• import unittest,
• class TestDatasets(unittest.TestCase), the test case class. The general syntax is class
Test<MyModule>(unittest.TestCase)
• def test_make_regression(self), test a function of an element of the module. The
general syntax is test_<my function>(self)
• self.assertTrue(np.allclose(X.shape, (10, 4))), test a specific functionality. The
general syntax is self.assert<True|Equal|...>(<some boolean expression>)
• unittest.main(), where tests should be executed.
Example:
import unittest
import numpy as np
from stat_pkg import make_regression
class TestDatasets(unittest.TestCase):
def test_make_regression(self):
X, y, coefs = make_regression(n_samples=10, n_features=3,
add_intercept=True)
self.assertTrue(np.allclose(X.shape, (10, 4)))
self.assertTrue(np.allclose(y.shape, (10, )))
self.assertTrue(np.allclose(coefs.shape, (4, )))
if __name__ == '__main__':
unittest.main()
2) Run the tests (test runner)

The test runner orchestrates the execution of tests and provides the outcome to the user. Many
test runners are available.
unittest is the first unit test framework, it comes with Python standard library. It employs
an object-oriented approach, grouping tests into classes known as test cases, each containing
distinct methods representing individual tests.
Unitest generally requires that tests are organized as importable modules, see details. Here,
we do not introduce this complexity: we directly execute a test file that isn’t importable as a
module.
python tests/test_datasets_mod.py
Unittest test discovery: (-m unittest discover) within (-s) tests directory, with verbose (-v)
outputs.
2.15. Unit testing 47

python -m unittest discover -v -s tests
2.15.2 Doctest: add unit tests in docstring
Doctest is an inbuilt test framework that comes bundled with Python by default. The doctest
module searches for code fragments that resemble interactive Python sessions and runs those
sessions to confirm they operate as shown. It promotes Test-driven (TDD) methodology.
1) Add doc test in the docstrings, see python stat_pkg/supervised_models.py:
class LinearRegression:
"""Ordinary least squares Linear Regression.
...
Examples
--------
>>> import numpy as np
>>> from stat_pkg import LinearRegression
>>> X = np.array([[1, 1], [1, 2], [2, 2], [2, 3]])
>>> # y = 1 * x_0 + 2 * x_1 + 3
>>> y = np.dot(X, np.array([1, 2])) + 3
>>> reg = LinearRegression().fit(X, y)
>>> reg.coef_
array([3., 1., 2.0])
>>> reg.predict(np.array([[3, 5]]))
array([16.])
"""
def __init__(self, fit_intercept=True):
self.fit_intercept = fit_intercept
...
2) Add the call to doctest module ad the end of the python file:
if __name__ == "__main__":
import doctest
doctest.testmod()
3) Run doc tests:
python stat_pkg/supervised_models.py
Test failed with the output:
**********************************************************************
File ".../supervised_models.py", line 36, in __main__.LinearRegression
Failed example:
reg.coef_
Expected:
array([3., 1., 2.0])
Got:
array([3., 1., 2.])


**********************************************************************
1 items had failures:
1 of 7 in __main__.LinearRegression
***Test Failed*** 1 failures.
2.16 Exercises
2.16.1 Exercise 1: functions
Create a function that acts as a simple calculator taking three parameters: the two operand
and the operation in “+”, “-”, and “*”. As default use “+”. If the operation is misspecified,
return a error message Ex: calc(4,5,"*") returns 20 Ex: calc(3,5) returns 8 Ex: calc(1, 2,
"something") returns error message
2.16.2 Exercise 2: functions + list + loop
Given a list of numbers, return a list where all adjacent duplicate elements have been reduced
to a single element. Ex: [1, 2, 2, 3, 2] returns [1, 2, 3, 2]. You may create a new list or
modify the passed in list.
Remove all duplicate values (adjacent or not) Ex: [1, 2, 2, 3, 2] returns [1, 2, 3]
2.16.3 Exercise 3: File I/O
1. Copy/paste the BSD 4 clause license (https://en.wikipedia.org/wiki/BSD_licenses) into a

text file. Read, the file and count the occurrences of each word within the file. Store the words’
occurrence number in a dictionary.
2. Write an executable python command count_words.py that parse a list of input files provided
after --input parameter. The dictionary of occurrence is save in a csv file provides by --output.
with default value word_count.csv. Use: - open - regular expression - argparse (https://docs.
python.org/3/howto/argparse.html)
2.16.4 Exercise 4: OOP
1. Create a class Employee with 2 attributes provided in the constructor: name,

years_of_service. With one method salary with is obtained by 1500 + 100 *
years_of_service.
2. Create a subclass Manager which redefine salary method 2500 + 120 * years_of_service.
3. Create a small dictionary-nosed database where the key is the employee’s name. Populate
the database with: samples = Employee(‘lucy’, 3), Employee(‘john’, 1), Manager(‘julie’,
10), Manager(‘paul’, 3)
4. Return a table of made name, salary rows, i.e. a list of list [[name, salary]]
5. Compute the average salary
2.16. Exercises 49
Total running time of the script: (0 minutes 8.553 seconds)

CHAPTER
THREE
DATA MANIPULATION AND VISUALIZATION
3.1 Numpy: Arrays and Matrices
NumPy is an extension to the Python programming language, adding support for large, multi-
dimensional (numerical) arrays and matrices, along with a large library of high-level mathe-
matical functions to operate on these arrays.
Numpy functions are executed by compiled in C or Fortran libraries, providing the perfor-
mance of compiled languages.
Sources: Kevin Markham
Computation time:
import numpy as np
import time
start_time = time.time()
l = [v for v in range(10 ** 8)]
s = 0
for v in l: s += v
print("Python code, time ellapsed: %.2fs" % (time.time() - start_time))
start_time = time.time()
arr = np.arange(10 ** 8)
arr.sum()
print("Numpy code, time ellapsed: %.2fs" % (time.time() - start_time))
Python code, time ellapsed: 6.11s

Numpy code, time ellapsed: 0.16s
51
3.1.1 Create arrays
Create ndarrays from lists. note: every element must be the same type (will be converted if
possible)
data1 = [1, 2, 3, 4, 5] # list

arr = np.array(data1) # 1d array
data = [range(1, 5), range(5, 9)] # list of lists
arr = np.array(data) # 2d array
print(arr)
arr.tolist() # convert array back to list
[[1 2 3 4]
[5 6 7 8]]
[[1, 2, 3, 4], [5, 6, 7, 8]]
Create special arrays
np.zeros(10) # [0, 0, ..., 0]

np.zeros((3, 6)) # 3 x 6 array of zeros
np.ones(10)
np.linspace(0, 1, 5) # 0 to 1 (inclusive) with 5 points
np.logspace(0, 3, 4) # 10^0 to 10^3 (inclusive) with 4 points
np.arange(10) # [0, 1 ..., 9]
array([0, 1, 2, 3, 4, 5, 6, 7, 8, 9])
Examining arrays
print("Shape of the array: ",

arr.shape)
print("Type of the array: ",

arr.dtype)
print("Number of items in the array: ",

arr.size)
print("Memory size of one array item in bytes: ",

arr.itemsize)
# memory size of numpy array in bytes

print("Memory size of numpy array in bytes: %i, and in bits: %i" %
(arr.size * arr.itemsize, arr.size * arr.itemsize * 8 ))
Shape of the array: (2, 4)

Type of the array: int64
Number of items in the array: 8
Memory size of one array item in bytes: 8
Memory size of numpy array in bytes: 64, and in bits: 512
52 Chapter 3. Data Manipulation and Visualization

3.1.2 Selection
arr[1, 2] # Get third item of the second line
np.int64(7)
Slicing
Syntax: start:stop:step with start (default 0) stop (default last) step (default 1)
• : is equivalent to 0:last:1; ie, take all elements, from 0 to the end with step = 1.
• :k is equivalent to 0:k:1; ie, take all elements, from 0 to k with step = 1.
• k: is equivalent to k:end:1; ie, take all elements, from k to the end with step = 1.
• ::-1 is equivalent to 0:end:-1; ie, take all elements, from k to the end in reverse order,
with step = -1.
arr[0, :] # Get first line

arr[:, 2] # Get third column
arr[:, :2] # columns strictly before index 2 (2 first columns)
arr[:, 2:] # columns after index 2 included
arr2 = arr[:, 1:4] # columns between index 1 (included) and 4 (excluded)
print(arr2)
# Slicing returns a view (not a copy)

# Modification
arr2[0, 0] = 33
print(arr2)
print(arr)
[[2 3 4]
[6 7 8]]
[[33 3 4]
[ 6 7 8]]
[[ 1 33 3 4]
[ 5 6 7 8]]
Reverse order of row 0
print(arr[0, ::-1])
[ 4 3 33 1]
3.1. Numpy: Arrays and Matrices 53

Fancy indexing: Integer or boolean array indexing
Fancy indexing returns a copy not a view.

Integer array indexing
arr2 = arr[:, [1, 2, 3]] # return a copy

print(arr2)
arr2[0, 0] = 44
print(arr2)
print(arr)
[[33 3 4]
[ 6 7 8]]
[[44 3 4]
[ 6 7 8]]
[[ 1 33 3 4]
[ 5 6 7 8]]
Boolean arrays indexing
arr2 = arr[arr > 5] # return a copy
print(arr2)
arr2[0] = 44
print(arr2)
print(arr)
[33 6 7 8]
[44 6 7 8]
[[ 1 33 3 4]
[ 5 6 7 8]]
However, In the context of lvalue indexing (left hand side value of an assignment) Fancy autho-
rizes the modification of the original array
arr[arr > 5] = 0
print(arr)
[[1 0 3 4]
[5 0 0 0]]

Array indexing return copy or view?
General rules:
• Slicing always returns a view.
• Fancy indexing (boolean mask, integers) returns copy
• lvalue indexing i.e. the indices are placed in the left hand side value of an assignment,
provides a view.
3.1.3 Array manipulation
Reshaping
arr = np.arange(10, dtype=float).reshape((2, 5))

print(arr.shape)
print(arr.reshape(5, 2))
(2, 5)
[[0. 1.]
[2. 3.]
[4. 5.]
[6. 7.]
[8. 9.]]
Add an axis
a = np.array([0, 1])
print(a)
a_col = a[:, np.newaxis]
print(a_col)
#or
a_col = a[:, None]
[0 1]
[[0]
[1]]
Transpose
print(a_col.T)
[[0 1]]
Flatten: always returns a flat copy of the original array
arr_flt = arr.flatten()
arr_flt[0] = 33
print(arr_flt)
print(arr)

[33. 1. 2. 3. 4. 5. 6. 7. 8. 9.]
[[0. 1. 2. 3. 4.]
[5. 6. 7. 8. 9.]]
Ravel: returns a view of the original array whenever possible.
arr_flt = arr.ravel()
arr_flt[0] = 33
print(arr_flt)
print(arr)
[33. 1. 2. 3. 4. 5. 6. 7. 8. 9.]
[[33. 1. 2. 3. 4.]
[ 5. 6. 7. 8. 9.]]
Stack arrays NumPy Joining Array
a = np.array([0, 1])
b = np.array([2, 3])
Horizontal stacking
np.hstack([a, b])
array([0, 1, 2, 3])
Vertical stacking
np.vstack([a, b])
array([[0, 1],
[2, 3]])
Default Vertical
np.stack([a, b])
array([[0, 1],
[2, 3]])
3.1.4 Advanced Numpy: reshaping/flattening and selection
Numpy internals: By default Numpy use C convention, ie, Row-major language: The matrix is
stored by rows. In C, the last index changes most rapidly as one moves through the array as
stored in memory.
For 2D arrays, sequential move in the memory will:
• iterate over rows (axis 0)
– iterate over columns (axis 1)

For 3D arrays, sequential move in the memory will:

• iterate over plans (axis 0)
– iterate over rows (axis 1)
* iterate over columns (axis 2)
x = np.arange(2 * 3 * 4)
print(x)
[ 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23]
Reshape into 3D (axis 0, axis 1, axis 2)
x = x.reshape(2, 3, 4)
print(x)
[[[ 0 1 2 3]
[ 4 5 6 7]
[ 8 9 10 11]]
[[12 13 14 15]
[16 17 18 19]
[20 21 22 23]]]
Selection get first plan
print(x[0, :, :])
[[ 0 1 2 3]
[ 4 5 6 7]
[ 8 9 10 11]]
Selection get first rows

print(x[:, 0, :])
[[ 0 1 2 3]
[12 13 14 15]]
Selection get first columns
print(x[:, :, 0])
[[ 0 4 8]
[12 16 20]]
Ravel
print(x.ravel())
[ 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23]
3.1.5 Vectorized operations
nums = np.arange(5)
nums * 10 # multiply each element by 10
nums = np.sqrt(nums) # square root of each element
np.ceil(nums) # also floor, rint (round to nearest int)
np.isnan(nums) # checks for NaN
nums + np.arange(5) # add element-wise
np.maximum(nums, np.array([1, -2, 3, -4, 5])) # compare element-wise
# Compute Euclidean distance between 2 vectors

vec1 = np.random.randn(10)
vec2 = np.random.randn(10)
dist = np.sqrt(np.sum((vec1 - vec2) ** 2))
# math and stats

rnd = np.random.randn(4, 2) # random normals in 4x2 array
rnd.mean()
rnd.std()
rnd.argmin() # index of minimum element
rnd.sum()
rnd.sum(axis=0) # sum of columns
rnd.sum(axis=1) # sum of rows
# methods for boolean arrays

(rnd > 0).sum() # counts number of positive values
(rnd > 0).any() # checks if any value is True
(rnd > 0).all() # checks if all values are True
# random numbers


np.random.seed(12234) # Set the seed
np.random.rand(2, 3) # 2 x 3 matrix in [0, 1]
np.random.randn(10) # random normals (mean 0, sd 1)
np.random.randint(0, 2, 10) # 10 randomly picked 0 or 1
array([0, 0, 0, 1, 1, 0, 1, 1, 1, 1])
3.1.6 Broadcasting
Sources: https://docs.scipy.org/doc/numpy-1.13.0/user/basics.broadcasting.html Implicit con-

version to allow operations on arrays of different sizes. - The smaller array is stretched or
“broadcasted” across the larger array so that they have compatible shapes. - Fast vectorized
operation in C instead of Python. - No needless copies.
Rules
Starting with the trailing axis and working backward, Numpy compares arrays dimensions.
• If two dimensions are equal then continues
• If one of the operand has dimension 1 stretches it to match the largest one
• When one of the shapes runs out of dimensions (because it has less dimensions than
the other shape), Numpy will use 1 in the comparison process until the other shape’s
dimensions run out as well.
a = np.array([[ 0, 0, 0],
[10, 10, 10],
[20, 20, 20],
[30, 30, 30]])
b = np.array([0, 1, 2])
print(a + b)
[[ 0 1 2]
[10 11 12]
[20 21 22]
[30 31 32]]
Center data column-wise
a - a.mean(axis=0)
array([[-15., -15., -15.],

[ -5., -5., -5.],
[ 5., 5., 5.],
[ 15., 15., 15.]])
Scale (center, normalise) data column-wise

Fig. 1: Source: http://www.scipy-lectures.org

(a - a.mean(axis=0)) / a.std(axis=0)
array([[-1.34164079, -1.34164079, -1.34164079],

[-0.4472136 , -0.4472136 , -0.4472136 ],
[ 0.4472136 , 0.4472136 , 0.4472136 ],
[ 1.34164079, 1.34164079, 1.34164079]])
Examples
Shapes of operands A, B and result:
A (2d array): 5 x 4
B (1d array): 1
Result (2d array): 5 x 4
A (2d array): 5 x 4
B (1d array): 4
Result (2d array): 5 x 4
A (3d array): 15 x 3 x 5
B (3d array): 15 x 1 x 5
Result (3d array): 15 x 3 x 5
A (3d array): 15 x 3 x 5
B (2d array): 3 x 5
A (3d array): 15 x 3 x 5
B (2d array): 3 x 1
3.1.7 Exercises
Given the array:
X = np.random.randn(4, 2) # random normals in 4x2 array
• For each column find the row index of the minimum value.
• Write a function standardize(X) that return an array whose columns are centered and
scaled (by std-dev).

3.2 Pandas: data manipulation
It is often said that 80% of data analysis is spent on the cleaning and small, but important,
aspect of data manipulation and cleaning with Pandas.
Sources:
• Kevin Markham: https://github.com/justmarkham
• Pandas doc: http://pandas.pydata.org/pandas-docs/stable/index.html
Data structures
• Series is a one-dimensional labeled array capable of holding any data type (inte-
gers, strings, floating point numbers, Python objects, etc.). The axis labels are col-
lectively referred to as the index. The basic method to create a Series is to call
pd.Series([1,3,5,np.nan,6,8])
• DataFrame is a 2-dimensional labeled data structure with columns of potentially different
types. You can think of it like a spreadsheet or SQL table, or a dict of Series objects. It
stems from the R data.frame() object.
import pandas as pd
import numpy as np
3.2.1 Create DataFrame
columns = ['name', 'age', 'gender', 'job']
user1 = pd.DataFrame([['alice', 19, "F", "student"],

['john', 26, "M", "student"]],
columns=columns)
user2 = pd.DataFrame([['eric', 22, "M", "student"],

['paul', 58, "F", "manager"]],
columns=columns)
user3 = pd.DataFrame(dict(name=['peter', 'julie'],

age=[33, 44], gender=['M', 'F'],
job=['engineer', 'scientist']))
print(user3)
name age gender job

0 peter 33 M engineer
1 julie 44 F scientist

3.2.2 Combining DataFrames
Concatenate DataFrame
Concatenate columns (axis = 1).
height = pd.DataFrame(dict(height=[1.65, 1.8]))

print(user1, "\n", height)
print(pd.concat([user1, height], axis=1))
name age gender job

0 alice 19 F student
1 john 26 M student
height
0 1.65
1 1.80
name age gender job height
0 alice 19 F student 1.65
1 john 26 M student 1.80
Concatenate rows (default: axis = 0)
users = pd.concat([user1, user2, user3])

print(users)
name age gender job

0 alice 19 F student
1 john 26 M student
0 eric 22 M student
1 paul 58 F manager
0 peter 33 M engineer
1 julie 44 F scientist
Join DataFrame
user4 = pd.DataFrame(dict(name=['alice', 'john', 'eric', 'julie'],

height=[165, 180, 175, 171]))
print(user4)
name height
0 alice 165
1 john 180
2 eric 175
3 julie 171
Use intersection of keys from both frames
3.2. Pandas: data manipulation 63

merge_inter = pd.merge(users, user4)

print(merge_inter)

0 alice 19 F student 165
1 john 26 M student 180
2 eric 22 M student 175
3 julie 44 F scientist 171
Use union of keys from both frames
users = pd.merge(users, user4, on="name", how='outer')

print(users)

1 eric 22 M student 175.0
3 julie 44 F scientist 171.0
4 paul 58 F manager NaN
5 peter 33 M engineer NaN
Reshaping by pivoting
“Unpivots” a DataFrame from wide format to long (stacked) format,
staked = pd.melt(users, id_vars="name", var_name="variable", value_name="value")

print(staked)
name variable value

0 alice age 19
1 eric age 22
2 john age 26
3 julie age 44
4 paul age 58
5 peter age 33
6 alice gender F
7 eric gender M
8 john gender M
9 julie gender F
10 paul gender F
11 peter gender M
12 alice job student
13 eric job student
14 john job student
15 julie job scientist
16 paul job manager
17 peter job engineer
18 alice height 165.0


19 eric height 175.0
20 john height 180.0
21 julie height 171.0
22 paul height NaN
23 peter height NaN
“pivots” a DataFrame from long (stacked) format to wide format,
wide = staked.pivot(index='name', columns='variable', values='value')

print(wide)
variable age gender height job

name
alice 19 F 165.0 student
eric 22 M 175.0 student
john 26 M 180.0 student
julie 44 F 171.0 scientist
paul 58 F NaN manager
peter 33 M NaN engineer
3.2.3 Summarizing
users # print the first 30 and last 30 rows

type(users) # DataFrame
users.head() # print the first 5 rows
users.tail() # print the last 5 rows
Meta-information
users.columns # Column names

users.index # Row name"
users.shape # number of rows and columns
users.dtypes # data types of each column
users.values # underlying numpy array
array([['alice', 19, 'F', 'student', 165.0],

['eric', 22, 'M', 'student', 175.0],
['john', 26, 'M', 'student', 180.0],
['julie', 44, 'F', 'scientist', 171.0],
['paul', 58, 'F', 'manager', nan],
['peter', 33, 'M', 'engineer', nan]], dtype=object)

3.2.4 Columns selection
print(users.columns)
users['gender'] # select one column

type(users['gender']) # Series
users.gender # select one column using the DataFrame
# select multiple columns

users[['age', 'gender']] # select two columns
my_cols = ['age', 'gender'] # or, create a list...
users[my_cols] # ...and use that list to select columns
type(users[my_cols]) # DataFrame
Index(['name', 'age', 'gender', 'job', 'height'], dtype='object')
iloc is strictly integer position based
users.iloc[:, 2] # select third column
0 F
1 M
2 M
3 F
4 F
5 M
Name: gender, dtype: object
3.2.5 Rows selection (basic)
iloc is strictly integer position based
df = users.copy()
df.iloc[0] # first row
df.iloc[0, :] # first row
df.iloc[[0, 1], :] # Two first row
df.iloc[0, 0] # first item of first row

df.iloc[0, 0] = 55
loc supports mixed integer and label based access.
df.loc[0] # first row

df.loc[0, :] # first row
df.loc[0, "age"] # age item of first row
df.loc[0, "age"] = 55
Selection and index

Select females into a new DataFrame

df = users[users.gender == "F"]
print(df)

Reset index, useful when index is meaningless
df = df.reset_index(drop=True) # Watch the index

print(df)

3.2.6 Rows iteration
df = users[:2].copy()
iterrows(): slow, get series, read-only

• Returns (index, Series) pairs.
• Slow because iterrows boxes the data into a Series.
• Retrieve fields with column name
• Don’t modify something you are iterating over. Depending on the data types, the
iterator returns a copy and not a view, and writing to it will have no effect.
for idx, row in df.iterrows():

print(row["name"], row["age"])
alice 19
eric 22
itertuples(): fast, get namedtuples, read-only

• Returns namedtuples of the values and which is generally faster than iterrows.
• Fast, because itertuples does not box the data into a Series.
• Retrieve fields with integer index starting from 0.
• Names will be renamed to positional names if they are invalid Python
identifier
for tup in df.itertuples():

print(tup[1], tup[2])

alice 19
eric 22
iter using loc[i, . . . ]: read and write
for i in range(df.shape[0]):
df.loc[i, "age"] *= 10 # df is modified
3.2.7 Rows selection (filtering)
simple logical filtering on numerical values
users[users.age < 20] # only show users with age < 20

young_bool = users.age < 20 # or, create a Series of booleans...
young = users[young_bool] # ...and use that Series to filter rows
users[users.age < 20].job # select one column from the filtered results
print(young)

simple logical filtering on categorial values
users[users.job == 'student']
users[users.job.isin(['student', 'engineer'])]
users[users['job'].str.contains("stu|scient")]
Advanced logical filtering
users[users.age < 20][['age', 'job']] # select multiple columns

users[(users.age > 20) & (users.gender == 'M')] # use multiple conditions
3.2.8 Sorting
df = users.copy()
df.age.sort_values() # only works for a Series

df.sort_values(by='age') # sort rows by a specific column
df.sort_values(by='age', ascending=False) # use descending order instead
df.sort_values(by=['job', 'age']) # sort by multiple columns
df.sort_values(by=['job', 'age'], inplace=True) # modify df
print(df)



3.2.9 Descriptive statistics
Summarize all numeric columns
print(df.describe())
age height
count 6.000000 4.000000
mean 33.666667 172.750000
std 14.895189 6.344289
min 19.000000 165.000000
25% 23.000000 169.500000
50% 29.500000 173.000000
75% 41.250000 176.250000
max 58.000000 180.000000
Summarize all columns
print(df.describe(include='all'))
print(df.describe(include=['object'])) # limit to one (or more) types

count 6 6.000000 6 6 4.000000
unique 6 NaN 2 4 NaN
top peter NaN M student NaN
freq 1 NaN 3 3 NaN
mean NaN 33.666667 NaN NaN 172.750000
std NaN 14.895189 NaN NaN 6.344289
min NaN 19.000000 NaN NaN 165.000000
25% NaN 23.000000 NaN NaN 169.500000
50% NaN 29.500000 NaN NaN 173.000000
75% NaN 41.250000 NaN NaN 176.250000
max NaN 58.000000 NaN NaN 180.000000
name gender job
count 6 6 6
unique 6 2 4
top peter M student
freq 1 3 3
Categorical columns: count and proportions of values
df['job'].value_counts()
df['job'].value_counts(normalize=True).round(2)

job
student 0.50
engineer 0.17
manager 0.17
scientist 0.17
Name: proportion, dtype: float64
Categorical columns: length of strings
df['job'].str.len()
5 8
4 7
3 9
0 7
1 7
2 7
Name: job, dtype: int64
Statistics per group (groupby)
print(df.groupby("job")["age"].mean())
# print(df.groupby("job").describe(include='all'))
job
engineer 33.000000
manager 58.000000
scientist 44.000000
student 22.333333
Name: age, dtype: float64
Groupby in a loop
for grp, data in df.groupby("job"):

print(grp, data)
engineer name age gender job height

manager name age gender job height
scientist name age gender job height
student name age gender job height

3.2.10 Quality check
Remove duplicate data
df = users.copy()
# Create a duplicate: Append the first at the end

df.loc[len(df.index)] = users.iloc[0]
print(df.duplicated()) # Series of booleans

# (True if a row is identical to a previous row)
df.duplicated().sum() # count of duplicates
df[df.duplicated()] # only show duplicates
df.age.duplicated() # check a single column for duplicates
df.duplicated(['age', 'gender']).sum() # specify columns for finding duplicates
df = df.drop_duplicates() # drop duplicate rows
0 False
1 False
2 False
3 False
4 False
5 False
6 True
dtype: bool
Missing data
# Missing values are often just excluded

df = users.copy()
df.describe(include='all')
# find missing values in a Series

df.height.isnull() # True if NaN, False otherwise
df.height.notnull() # False if NaN, True otherwise
df[df.height.notnull()] # only show rows where age is not NaN
df.height.isnull().sum() # count the missing values
# find missing values in a DataFrame

df.isnull() # DataFrame of booleans
df.isnull().sum() # calculate the sum of each column
name 0
age 0
gender 0
job 0
height 2
dtype: int64

Strategy 1: drop missing values
df.dropna() # drop a row if ANY values are missing

df.dropna(how='all') # drop a row only if ALL values are missing
Strategy 2: fill in missing values
df.height.mean()
df = users.copy()
df.loc[df.height.isnull(), "height"] = df["height"].mean()
print(df)

4 paul 58 F manager 172.75
5 peter 33 M engineer 172.75
3.2.11 Operation: multiplication
Multiplication of dataframe and other, element-wise
df = users.dropna()
df.insert(0, 'random', np.arange(df.shape[0]))
print(df)
df[["age", "height"]].multiply(df["random"], axis="index")
random name age gender job height

0 0 alice 19 F student 165.0
1 1 eric 22 M student 175.0
2 2 john 26 M student 180.0
3 3 julie 44 F scientist 171.0
3.2.12 Renaming
Rename columns
df = users.copy()
df.rename(columns={'name': 'NAME'})
Rename values
df.job = df.job.map({'student': 'etudiant', 'manager': 'manager',

'engineer': 'ingenieur', 'scientist': 'scientific'})

3.2.13 Dealing with outliers
size = pd.Series(np.random.normal(loc=175, size=20, scale=10))

# Corrupt the first 3 measures
size[:3] += 500
Based on parametric statistics: use the mean
Assume random variable follows the normal distribution Exclude data outside 3 standard-
deviations: - Probability that a sample lies within 1 sd: 68.27% - Probability that a sample
lies within 3 sd: 99.73% (68.27 + 2 * 15.73)
size_outlr_mean = size.copy()
size_outlr_mean[((size - size.mean()).abs() > 3 * size.std())] = size.mean()
print(size_outlr_mean.mean())
248.48963819938044
Based on non-parametric statistics: use the median
Median absolute deviation (MAD) is based on the median, is a robust non-parametric statistics.
mad = 1.4826 * np.median(np.abs(size - size.median()))

size_outlr_mad = size.copy()
size_outlr_mad[((size - size.median()).abs() > 3 * mad)] = size.median()

print(size_outlr_mad.mean(), size_outlr_mad.median())
173.80000467192673 178.7023568870694
3.2.14 File I/O
csv
import tempfile, os.path
tmpdir = tempfile.gettempdir()
csv_filename = os.path.join(tmpdir, "users.csv")
users.to_csv(csv_filename, index=False)
other = pd.read_csv(csv_filename)

Read csv from url
url = 'https://github.com/duchesnay/pystatsml/raw/master/datasets/salary_table.csv
˓→'
salary = pd.read_csv(url)
Excel
Package openpyxl is required. To install type:
conda install -c conda-forge openpyxl
xls_filename = os.path.join(tmpdir, "users.xlsx")
# Write
users.to_excel(xls_filename, sheet_name='users', index=False)
# Read
pd.read_excel(xls_filename, sheet_name='users')
# Multiple sheets
with pd.ExcelWriter(xls_filename) as writer:
users.to_excel(writer, sheet_name='users', index=False)
df.to_excel(writer, sheet_name='salary', index=False)
pd.read_excel(xls_filename, sheet_name='users')
pd.read_excel(xls_filename, sheet_name='salary')
SQL (SQLite)
import pandas as pd
import sqlite3
db_filename = os.path.join(tmpdir, "users.db")
Connect
conn = sqlite3.connect(db_filename)
Creating tables with pandas
url = 'https://github.com/duchesnay/pystatsml/raw/master/datasets/salary_table.csv
˓→'
salary.to_sql("salary", conn, if_exists="replace")

46
Push modifications
cur = conn.cursor()
values = (100, 14000, 5, 'Bachelor', 'N')
cur.execute("insert into salary values (?, ?, ?, ?, ?)", values)
conn.commit()
Reading results into a pandas DataFrame
salary_sql = pd.read_sql_query("select * from salary;", conn)

print(salary_sql.head())
pd.read_sql_query("select * from salary;", conn).tail()

pd.read_sql_query('select * from salary where salary>25000;', conn)
pd.read_sql_query('select * from salary where experience=16;', conn)
pd.read_sql_query('select * from salary where education="Master";', conn)
index salary experience education management

0 0 13876 1 Bachelor Y
1 1 11608 1 Ph.D N
2 2 18701 1 Ph.D Y
3 3 11283 1 Master N
4 4 11767 1 Ph.D N
3.2.15 Exercises
Data Frame
1. Read the iris dataset at ‘https://github.com/duchesnay/pystatsml/raw/master/datasets/

iris.csv’
2. Print column names
3. Get numerical columns
4. For each species compute the mean of numerical columns and store it in a stats table
like:
species sepal_length sepal_width petal_length petal_width

0 setosa 5.006 3.428 1.462 0.246
1 versicolor 5.936 2.770 4.260 1.326
2 virginica 6.588 2.974 5.552 2.026

Missing data
Add some missing data to the previous table users:
df = users.copy()
df.loc[[0, 2], "age"] = None
df.loc[[1, 3], "gender"] = None
1. Write a function fillmissing_with_mean(df) that fill all missing value of numerical column
with the mean of the current columns.
2. Save the original users and “imputed” frame in a single excel file “users.xlsx” with 2 sheets:
original, imputed.
3.3 Data visualization: matplotlib & seaborn
Sources:
• Matplotlib - Quick Guide
3.3.1 Parameter
import numpy as np
import seaborn as sns
# Adjust default figure size

fig_w, fig_h = plt.rcParams.get('figure.figsize')
plt.rcParams['figure.figsize'] = (fig_w, fig_h * .5)
# inline plot (for jupyter)

%matplotlib inline
Set style
print(plt.style.available)
plt.style.use('seaborn-v0_8-whitegrid')
['Solarize_Light2', '_classic_test_patch', '_mpl-gallery', '_mpl-gallery-nogrid',

˓→'bmh', 'classic', 'dark_background', 'fast', 'fivethirtyeight', 'ggplot',
˓→'grayscale', 'seaborn-v0_8', 'seaborn-v0_8-bright', 'seaborn-v0_8-colorblind',
˓→'seaborn-v0_8-dark', 'seaborn-v0_8-dark-palette', 'seaborn-v0_8-darkgrid',
˓→'seaborn-v0_8-deep', 'seaborn-v0_8-muted', 'seaborn-v0_8-notebook', 'seaborn-v0_
˓→8-paper', 'seaborn-v0_8-pastel', 'seaborn-v0_8-poster', 'seaborn-v0_8-talk',
˓→'seaborn-v0_8-ticks', 'seaborn-v0_8-white', 'seaborn-v0_8-whitegrid', 'tableau-
˓→colorblind10']

3.3.2 Basic plots
plt.figure(figsize=(9, 3))
x = np.linspace(0, 10, 50)
sinus = np.sin(x)
plt.plot(x, sinus)
plt.show()
plt.plot(x, sinus, "o")

plt.show()
# use plt.plot to get color / marker abbreviations
# Rapid multiplot
cosinus = np.cos(x)
plt.plot(x, sinus, "-b", x, sinus, "ob", x, cosinus, "-r", x, cosinus, "or")
plt.xlabel('this is x!')
plt.ylabel('this is y!')
plt.title('My First Plot')
plt.show()
3.3. Data visualization: matplotlib & seaborn 77

# Step by step
plt.plot(x, sinus, label='sinus', color='blue', linestyle='--', linewidth=2)
plt.plot(x, cosinus, label='cosinus', color='red', linestyle='-', linewidth=2)
plt.legend()
plt.show()
3.3.3 Scatter (2D) plots
Load dataset
import pandas as pd
try:
salary = pd.read_csv("../datasets/salary_table.csv")
except:
url = 'https://github.com/duchesnay/pystatsml/raw/master/datasets/salary_
˓→table.csv'
df = salary
print(df.head())

salary experience education management

0 13876 1 Bachelor Y
1 11608 1 Ph.D N
2 18701 1 Ph.D Y
3 11283 1 Master N
4 11767 1 Ph.D N
Simple scatter with colors
plt.figure(figsize=(3, 3), dpi=100)

_ = sns.scatterplot(x="experience", y="salary", hue="education", data=salary)
Legend outside
ax = sns.relplot(x="experience", y="salary", hue="education", data=salary)

Linear model
ax = sns.lmplot(x="experience", y="salary", hue="education", data=salary)

Scatter plot with colors and symbols
ax = sns.relplot(x="experience", y="salary", hue="education", style='management',␣

˓→data=salary)

3.3.4 Saving Figures
### bitmap format

plt.plot(x, sinus)
plt.savefig("sinus.png")
plt.close()
# Prefer vectorial format (SVG: Scalable Vector Graphics) can be edited with
# Inkscape, Adobe Illustrator, Blender, etc.
plt.plot(x, sinus)
plt.savefig("sinus.svg")
plt.close()
# Or pdf
plt.plot(x, sinus)
plt.savefig("sinus.pdf")
plt.close()

Boxplot and violin plot: one factor
Box plots are non-parametric: they display variation in samples of a statistical population with-
out making any assumptions of the underlying statistical distribution.
ax = sns.boxplot(x="management", y="salary", data=salary)

ax = sns.stripplot(x="management", y="salary", data=salary, jitter=True, color=
˓→"black")
ax = sns.violinplot(x="management", y="salary", data=salary)

ax = sns.stripplot(x="management", y="salary", data=salary, jitter=True, color=
˓→"white")
Boxplot and violin plot: two factors
ax = sns.boxplot(x="management", y="salary", hue="education", data=salary)

ax = sns.stripplot(x="management", y="salary", hue="education", data=salary,␣
˓→jitter=True, dodge=True, linewidth=1)

ax = sns.violinplot(x="management", y="salary", hue="education", data=salary)

ax = sns.stripplot(x="management", y="salary", hue="education", data=salary,␣
˓→jitter=True, dodge=True, linewidth=1)
Distributions and density plot
Histogram as probability density function estimator
numpy.histogram can be used to probability density function at the each histogram bin, setting
density=True parameter.
Warning, histogram doesn’t sum to 1. Histogram as PDF estimator should be multiplied by dx’s
to sum to 1.
Sum(Hist)= 5.06334585386319 Sum(Hist * dx)= 1.0

Distributions with seaborn
ax = sns.displot(x="salary", hue="management", kind="kde", data=salary, fill=True)

3.3.5 Multiple axis
fig, axes = plt.subplots(3, 1, figsize=(9, 9), sharex=True)
i = 0
for edu, d in salary.groupby(['education']):
sns.kdeplot(x="salary", hue="management", data=d, fill=True, ax=axes[i],␣
˓→palette="muted")
axes[i].set_title(edu)
i += 1

3.3.6 Pairwise scatter plots
ax = sns.pairplot(salary, hue="management")
3.3.7 Time series

sns.set(style="darkgrid")
# Load an example dataset with long-form data

fmri = sns.load_dataset("fmri")
# Plot the responses for different events and regions

ax = sns.pointplot(x="timepoint", y="signal",
hue="region", data=fmri)


CHAPTER
FOUR
NUMERICAL METHODS IN PYTHON
4.1 Numerical Differentiation
import numpy as np
# Plot
#import pystatsml.plot_utils
# Plot parameters
colors = plt.rcParams['axes.prop_cycle'].by_key()['color']
%matplotlib inline
Sources:
• Patrick Walls course of Dept of Mathematics, University of British Columbia.
• Wikipedia
The derivative of a function at is the limit
𝑓 (𝑥 + ℎ) − 𝑓 (𝑥)
𝑓 ′ (𝑥) = lim
ℎ→0 ℎ
For a fixed step size ℎ, the previous formula provides the slope of the function using the forward
difference approximation of the derivative. Equivalently, the slope could be estimated using
backward approximation with positions 𝑥 − ℎ and 𝑥.
The most efficient numerical derivative use the central difference formula with step size is the
average of the forward and backward approximation (known as symmetric difference quotient):
(︂ )︂
′ 1 𝑓 (𝑎 + ℎ) − 𝑓 (𝑎) 𝑓 (𝑎) − 𝑓 (𝑎 − ℎ) 𝑓 (𝑎 + ℎ) − 𝑓 (𝑎 − ℎ)
𝑓 (𝑎) ≈ + =
2 ℎ ℎ 2ℎ
Chose the step size depends of two issues

1. Numerical precision: if ℎ is chosen too small, the subtraction will yield a large rounding
error due to cancellation will produce a value of zero. For basic central differences, the
optimal (Sauer, Timothy (2012). Numerical Analysis. Pearson. p.248.) step is the cube-
root of machine epsilon (2.2 * 10−16 for double precision), i.e.: ℎ ≈ 10−5 :
89
eps = np.finfo(np.float64).eps
print("Machine epsilon: {:e}, Min step size: {:e}".format(eps, np.cbrt(eps)))
Machine epsilon: 2.220446e-16, Min step size: 6.055454e-06
2. The error of the central difference approximation is upper bounded by a function in 𝒪(ℎ2 ).
I.e., large step size ℎ = 10−2 leads to large error of 10−4 . Small step size e.g., ℎ = 10−4
provide accurate slope estimation in 10−8 .
Those two points argue for a step size ℎ ∈ [10−3 , 10−6 ]
Example: Numerical differentiation of the function:
7𝑥3 − 5𝑥 + 1
𝑓 (𝑥) = , 𝑥 ∈ [−5, 5]
2𝑥4 + 𝑥2 + 1
Numerical differentiation with Numpy gradient given values y and x (or spacing dx) of a
function.
range_ = [-5, 5]
dx = 1e-3
n = int((range_[1] - range_[0]) / dx)
x = np.linspace(range_[0], range_[1], n)
f = lambda x: (7 * x ** 3 - 5 * x + 1) / (2 * x ** 4 + x ** 2 + 1)
y = f(x) # values
dydx = np.gradient(y, dx) # values
Symbolic differentiation with sympy to compute true derivative 𝑓 ′

Installation:
conda install conda-forge::sympy
import sympy as sp
from sympy import lambdify
x_s = sp.symbols('x', real=True) # defining the variables
f_sym = (7 * x_s ** 3 - 5 * x_s + 1) / (2 * x_s ** 4 + x_s ** 2 + 1)

dfdx_sym = sp.simplify(sp.diff(f_sym))
print("f =", f_sym)
print("f'=", dfdx_sym)
dfdx_sym = lambdify(x_s, dfdx_sym, "numpy")
f = (7*x**3 - 5*x + 1)/(2*x**4 + x**2 + 1)

f'= (-14*x**6 + 37*x**4 - 8*x**3 + 26*x**2 - 2*x - 5)/(4*x**8 + 4*x**6 + 5*x**4 +␣
˓→2*x**2 + 1)
plt.plot(x, y, label="f")
plt.plot(x[1:-1], dydx[1:-1], lw=4, label="f' Num. Approx.")
plt.plot(x, dfdx_sym(x), "--", label="f'")
plt.legend()
plt.show()
90 Chapter 4. Numerical Methods in Python

Numerical differentiation with numdifftools

The numdifftools numerical differentiation problems in one or more variables.
Installation:
conda install conda-forge::numdifftools
numdifftools.Derivative computes the derivatives of order 1 through 10 on any scalar function.

It takes a function f as argument and return a function dfdx that compute the derivatives at x
values. Example of first and second order derivative of 𝑓 (𝑥) = 𝑥2 , 𝑓 ′ (𝑥) = 2𝑥, 𝑓 ′′ (𝑥) = 2:
import numdifftools as nd
# Example f(x) = x ** 2
# First order derivative: dfdx = 2 x

print("dfdx = 2 x:", nd.Derivative(lambda x: x ** 2)([1, 2, 3]))
# Second order derivative df^2dx^2 = 2 (Cte)

print("df2dx2 = 2:", nd.Derivative(lambda x: x ** 2, n=2)([1, 2, 3]))
dfdx = 2 x: [2. 4. 6.]

df2dx2 = 2: [2. 2. 2.]
Example with 𝑓 = 𝑥3 − 27𝑥 − 1. We have 𝑓 ′ = 3𝑥2 − 27, with roots (−3, 3), and 𝑓 ′′ = 6𝑥, with
root 0.
range_ = [-5.5, 5.5]

dx = 1e-3
n = int((range_[1] - range_[0]) / dx)
f = lambda x: 1 * (x ** 3) - 27 * x - 1
# First derivative (! callable function, not values)

dfdx = nd.Derivative(f)
# Second derivative (! callable function, not values)

df2dx2 = nd.Derivative(f, n=2)
4.1. Numerical Differentiation 91

Second-order derivative, “the rate of change of the rate of change” corresponds to the curvature
or concavity of the function.
plt.plot(x, f(x), color=colors[0], lw=2, label="f")
plt.plot(x, dfdx(x), color=colors[1], label="f'")
plt.plot(x, df2dx2(x), color=colors[2], label="f''")
plt.axvline(x=-3, ls='--', color=colors[1])
plt.axvline(x= 3, ls='--', color=colors[1])
plt.axvline(x= 0, ls='--', color=colors[2])
plt.legend()
plt.show()
• 𝑓 ′′ < 0, 𝑥 < 0, 𝑓 is concave down.

• 𝑓 ′′ > 0, 𝑥 > 0, 𝑓 is concave up.
• 𝑓 ′′ = 0, 𝑥 = 0, is an inflection point.
4.1.1 Multivariate functions
𝑓 (x) is function of a vector x of several 𝑝 variables x = [𝑥1 , ..., 𝑥𝑝 ]𝑇 .

Example: 𝑓 (𝑥, 𝑦) = 𝑥2 + 𝑦 2
f = lambda x: x[0] ** 2 + x[1] ** 2

from matplotlib import cm
# Make data.
x = np.arange(-5, 5, 0.25)
y = np.arange(-5, 5, 0.25)
xx, yy = np.meshgrid(x, y)
zz = f([xx, yy])
# Plot
fig, ax = plt.subplots(subplot_kw={"projection": "3d"})

# Plot the surface.

surf = ax.plot_surface(xx, yy, zz, cmap=cm.coolwarm,
linewidth=0, antialiased=False, alpha=0.5, zorder=10)
ax.set_xlabel('x1')
ax.set_ylabel('x2')
Text(0.5, 0.5, 'x2')
The Gradient at a given point x is the vector of partial derivative of 𝑓 at gives the direction of
fastest increase.
⎡ ⎤
𝜕𝑓 /𝜕𝑥1
∇𝑓 (x) = ⎣ ..
⎦,
⎢ ⎥
.
𝜕𝑓 /𝜕𝑥𝑝
f_grad = nd.Gradient(f)
print(f_grad([0, 0]))
print(f_grad([-1, 2]))
[0. 0.]
[2. 2.]
[-2. 4.]
The Hessian matrix contains the second-order partial derivatives of 𝑓 . It describes the local
curvature of a function of many variables. It is noted:
⎡ 𝜕2𝑓 𝜕2𝑓
⎤
2 . . .
⎢ 𝜕 𝑥1 . 𝜕𝑥𝑝 𝜕𝑥1 ⎥
𝑓 ′′ (x𝑘 ) = ∇2 𝑓 (x𝑘 ) = H𝑓 (x𝑘 ) = ⎢
⎣
.. ⎥,
⎦
2
𝜕 𝑓 𝜕 𝑓2
𝜕𝑥1 𝜕𝑥𝑝 . . . 𝜕 2 𝑥𝑝
H = nd.Hessian(f)([0, 0])
print(H)
4.1. Numerical Differentiation 93

[[2. 0.]
[0. 2.]]
4.2 Numerical Integration
• Principles Patrick Walls course.

• Library: Scipy integrate package.
import numpy as np
# Plot
#import pystatsml.plot_utils
# Plot parameters
%matplotlib inline
Methods for integrating functions given fixed samples: [(𝑥1 , 𝑓 (𝑥1 )), ..., (𝑥𝑖 , 𝑓 (𝑥𝑖 )), ...(𝑥𝑁 , 𝑓 (𝑥𝑁 )].
Riemann sums of rectangles to approximate the area.
𝑁
∑︁
𝑓 (𝑥*𝑖 )(𝑥𝑖 − 𝑥𝑖−1 ) , 𝑥*𝑖 ∈ [𝑥𝑖−1 , 𝑥𝑖 ]
𝑖=1
The error is in 𝒪( 𝑁1 )
f = lambda x : 1 / (1 + x ** 2)
a, b, N = 0, 5, 10
dx = (b - a) / N
x = np.linspace(a, b, N+1)
y = f(x)
x_ = np.linspace(a,b, 10*N+1) # 10 * N points to plot the function smoothly

plt.plot(x_, f(x_), 'b')
x_left = x[:-1] # Left endpoints
y_left = y[:-1]
plt.plot(x_left,y_left,'b.',markersize=10)
plt.bar(x_left,y_left,width=dx, alpha=0.2,align='edge',edgecolor='b')
plt.title('Left Riemann Sum, N = {}'.format(N))
Text(0.5, 1.0, 'Left Riemann Sum, N = 10')

Compute Riemann sums with 100 points
a, b, N = 0, 5, 50
dx = (b - a) / N
x = np.linspace(a, b, N+1)
y = f(x)
print("Integral:", np.sum(f(x[:-1]) * np.diff(x)))
Integral: 1.4214653634808756
Trapezoid Rule sum the trapezoids connecting the points. The error is in 𝒪( 𝑁12 ). Use
scipy.integrate.trapezoid function:
from scipy import integrate

integrate.trapezoid(f(x[:-1]), dx=dx)
np.float64(1.369466163161004)
Simpson’s rule uses a quadratic polynomial on each subinterval of a partition to approx-

imate the function and to compute the definite integral. The error is in 𝒪( 𝑁14 ). Use
scipy.integrate.simpson function:
from scipy import integrate

integrate.simpson(f(x[:-1]), dx=dx)
np.float64(1.3694791829077122)
Gauss-Legendre Quadrature approximate the integral of a function as a weighted sum of Leg-

endre polynomials.
Methods for Integrating functions given function object 𝑓 () that could be evaluated for any
value 𝑥 in a range [𝑎, 𝑏].
Use scipy.integrate.quad function. The first argument to quad is a “callable” Python object (i.e.,
a function, method, or class instance). Notice the use of a lambda- function in this case as the
argument. The next two arguments are the limits of integration.
import scipy.integrate as integrate

integrate.quad(f, a=a, b=b)
(1.3734007669450166, 7.167069904541812e-09)
4.2. Numerical Integration 95

The return values are the estimated of the integral and the estimate of the absolute integration
error.
4.3 Time Series
Tools:
• Pandas
• Pandas user guide
• Time Series analysis (TSA) from statsmodels
References:
• Basic
• Detailed
• PennState Time Series course
%matplotlib inline
import numpy as np
import pandas as pd
# Plot parameters
Time series with Pandas
idx = pd.date_range("2018-01-01", periods=5, freq="YS")

ts = pd.Series(range(len(idx)), index=idx)
print(ts)
2018-01-01 0
2019-01-01 1
2020-01-01 2
2021-01-01 3
2022-01-01 4
Freq: YS-JAN, dtype: int64

4.3.1 Decomposition Methods: Periodic Patterns (Trend/Seasonal) and Autocorrela-

tion
Stationarity
A TS is said to be stationary if its statistical properties such as mean, variance remain constant
over time.
• constant mean
• constant variance
• an autocovariance that does not depend on time.
what is making a TS non-stationary. There are 2 major reasons behind non-stationary of a TS:
1. Trend - varying mean over time. For eg, in this case we saw that on average, the number
of passengers was growing over time.
2. Seasonality - variations at specific time-frames. eg people might have a tendency to buy
cars in a particular month because of pay increment or festivals.
Time series analysis of Google trends
Get Google Trends data of keywords such as ‘diet’ and ‘gym’ and see how they vary over time
while learning about trends and seasonality in time series data.
In the Facebook Live code along session on the 4th of January, we checked out Google trends
data of keywords ‘diet’, ‘gym’ and ‘finance’ to see how they vary over time. We asked ourselves
if there could be more searches for these terms in January when we’re all trying to turn over a
new leaf?
In this tutorial, you’ll go through the code that we put together during the session step by step.
You’re not going to do much mathematics but you are going to do the following:
• Read data
• Recode data
• Exploratory Data Analysis
Read data
try:
url = "https://github.com/datacamp/datacamp_facebook_live_ny_resolution/raw/
˓→master/data/multiTimeline.csv"
df = pd.read_csv(url, skiprows=2)
except:
df = pd.read_csv("../datasets/multiTimeline.csv", skiprows=2)
print(df.head())
# Rename columns
df.columns = ['month', 'diet', 'gym', 'finance']
# Describe
print(df.describe())
4.3. Time Series 97

Month diet: (Worldwide) gym: (Worldwide) finance: (Worldwide)

0 2004-01 100 31 48
1 2004-02 75 26 49
2 2004-03 67 24 47
3 2004-04 70 22 48
4 2004-05 72 22 43
diet gym finance
count 168.000000 168.000000 168.000000
mean 49.642857 34.690476 47.148810
std 8.033080 8.134316 4.972547
min 34.000000 22.000000 38.000000
25% 44.000000 28.000000 44.000000
50% 48.500000 32.500000 46.000000
75% 53.000000 41.000000 50.000000
max 100.000000 58.000000 73.000000
Recode data
Next, you’ll turn the ‘month’ column into a DateTime data type and make it the index of the
DataFrame.
Note that you do this because you saw in the result of the .info() method that the ‘Month’
column was actually an of data type object. Now, that generic data type encapsulates everything
from strings to integers, etc. That’s not exactly what you want when you want to be looking
at time series data. That’s why you’ll use .to_datetime() to convert the ‘month’ column in your
DataFrame to a DateTime.
Be careful! Make sure to include the in place argument when you’re setting the index of the
DataFrame df so that you actually alter the original index and set it to the ‘month’ column.
df.month = pd.to_datetime(df.month)
df.set_index('month', inplace=True)
df = df[["diet", "gym"]]
print(df.head())
diet gym
month
2004-01-01 100 31
2004-02-01 75 26
2004-03-01 67 24
2004-04-01 70 22
2004-05-01 72 22
Exploratory data analysis

You can use a built-in pandas visualization method .plot() to plot your data as 3 line plots on a
single figure (one for each column, namely, ‘diet’, ‘gym’, and ‘finance’).
df.plot()
plt.xlabel('Year');

Note that this data is relative. As you can read on Google trends:
Numbers represent search interest relative to the highest point on the chart for the given region
and time. A value of 100 is the peak popularity for the term. A value of 50 means that the term
is half as popular. Likewise a score of 0 means the term was less than 1% as popular as the
peak.
Trends : Resampling, Rolling average, (Smoothing, Windowing)
Identify trends or remove seasonality

1. Subsampling at year frequency
2. Rolling average (Smoothing, Windowing), for each time point, take the average of the
points on either side of it. Note that the number of points is specified by a window size.
diet = df['diet']
diet_resamp_yr = diet.resample('YE').mean()
diet_roll_yr = diet.rolling(12).mean()
ax = diet.plot(alpha=0.5, style='-') # store axis (ax) for latter plots

diet_resamp_yr.plot(style=':', label='Resample at year frequency', ax=ax)
diet_roll_yr.plot(style='--', label='Rolling average (smooth), window size=12',
ax=ax)
_ = ax.legend()
4.3. Time Series 99

Rolling average (smoothing) with Numpy
x = np.asarray(df[['diet']])
win = 12
win_half = int(win / 2)
diet_smooth = np.array([x[(idx-win_half):(idx+win_half)].mean()
for idx in np.arange(win_half, len(x))])
_ = plt.plot(diet_smooth)
Trends: Plot Diet and Gym using rolling average

Build a new DataFrame which is the concatenation diet and gym smoothed data
df_trend = pd.concat([df['diet'].rolling(12).mean(), df['gym'].rolling(12).

˓→mean()], axis=1)
df_trend.plot()
plt.xlabel('Year')
Text(0.5, 0, 'Year')

Seasonality by detrending (remove average)
df_dtrend = df[["diet", "gym"]] - df_trend

df_dtrend.plot()
plt.xlabel('Year')
Seasonality by First-order Differencing
First-order approximation using diff method which compute original - shifted data:
# exclude first term for some implementation details

assert np.all((diet.diff() == diet - diet.shift())[1:])
df.diff().plot()
plt.xlabel('Year')
4.3. Time Series 101

Periodicity and Autocorrelation
Correlation matrix
print(df.corr())
diet gym
diet 1.000000 -0.100764
gym -0.100764 1.000000
‘diet’ and ‘gym’ are negatively correlated! Remember that you have a seasonal and a trend
component. The correlation is actually capturing both of those. Decomposing into separate
components provides a better insight of the data:
Trends components that are negatively correlated:
df_trend.corr()
Seasonal components (Detrended or First-order Differencing) are positively correlated
print(df_dtrend.corr())
print(df.diff().corr())
diet gym
diet 1.000000 0.600208
gym 0.600208 1.000000
diet gym
diet 1.000000 0.758707
gym 0.758707 1.000000
Seasonal_decompose function of statsmodels. “The results are obtained by first estimating the
trend by applying a using moving averages or a convolution filter to the data. The trend is
then removed from the series and the average of this de-trended series for each period is the
returned seasonal component.”
We use additive (linear) model, i.e., TS = Level + Trend + Seasonality + Noise
• Level: The average value in the series.

• Trend: The increasing or decreasing value in the series.

• Seasonality: The repeating short-term cycle in the series.
• Noise: The random variation in the series.
from statsmodels.tsa.seasonal import seasonal_decompose
x = df.gym.astype(float) # force float

decomposition = seasonal_decompose(x)
trend = decomposition.trend
seasonal = decomposition.seasonal
residual = decomposition.resid
fig, axis = plt.subplots(4, 1, figsize=(fig_w, fig_h))
axis[0].plot(x, label='Original')
axis[0].legend(loc='best')
axis[1].plot(trend, label='Trend')
axis[2].plot(seasonal,label='Seasonality')
axis[3].plot(residual, label='Residuals')
plt.tight_layout()

Autocorrelation function (ACF)
A time series is periodic if it repeats itself at equally spaced intervals, say, every 12 months.
Autocorrelation Function (ACF): It is a measure of the correlation between the TS with a lagged
version of itself. For instance at lag 5, ACF would compare series at time instant 𝑡 with series at
instant 𝑡 − ℎ.
• The autocorrelation measures the linear relationship between an observation and its pre-
vious observations at different lags (ℎ).
• Represents the overall correlation structure of the time series.
• Used to identify the order of a moving average (MA) process.
from statsmodels.graphics.tsaplots import plot_acf, plot_pacf

# from statsmodels.tsa.stattools import acf, pacf
# We could have considered the first order differences to capture the seasonality
# x = df["gym"].astype(float).diff().dropna()
# Bu we use the detrended signal

x = df_dtrend.gym.dropna()
plt.plot(x)
plt.show()


plot_acf(x)
plt.show()
Partial autocorrelation function (PACF)
• Partial autocorrelation measures the direct linear relationship between an observation and
its previous observations at a specific offset, excluding contributions from intermediate
offsets.
• Highlights direct relationships between observations at specific lags.
• Used to identify the order of an autoregressive (AR) process. The partial autocorrelation
of an AR(p) process equals zero at lags larger than p, so the appropriate maximum lag p
is the one after which the partial autocorrelations are all zero.
plot_pacf(x)
plt.show()

PACF peaks every 12 months, i.e., the signal is correlated with itself shifted by 12 months. Its,
then slowly decrease is due to the trend.
4.3.2 Time series forecasting using Autoregressive AR(p) models
Sources:
• Simple modeling with AutoReg
The autoregressive orders. In general, we can define an AR(p) model with 𝑝 autoregressive
terms as follows:
𝑝
∑︁
𝑥𝑡 = 𝑎𝑖 𝑥𝑡−𝑖 + 𝜀𝑡
𝑖
from sklearn.metrics import root_mean_squared_error as rmse

from statsmodels.tsa.api import AutoReg
# We set the frequency for the time series to “MS” (month-start) to avoid␣
˓→warnings when using AutoReg.
x = df_dtrend.gym.dropna().asfreq("MS")
ar1 = AutoReg(x, lags=1).fit()
print(ar1.summary())
AutoReg Model Results

==============================================================================
Dep. Variable: gym No. Observations: 157
Model: AutoReg(1) Log Likelihood -387.902
Method: Conditional MLE S.D. of innovations 2.908
Date: Sun, 06 Oct 2024 AIC 781.803
Time: 15:14:17 BIC 790.953
Sample: 01-01-2005 HQIC 785.519
- 12-01-2017
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const 0.6416 0.243 2.641 0.008 0.165 1.118


gym.L1 0.2448 0.078 3.119 0.002 0.091 0.399
Roots
=============================================================================
Real Imaginary Modulus Frequency
-----------------------------------------------------------------------------
AR.1 4.0853 +0.0000j 4.0853 0.0000
-----------------------------------------------------------------------------
Partial autocorrelation function (PACF) peaks at 𝑝 = 12, try AR(12):
ar12 = AutoReg(x, lags=12).fit()
fig, axis = plt.subplots(2, 1, figsize=(fig_w, fig_h))
axis[0].plot(ar1.predict(), label='AR(1)')
axis[1].plot(ar12.predict(), label='AR(12)')
_ = axis[1].legend(loc='best')
mae = lambda y_true, y_pred : (y_true - y_pred).dropna().abs().mean()

print("MAE: AR(1) %.3f" % mae(x, ar1.predict()),
"AR(12) %.3f" % mae(x, ar12.predict()))

MAE: AR(1) 2.093 AR(12) 1.375
Automatic model selection using Akaike information criterion (AIC). AIC drops at 𝑝 = 12.
aics = [AutoReg(x, lags=p).fit().aic for p in range(1, 50)]

_ = plt.plot(range(1, len(aics)+1), aics)
4.3.3 Discrete Fourier Transform (DFT)
Fig. 1: Discrete Fourier Transform
Fourier Analysis
• Fourier analysis is a mathematical method used to decompose functions or signals into
their constituent frequencies, known as sine and cosine components, that form a orthog-
onal basis.

• It transforms a time-domain signal into a frequency-domain representation, making it

useful for analyzing periodic or non-periodic signals.
• This technique is widely applied in fields like signal processing, image analysis, and solv-
ing differential equations.
Discrete Fourier Transform (DFT)
• The Discrete Fourier Transform (DFT) is a specific form of Fourier analysis applied to
discrete signals, transforming a finite sequence of equally spaced samples into a frequency-
domain representation.
• It breaks down a discrete signal into a sum of sine and cosine waves, each with specific
amplitudes and frequencies.
• The DFT is widely used in digital signal processing for tasks like filtering and spectral
analysis.
The Basics of Waves
A cosine wave can be represented by the following equation:
𝑦(𝑡) = 𝐴 cos(2𝜋𝑓 𝑡 + 𝜑)
• 𝜑 is the phase of the signal.

• 𝑇 = 1/𝑓 is the period of the wave,
• 𝑓 is the frequency of the wave
• 𝐴 is the amplitude of the signal
To generate sample we need to define the sampling rate which is the number of sample per
second.
def sine(A=1, f=10, phase=0, duration=1.0, sr=100.0):

# sampling interval
ts = 1.0 / sr
t = np.arange(0, duration, ts)
return t, A * np.sin(2 * np.pi * f * t + phase)
def cosine(A=1, f=10, phase=0, duration=1.0, sr=100.0):

# sampling interval
ts = 1.0 / sr
t = np.arange(0, duration, ts)
return t, A * np.cos(2 * np.pi * f * t + phase)
sr = 200
t, sine_1hz = cosine(A=3, f=1, sr=sr, duration=2)

#t, sine_1hz = sine(A=2, f=10, sr=sr, duration=2)
t, sine_10hz = cosine(A=1, f=10, sr=sr, duration=2)
t, sine_50hz = cosine(A=.5, f=50, sr=sr, duration=2)
#t, sine_20hz = sine(A=.5, f=10, sr=sr, duration=2)
y = sine_1hz + sine_10hz + sine_50hz


# Plot the signal
plt.plot(t, y, c=colors[0])
plt.xlabel('Time [sec]')
plt.ylabel('Amplitude')
plt.title('Sum of three signals')
plt.show()
Discrete Cosine Transform DCT

• A discrete cosine transform (DCT) expresses a finite sequence of data points in terms of a
sum of cosine functions oscillating at different frequencies.
• A DCT is a Fourier-related transform similar to the discrete Fourier transform (DFT), but
using only real numbers.
• See also Discrete Sine Transform DST
There are several definitions of the DCT, see DCT with Scipy for details. For educational pur-
pose, we use a simplified modified version:
𝑁 −1
∑︁ 2𝜋𝑘𝑛
𝑋𝑘 = 𝑥𝑛 cos( ),
𝑁
𝑛=0
where
• N is the number of samples
• n ie the current sample
• k ie the current frequency, where 𝑘 ∈ [0, 𝑁 − 1]
• 𝑥𝑛 is the sine value at sample 𝑛
• 𝑋𝑘 are the (frequency terms or DCT) which include information of amplitude. It is called
the spectrum of the signal.
Relation between
• 𝑓𝑠 : Sampling rate or Frequency of Sampling, where
• 𝑇 : Duration

𝑁
𝑓𝑠 =
𝑇
Generate Signal, as an addition of three cosines at different frequencies: 1 Hz, 10 Hz, and 50
Hz:
T = 2. # duration
fs = 100 # Sampling rate/frequency: number of samples per second
ts = 1.0 / fs # sampling interval
t = np.arange(0, T, ts) # time axis
N = len(t)
# Generate Signal
x = 0
x += 3.0 * np.cos(2 * np.pi * 1.00 * t)
x += 1.0 * np.cos(2 * np.pi * 10.0 * t)
x += 1.0 * np.cos(2 * np.pi * 50.0 * t)
# Plot
plt.figure()#figsize = (8, 6))

plt.plot(t, x)
plt.show()
Cosines Basis
N = len(x)
n = np.arange(N)
k = n.reshape((N, 1))
cosines = np.cos(2 * np.pi * k * n / N)
# Plot
plt.imshow(cosines[:100, :])
plt.xlabel('Time [s]')
plt.ylabel('Freq. [Hz]')
plt.title('Cosines Basis')
plt.show()

Decompose signal on cosine basis (dot product), i.e., DCT without signal normalization
X = np.dot(cosines, x)
# Frequencies = N / T
freqs = np.arange(N) / T
# Examine Spectrum, look for frequencies below N / 2
res = pd.DataFrame(dict(freq=freqs, val=X))

res = res[:(N // 2 + 1)]
res = res.iloc[np.where(res.val > 0.01)]
print(res)
freq val
2 1.0 300.0
20 10.0 100.0
100 50.0 200.0
Discrete Fourier Transform (DFT)

• The Fourier Transform (FT) decompose any signal into a sum of simple sine and cosine
waves that we can easily measure the frequency, amplitude and phase.
• FT can be applied to continuous or discrete waves, in this chapter, we will only talk about
the Discrete Fourier Transform (DFT).”
𝑁
∑︁−1 𝑁
∑︁−1
−𝑖2𝜋𝑘𝑛/𝑁
𝑋𝑘 = 𝑥𝑛 𝑒 = 𝑥𝑛 [cos(2𝜋𝑘𝑛/𝑁 ) − 𝑖 sin(2𝜋𝑘𝑛/𝑁 )],
𝑛=0 𝑛=0
Where
• 𝑋𝑘 are the (frequency terms or DFT) which include information of both amplitude and
phase. It is called the spectrum of the signal.
If the input signal is a real-valued sequence the negative frequency terms are just the complex
conjugates of the corresponding positive-frequency terms, and the negative-frequency terms
are therefore redundant. The DFT spectrum will be symmetric. Therefore, usually we only
plot the DFT corresponding to the positive frequencies and divide by 𝑁/2 to get the amplitude
corresponding to the time domain signal.

The amplitude is the and phase of the signal can be calculated as:
TODO FFT
fs = 100 # sampling rate/frequency: number of samples per second

ts = 1.0 / fs # sampling interval
T = 1 # duration
t = np.arange(0, T, ts)
x = 3 * np.sin(2 * np.pi * 1 * t)
x += np.sin(2 * np.pi * 4 * t)
x += 0.5* np.sin(2 * np.pi * 7 * t)
plt.figure()#figsize = (8, 6))

plt.plot(t, x)
plt.show()
from numpy.fft import fft, ifft
X = fft(x)
# Frequencies
N = len(X) # number of frequencies = number of samples

T = N / fs # duration
freqs = np.arange(N) / T # Frequencies = N / T
res = pd.DataFrame(dict(freq=freqs, val=abs(X)))

res = res[:(N // 2 + 1)]
res = res.iloc[np.where(res.val > 0.01)]
print(res)
def plot_fft(X, freqs, t, xlim):
plt.figure()
plt.subplot(121)

plt.stem(freqs, np.abs(X), 'b', \

markerfmt=" ", basefmt="-b")
plt.xlabel('Freq (Hz)')
plt.ylabel('FFT Amplitude |X(freq)|')
plt.xlim(0, xlim)
plt.subplot(122)
plt.plot(t, ifft(X), 'r')
plt.xlabel('Time (s)')
plt.tight_layout()
plt.show()
plot_fft(X, freqs, t, xlim=10)
freq val
1 1.0 150.0
4 4.0 50.0
7 7.0 25.0
/home/ed203246/git/pystatsml/.pixi/envs/default/lib/python3.12/site-packages/
˓→matplotlib/cbook.py:1762: ComplexWarning: Casting complex values to real␣
˓→discards the imaginary part
return math.isfinite(val)
˓→matplotlib/cbook.py:1398: ComplexWarning: Casting complex values to real␣
˓→discards the imaginary part
return np.asarray(x, float)
x = df['diet']
x -= x.mean()
x.plot()
fs = 12 # sampling frequency 12 sample / year

X = fft(x)
# Frequencies
N = len(X) # number of frequencies = number of samples

T = N / fs # duration
freqs = np.arange(N) / T # Frequencies = N / T
Xn = abs(X)
print(pd.Series(Xn, index=freqs).describe())
res = pd.DataFrame(dict(freq_year=freqs, freq_month=12 / freqs, val=Xn))

res = res[:(N // 2 + 1)]
res = res.iloc[np.where(res.val > 200)]
print(res)
# plot_fft(X, freqs, t, xlim=15)
count 1.680000e+02
mean 6.938104e+01
std 7.745030e+01
min 5.115908e-13
25% 3.132051e+01
50% 4.524089e+01
75% 6.551233e+01
max 4.429661e+02
dtype: float64
freq_year freq_month val
2 0.142857 84.0 442.966103
14 1.000000 12.0 422.372698
28 2.000000 6.0 271.070102
42 3.000000 4.0 215.675682
56 4.000000 3.0 248.131014
70 5.000000 2.4 216.030794
84 6.000000 2.0 240.000000

/tmp/ipykernel_21387/2580075766.py:14: RuntimeWarning: divide by zero encountered␣

˓→in divide
res = pd.DataFrame(dict(freq_year=freqs, freq_month=12 / freqs, val=Xn))
4.4 Optimization (Minimization) by Gradient Descent
4.4.1 Gradient Descent
Fig. 2: Optimization (minimization) by gradient descent
Gradient descent is an optimization algorithm to minimize a cost or loss function 𝑓 given

its parameter 𝑤. The algorithm iteratively moves in the direction of steepest descent as
defined by the opposite direction the gradient. In machine learning, we use gradient descent
to update the parameters of our model. Parameters refer to coefficients in Linear Regression
and weights in neural networks.
Local minimization of 𝑓 at point 𝑥𝑘 make use of first-order Taylor expansion local estimation of
𝑓 (in one dimension):
𝑓 (𝑤𝑘 + 𝑡) ≈ 𝑓 (𝑤𝑘 ) + 𝑓 ′ (𝑤𝑘 )𝑡
Therefore, to minimize 𝑓 (𝑤𝑘 +𝑡) we just have to move in the opposite direction of the derivative
𝑓 ′ (𝑤𝑘 ):
𝑤𝑘+1 = 𝑤𝑘 − 𝛾𝑓 ′ (𝑤𝑘 )

With a learning rate 𝛾 that determines the step size at each iteration while moving toward a
minimum of a cost function.
In multidimensional problems w𝑘 ∈ R𝑝 , where:
⎡ ⎤
𝑤1
w𝑘 = ⎣ ... ⎦ ,
⎢ ⎥
𝑤𝑝 𝑘
the derivative 𝑓 ′ (w𝑘 ) is the gradient (direction) of 𝑓 at w𝑘 :

⎡ ⎤
𝜕𝑓 /𝜕𝑤1
∇𝑓 (w𝑘 ) = ⎣ ..
⎦ ,
⎢ ⎥
.
𝜕𝑓 /𝜕𝑤𝑝 𝑘
Leading to the minimization scheme:
w𝑘+1 = w𝑘 − 𝛾∇𝑓 (w𝑘 )
Choosing the Step Size
With large learning rate 𝛾 we can cover more ground each step, but we risk overshooting the
lowest point since the slope of the hill is constantly changing.
With a very small learning rate**, we can confidently move in the direction of the negative
gradient since we are recalculating it so frequently. A small learning rate is more precise, but
calculating the gradient is time-consuming, leading too slow convergence
Fig. 3: jeremyjordan
Line search can be used (or more sophisticated Backtracking line search) to find value of 𝛾
such that 𝑓 (w𝑘 − 𝛾∇𝑓 (w𝑘 )) is minimum. However such simple method ignore possible change
of the curvature.
• Benefit of gradient decent: simplicity and versatility, almost any function with a gradient
can be minimized.
• Limitations:
– Local minima (local optimization) for non-convex problem.
4.4. Optimization (Minimization) by Gradient Descent 117

– Convergence speed: With fast changing curvature (gradient direction) the estimation
of gradient will rapidly become wrong moving away from 𝑥𝑘 suggesting small step-
size. This also suggest the integration of change of the gradient direction in the
calculus of the step size.
Libraries
import numpy as np
import pandas as pd
from scipy.optimize import minimize
import numdifftools as nd
# Plot
from matplotlib import cm # color map
# Plot parameters
plt.rcParams['figure.figsize'] = (fig_w, fig_h * 1.)
#%matplotlib inline
Gradient Descent Algorithm
def gradient_descent(fun, x0, args=(), method="first-order", jac=None,

hess=None, tol=1.5e-08,
options=dict(learning_rate=0.01,
maxiter=1000,
intermediate_res=False)):
""" Gradient Descent minimization.
To make API compatible with scipy.optimize.minimize, it takes a
required fun parameters that is not used and an optional jac
that is used to compute the gradient.
Parameters
----------
fun : callable
The objective function to be minimized.
x0 : ndarray, shape (n_features,)
Initial guess.
args : tuple, optional
Extra arguments passed to the objective function and its derivatives
(fun, jac and hess functions)
method : string, optional
the solver, by default "first-order" if the basic first-order gradient
descent.
jac : callable, optional
Method for computing the gradient vector, the Jacobian.,


by default None.
jac(x, *args) -> array_like, shape (n_features,)
hess : callable, optional
Method for computing the Hessian matrix, by default None
hess(x, *args) -> ndarray, (n_features, n_features)
tol : float, optional
Tolerance for termination. Default = 1.5e-08,
sqrt(np.finfo(np.float64).eps)
options : dict, optional
A dictionary of solver options., by default dict(learning_rate=0.01,
maxiter=1000, intermediate_res=False)
Returns
-------
ndarray, shape (n_features,): the solution, intermediate_res dict
"""
# Initialize parameters
weights_k = x0.copy()
# Termination criteria
k, eps = 0, np.inf
# Dict to store intermediate results
intermediate_res = dict(eps=[], weights=[])
# Perform gradient descent

while eps > tol and k < options["maxiter"]:
#for k in range(options["maxiter"]):
weights_prev = weights_k.copy()
weights_grad = jac(weights_k, *args)
# Update the parameters
if method == "first-order" and "learning_rate" in options:
weights_k -= options["learning_rate"] * weights_grad
if method == "Newton" and hess is not None:
H = hess(weights_k, *args)
Hinv = np.linalg.inv(H)
weights_k -= options["learning_rate"] * np.dot(Hinv, weights_grad)
# Update termination criteria

k, eps = k + 1, np.sum((weights_k - weights_prev) ** 2)
if options["intermediate_res"]:
intermediate_res["eps"].append(eps)
intermediate_res["weights"].append(weights_prev)
return weights_k, intermediate_res

Gradient Descent with Exact Gradient
Minimize:
𝑓 (w) = 𝑓 (𝑥, 𝑦) = 𝑥2 + 𝑦 2 + 𝑥𝑦
[︂ ]︂ [︂ ]︂
𝜕𝑓 /𝜕𝑥 2𝑥 + 1
∇𝑓 (w) = = ,
𝜕𝑓 /𝜕𝑦 2𝑦 + 1
def f(x):
x = np.asarray(x)
x, y = (x[0], x[1]) if x.ndim == 1 else (x[:, 0], x[:, 1])
return x ** 2 + y ** 2 + 1 * x * y
print("f:", f([[1, 2],[3, 4]]))

print("f:", f([1, 2]), f([3, 4]))
def f_grad(x):
x = np.asarray(x, dtype=float)
x, y = (x[0], x[1]) if x.ndim == 1 else (x[:, 0], x[:, 1])
return np.array([2 * x + 1, 2 * y + 1])
print("Grad f:", f_grad([1, 1]))

f: [ 7 37]
f: 7 37
Grad f: [3. 3.]
Grad f: [3. 5.]
Grad f: [11. 11.]
x0 = np.array([30., 40.])
lr = 0.1
weights_sol, intermediate_res = \
gradient_descent(fun=f, x0=x0, jac=f_grad,
options=dict(learning_rate=lr,
maxiter=100,
intermediate_res=True))
res_ = pd.DataFrame(intermediate_res)
print(res_.head(5))
print(res_.tail(5))
print("Solution: ", weights_sol)
eps weights
0 102.820000 [30.0, 40.0]
1 65.804800 [23.9, 31.9]
2 42.115072 [19.02, 25.419999999999998]
3 26.953646 [15.116, 20.235999999999997]


4 17.250333 [11.992799999999999, 16.0888]
eps weights
47 7.989809e-08 [-0.499149784089306, -0.49887102477432443]
48 5.113478e-08 [-0.4993198272714448, -0.4990968198194595]
49 3.272626e-08 [-0.49945586181715584, -0.4992774558555676]
50 2.094480e-08 [-0.4995646894537247, -0.4994219646844541]
51 1.340467e-08 [-0.49965175156297975, -0.4995375717475633]
Solution: [-0.4997214 -0.49963006]
Plot solution functions
def plot_surface(x_range, y_range, f, surf=True, wireframe=False):

x, y = np.linspace(x_range[0], x_range[1], 100), np.linspace(y_range[0], y_
˓→range[1], 100)
#x, y = np.arange(-5, 5, 0.25), np.arange(-5, 5, 0.25)

xx, yy = np.meshgrid(x, y)
zz = f(np.column_stack((xx.ravel(), yy.ravel()))).reshape(xx.shape)
# Figure
# Plot the surface.

if surf:
surf = ax.plot_surface(xx, yy, zz, cmap=cm.coolwarm,
linewidth=0, antialiased=True, alpha=0.5, zorder=10)
if wireframe:
ax.plot_wireframe(xx, yy, zz, rstride=2, cstride=2, color='gray', alpha=0.
˓→5, lw=1)
ax.set_xlabel('x'); ax.set_ylabel('y')
return ax, (xx, yy, zz)
def crop(x, x_range, y_range):

mask = (x[:, 0] >= x_range[0]) & (x[:, 0] <= x_range[1]) &\
(x[:, 1] >= y_range[0]) & (x[:, 1] <= y_range[1])
return x[mask]
#return x[np.all((x >= min) & (x <= max), axis=1)]
def plot_path(x, y, z, color, label, ax):

sc = ax.plot3D(x, y, z, c=color)
sc = ax.scatter3D(x, y, z, c=color, s=30, label=label)
return ax
Solutions’path for different learning rates
x_range = y_range = [-5., 5.]
# Plot function surface

ax, _ = plot_surface(x_range=x_range, y_range=y_range, f=f)


# Plot solution paths
x0 = np.array([3., 4.])
lr = 0.01
maxiter=10,
sols = crop(np.array(intermediate_res["weights"]),
x_range, y_range)
plot_path(sols[:, 0], sols[:, 1], f(sols), colors[0],
'lr:%.02f' % lr, ax)
lr = 0.1
maxiter=10,
x_range, y_range)
'lr:%.02f' % lr, ax)
lr = 0.9
maxiter=10,
x_range, y_range)
'lr:%.02f' % lr, ax)
lr = 1.
maxiter=10,
x_range, y_range)
'lr:%.02f' % lr, ax)

plt.legend()
plt.show()
Gradient Descent Numerical Approximation of the Gradient
# Numerical approximation
f_grad = nd.Gradient(f)
lr = 0.1
maxiter=10,
res_ = pd.DataFrame(intermediate_res)
print(res_.head(5))
print(res_.tail(5))
[3. 3.]


[4. 5.]
[15. 15.]
eps weights
0 2.210000 [3.0, 4.0]
1 1.084500 [2.0, 2.9000000000000203]
2 0.532701 [1.3099999999999983, 2.1200000000000156]
3 0.262073 [0.8359999999999975, 1.5650000000000128]
4 0.129266 [0.5122999999999966, 1.1684000000000108]
eps weights
5 0.064029 [0.29299999999999615, 0.8834900000000089]
6 0.031932 [0.14605099999999605, 0.6774920000000075]
7 0.016099 [0.04909159999999599, 0.5273885000000065]
8 0.008254 [-0.01346557000000384, 0.4170016400000056]
9 0.004341 [-0.05247262000000364, 0.33494786900000495]
Solution: [-0.07547288 0.27320556]
First-order Gradient Descent to Minimize Linear Regression
Least squares problem solved by linear regression

Given a linear model where the output is a weighted sum of the inputs, the model can be
expressed as:
∑︁
𝑦𝑖 = 𝑤𝑝 𝑥𝑖𝑝
𝑝
where:
• 𝑦𝑖 is the predicted output for the i-th sample,
• 𝑤𝑝 are the weights (parameters) of the model,
• 𝑥𝑖𝑝 is the p-th feature of the i-th sample.
The objective in least squares minimization is to minimize the following cost function 𝐽(w):
(︃ )︃2
1 ∑︁ ∑︁
𝐽(w) = 𝑦𝑖 − 𝑤𝑝 𝑥𝑖𝑝
2 𝑝
𝑖
where w is the vector of weights w = [𝑤1 , 𝑤2 , . . . , 𝑤𝑝 ]𝑇 .

Gradient vector (Jacobian) of the least squares problem solved by linear regression
Gradient of the cost function ∇𝐽(w):
(︃ )︃
𝜕𝐽(w) ∑︁ ∑︁
∇𝐽(w) = 𝑤𝑞 𝑥𝑖𝑞 − 𝑦𝑖 𝑥𝑖𝑝 .
𝜕𝑤𝑝 𝑞 𝑖
Note that the gradient is also called the Jacobian which is the vector of first-order partial deriva-
tives of a scalar-valued function of several variables.

def lse(weights, X, y):

"""
Least Squared Error function.
Parameters
----------
weights: coefficients of the linear model, (n_features) numpy array
X: input variables, (n_samples x n_features) numpy array
y: target variable, (n_samples,) numpy array
Returns
-------
Least Squared Error, scalar
"""
y_pred = np.dot(X, weights)

err = y_pred - y
return np.sum(err ** 2)
def gradient_lse_lr(weights, X, y):

"""Gradient of Least Squared Error cost function of linear regression.
Parameters
----------
Returns
-------
Gradient array, shape (n_features,)
"""
y_pred = np.dot(X, weights)
err = y_pred - y
grad = np.dot(err, X)
return grad
import numpy as np
n_sample, n_features = 100, 2
X = np.random.randn(n_sample, n_features)
weights = np.array((3, 2))
y = np.dot(X, weights)
lr = 0.01
gradient_descent(fun=lse, x0=np.zeros(weights.shape), args=(X, y),
jac=gradient_lse_lr,
maxiter=15,


import pandas as pd
print(pd.DataFrame(intermediate_res))
eps weights
0 1.827068e+01 [0.0, 0.0]
1 2.533290e+00 [2.9606455406811665, 3.083060577054058]
2 5.688808e-01 [2.9474878311671824, 1.4914837597307526]
3 1.285869e-01 [3.0215058147349247, 2.242084930205261]
4 2.906710e-02 [2.989606930891622, 1.884916456416018]
5 6.570631e-03 [3.004933187739197, 2.0547169361452395]
6 1.485294e-03 [2.997654130404577, 1.9739849976431851]
7 3.357514e-04 [3.0011153188655446, 2.01236877321922]
8 7.589676e-05 [2.9994697233396193, 1.994119296045902]
9 1.715650e-05 [3.000252118741238, 2.0027959668215187]
10 3.878234e-06 [2.999880130737226, 1.9986706641729648]
11 8.766766e-07 [3.0000569915580053, 2.0006320295819435]
12 1.981731e-07 [2.9999729034982328, 1.999699503026759]
13 4.479713e-08 [3.0000128829678214, 2.0001428705768003]
14 1.012641e-08 [2.999993874823351, 1.9999320725214131]
Solution: [3.00000291 2.0000323 ]
4.4.2 Second-order Newton’s method in optimization
Newton’s method integrates the change of the curvature (ie, change of gradient direction) in the
minimization process. Since gradient direction is the change of 𝑓 , i.e., the first order derivative,
thus the change of gradient is second order derivative of 𝑓 . See Visually Explained: Newton’s
Method in Optimization
For univariate functions. Like gradient descent Newton’s method try to locally minimize 𝑓 (𝑤𝑘 +
𝑡) given a current position 𝑤𝑘 . However, while gradient descent use first order local estimation
of 𝑓 , Newton’s method increases this approximation using second-order Taylor expansion of 𝑓
around an iterate 𝑤𝑘 :
1
𝑓 (𝑤𝑘 + 𝑡) ≈ 𝑓 (𝑤𝑘 ) + 𝑓 ′ (𝑤𝑘 )𝑡 + 𝑓 ′′ (𝑤𝑘 )𝑡2
2
Cancelling the derivative of this expression: 𝑑𝑡 𝑑
(𝑓 (𝑤𝑘 ) + 𝑓 ′ (𝑤𝑘 )𝑡 + 12 𝑓 ′′ (𝑤𝑘 )𝑡2 ) = 0, provides
′
𝑓 ′ (𝑤𝑘 ) + 𝑓 ′′ (𝑤𝑘 )𝑡 = 0, and thus 𝑡 = 𝑓𝑓′′(𝑤 𝑘) 1
(𝑤𝑘 ) . The learning rate is 𝛾 = 𝑓 ′′ (𝑤𝑘 ) , and optimization
scheme becomes:
1
𝑤𝑘+1 = 𝑤𝑘 − 𝑓 ′ (𝑤𝑘 ).
𝑓 ′′ (𝑤𝑘 )
In multidimensional problems w𝑘 ∈ R𝑝 , [𝑓 ′′ (w𝑘 )]−1 is the inverse of the (𝑝 × 𝑝) Hessian matrix

containing the second-order partial derivatives of 𝑓 . It is noted:
𝑓 ′′ (w𝑘 ) = ∇2 𝑓 (w𝑘 ) = H𝑓 (w𝑘 )

The optimization scheme becomes:

[︀ ]︀−1
w𝑘+1 = w𝑘 − 𝛾 H𝑓 (w𝑘 ) ∇𝑓 (w𝑘 ).
We can introduce a small step size 0 ≤ 𝛾 < 1 instead of 𝛾 = 1.

• Benefit of Newton’s method: Convergence speed considering the change of the curvature
of 𝑓 to adapt the learning rate and direction.
• Problems:
• Local minima (local optimization) for non-convex problem.
• In large dimension, computing the Newton direction −[𝑓 ′′ (𝑤𝑘 )]−1 𝑓 ′ (𝑤𝑘 ) can be an expen-
sive operation.
Second-order Newton’s Method to Minimize Linear Regression
** Hessian Matrix of the Least Squares Problem solved by Linear Regression**

The Hessian matrix 𝐻 of the least squares problem is a square matrix of second-order partial
derivatives of the cost function with respect to the model parameters. It is given by:
𝐻 = ∇2 𝐽(w)
For the least squares cost function, 𝐽(w), the Hessian is calculated as follows:
The Hessian 𝐻 is the matrix of second derivatives of 𝐽(w) with respect to 𝑤𝑝 and 𝑤𝑞 . 𝐻 is a
measure of the curvature of 𝐽: The eigenvectors of 𝐻 point in the directions of the major and
minor axes. The eigenvalues measure the steepness of 𝐽 along the corresponding eigendirec-
tion. Thus, each eigenvalue of 𝐻 is also a measure of the covariance or spread of the inputs
along the corresponding eigendirection.
𝜕 2 𝐽(w)
𝐻𝑝𝑞 =
𝜕𝑤𝑝 𝜕𝑤𝑞
Given the form of the gradient, the second derivative with respect to 𝑤𝑝 and 𝑤𝑞 simplifies to:
∑︁
𝐻𝑝𝑞 = 𝑥𝑖𝑝 𝑥𝑖𝑞
𝑖
This can be written more compactly in matrix form as:
𝐻 = X𝑇 X
where 𝑋 is the matrix of input features (each row corresponds to a sample, and each column
corresponds to a feature) with 𝑋𝑖𝑝 = 𝑥𝑖𝑝 .
In this case the Hessian turns out the be the same as the covariance matrix of the inputs. Thus,
each eigenvalue of 𝐻 is also a measure of the covariance or spread of the inputs along the
corresponding eigendirection.
def hessian_lse_lr(weights, X, y):

"""Hessian of Least Squared Error cost function of linear regression.
To make API compatible with scipy.optimize.minimize, it takes a required␣
˓→weights parameters


that is not used.
Parameters
----------
It is not used, you can safely give None.
Returns
-------
Hessian array, shape (n_features, n_features)
"""
return np.dot(X.T, X)
gradient_descent(fun=lse, x0=np.zeros(weights.shape), args=(X, y),
jac=gradient_lse_lr, hess=hessian_lse_lr,
options=dict(learning_rate=0.01,
maxiter=15,
print(pd.DataFrame(intermediate_res))
eps weights
0 1.827068e+01 [0.0, 0.0]
1 2.533290e+00 [2.9606455406811665, 3.083060577054058]
2 5.688808e-01 [2.9474878311671824, 1.4914837597307526]
3 1.285869e-01 [3.0215058147349247, 2.242084930205261]
4 2.906710e-02 [2.989606930891622, 1.884916456416018]
5 6.570631e-03 [3.004933187739197, 2.0547169361452395]
6 1.485294e-03 [2.997654130404577, 1.9739849976431851]
7 3.357514e-04 [3.0011153188655446, 2.01236877321922]
8 7.589676e-05 [2.9994697233396193, 1.994119296045902]
9 1.715650e-05 [3.000252118741238, 2.0027959668215187]
10 3.878234e-06 [2.999880130737226, 1.9986706641729648]
11 8.766766e-07 [3.0000569915580053, 2.0006320295819435]
12 1.981731e-07 [2.9999729034982328, 1.999699503026759]
13 4.479713e-08 [3.0000128829678214, 2.0001428705768003]
14 1.012641e-08 [2.999993874823351, 1.9999320725214131]
Solution: [3.00000291 2.0000323 ]

4.4.3 Quasi-Newton Methods
Quasi-Newton Methods are an alternative of Newton Methods when Hessian is unavailable or

is too expensive to compute at every iteration.
The most popular quasi-Newton method is the Broyden–Fletcher–Goldfarb–Shanno algorithm
BFGS
Example: Minimizes linear regression
Note, that we provide the function to be minimized (Mean Squared Error) but the expression
of the gradient which is estimated numerically.
from scipy.optimize import minimize
result = minimize(fun=lse, x0=[0, 0], args=(X, y), method='BFGS')

b0, b1 = result.x
print("Solution: {:e} x + {:e}".format(b1, b0))
Solution: 2.000000e+00 x + 3.000000e+00
4.4.4 Gradient Descent Variants: Data Sampling Strategies
There are three variants of gradient descent, which differ on the use of the dataset made of 𝑛
samples of input data x𝑖 ’s, and possibly their corresponding targets 𝑦𝑖 ’s.
Batch gradient descent
Batch gradient descent, known also as Vanilla gradient descent, computes the gradient of the
cost function with respect to the parameters 𝜃 for the entire training dataset :
• Choose an initial vector of parameters w0 and learning rate 𝛾.
• Repeat until an approximate minimum is obtained:
– w𝑘+1 = w𝑘 − 𝛾 𝑛𝑖=1 ∇𝑓 (w𝑘 , x𝑖 , 𝑦𝑖 )
∑︀
Advantages:
• Batch Gradient Descent is suited for convex or relatively smooth error manifolds. Since it
directly towards an optimum solution.
Limitations:
• Fast convergence toward “bad” local minimum (on non-convex functions)
• As we need to calculate the gradients for the whole dataset is intractable for datasets that
don’t fit in memory and doesn’t allow us to update our model online.

Stochastic gradient descent
Stochastic gradient descent (SGD) in contrast performs a parameter update for each training
example 𝑥(𝑖) and 𝑦 (𝑖) . A complete passes through the training dataset is called an epoch. The
number of epochs is a hyperparameter to be determined observing the convergence.
• Repeat epochs until an approximate minimum is obtained:
– Randomly shuffle examples in the training set.
– For 𝑖 ∈ 1, . . . , 𝑛
* w𝑘+1 = w𝑘 − 𝛾∇𝑓 (w𝑘 , x𝑖 , 𝑦𝑖 )

Advantages:
• Often provide better local minimum. Minimization will not be smooth but rather slightly
erratic and jumpy. But this ‘random walk,’ of SGD’s fluctuation, enables it to jump from a
basin to another, with possibly deeper, local minimum.
• Online learning
Limitations:
• Large fluctuation that ultimately complicates convergence to the exact minimum, as SGD
will keep overshooting. However, when we slowly decrease the learning rate, SGD shows
the same convergence behaviour as batch gradient descent, almost certainly converging
to a local or the global minimum for non-convex and convex optimization respectively.
• Slow down computation by not taking advantage of vectorized numerical libraries.
Mini-batch gradient descent
Mini-batch gradient descent finally takes the best of both worlds and performs an update for
every mini-batch (subset of) training samples:
• Divide the training set in subsets of size 𝑚.
• Repeat epochs until an approximate minimum is obtained:
– Randomly pick a mini-batch.
– For each mini-batch 𝑏
∑︀𝑏+𝑚
* w𝑘+1 = w𝑘 − 𝛾 𝑖=𝑏 ∇𝑓 (w𝑘 , x𝑖 , 𝑦𝑖 )
Advantages:
• Reduces the variance of the parameter updates, which can lead to more stable conver-
gence.
• Make use of highly optimized matrix optimizations common to state-of-the-art deep learn-
ing libraries that make computing the gradient very efficient. Common mini-batch sizes
range between 50 and 256, but can vary for different applications.
Mini-batch gradient descent is typically the algorithm of choice when training a neural network.

4.4.5 Momentum update
Momentum and Adaptive Learning Rate Optimizers
SGD has trouble navigating ravines (areas where the surface curves much more steeply in one
dimension than in another), which are common around local optima. In these scenarios, SGD
oscillates across the slopes of the ravine while only making hesitant progress, along the bottom
towards the local optimum as in the image below.
Source
Fig. 4: No momentum: oscillations toward local largest gradient
No momentum: moving toward local largest gradient create oscillations.
Fig. 5: With momentum: accumulate velocity to avoid oscillations
With momentum: accumulate velocity to avoid oscillations.

Momentum is a method that helps to accelerate SGD in the relevant direction and dampens
oscillations as can be seen in image above. It does this by adding a fraction 𝛾 of the update
vector of the past time step to the current update vector.
v𝑘+1 = 𝛽v𝑘 + ∇𝐽(w𝑘 )
(4.1)
w𝑘+1 = w𝑘 − 𝛾∇v𝑘+1
v = 0
while True:
dw = gradient(J, w)
vx = beta * v + dw
w -= learning_rate * v

Note: The momentum term :math:`beta` is usually set to 0.9 or a similar value.
Essentially, when using momentum, we push a ball down a hill. The ball accumulates momen-
tum as it rolls downhill, becoming faster and faster on the way, until it reaches its terminal
velocity if there is air resistance, i.e. 𝛽 <1.
The same thing happens to our parameter updates: The momentum term increases for dimen-
sions whose gradients point in the same directions and reduces updates for dimensions whose
gradients change directions. As a result, we gain faster convergence and reduced oscillation.
AdaGrad: Adaptive Learning Rates
• Added element-wise scaling of the gradient based on the historical sum of squares in each
dimension.
• “Per-parameter learning rates” or “adaptive learning rates”
grad_squared = 0
while True:
dw = gradient(J, w)
grad_squared += dw * dw
w -= learning_rate * dw / (np.sqrt(grad_squared) + 1e-7)
• Progress along “steep” directions is damped.

• Progress along “flat” directions is accelerated.
• Problem: step size over long time => Decays to zero.
RMSProp: “Leaky AdaGrad”
grad_squared = 0
while True:
dw = gradient(J, w)
grad_squared += decay_rate * grad_squared + (1 - decay_rate) * dw * dw
w -= learning_rate * dw / (np.sqrt(grad_squared) + 1e-7)
• decay_rate = 1: gradient descent

• decay_rate = 0: AdaGrad
Nesterov accelerated gradient
However, a ball that rolls down a hill, blindly following the slope, is highly unsatisfactory. We’d
like to have a smarter ball, a ball that has a notion of where it is going so that it knows to
slow down before the hill slopes up again. Nesterov accelerated gradient (NAG) is a way to
give our momentum term this kind of prescience. We know that we will use our momentum
term 𝛾𝑣𝑡−1 to move the parameters 𝜃.
Computing 𝜃 − 𝛾𝑣𝑡−1 thus gives us an approximation of the next position of the parameters
(the gradient is missing for the full update), a rough idea where our parameters are going to
be. We can now effectively look ahead by calculating the gradient not w.r.t. to our current
parameters 𝜃 but w.r.t. the approximate future position of our parameters:

v𝑡 = 𝛾v𝑡−1 + 𝜂∇w 𝐽(w − 𝛾𝑣𝑡−1 )

(4.2)
w = w − 𝑣𝑡
Again, we set the momentum term 𝛾 to a value of around 0.9. While Momentum first com-
putes the current gradient and then takes a big jump in the direction of the updated
accumulated gradient , NAG first makes a big jump in the direction of the previous ac-
cumulated gradient, measures the gradient and then makes a correction, which results
in the complete NAG update. This anticipatory update prevents us from going too fast and
results in increased responsiveness, which has significantly increased the performance of
RNNs on a number of tasks
Adam
Adaptive Moment Estimation (Adam) is a method that computes adaptive learning rates for
each parameter. In addition to storing an exponentially decaying average of past squared
gradients :math:`v_t`, Adam also keeps an exponentially decaying average of past gradi-
ents :math:`m_t`, similar to momentum. Whereas momentum can be seen as a ball running
down a slope, Adam behaves like a heavy ball with friction, which thus prefers flat minima
in the error surface. We compute the decaying averages of past and past squared gradients m𝑡
and v𝑡 respectively as follows:
m𝑡 = 𝛽1 m𝑡−1 + (1 − 𝛽1 )∇w 𝐽(w)

(4.3)
v𝑡 = 𝛽2 v𝑡−1 + (1 − 𝛽2 )∇w 𝐽(w)2
m𝑡 and v𝑡 are estimates of the first moment (the mean) and the second moment (the uncentered
variance) of the gradients respectively, hence the name of the method. Adam (almost)
first_moment = 0
second_moment = 0
while True:
dx = gradient(J, x)
# Momentum:
first_moment = beta1 * first_moment + (1 - beta1) * dx
# AdaGrad/RMSProp
second_moment = beta2 * second_moment + (1 - beta2) * dx * dx
x -= learning_rate * first_moment / (np.sqrt(second_moment) + 1e-7)
As m𝑡 and v𝑡 are initialized as vectors of 0’s, the authors of Adam observe that they are biased
towards zero, especially during the initial time steps, and especially when the decay rates are
small (i.e. 𝛽1 and 𝛽2 are close to 1). They counteract these biases by computing bias-corrected
first and second moment estimates:
𝑚𝑡
𝑚
ˆ𝑡 = (4.4)
1 − 𝛽1𝑡
𝑣𝑡
𝑣ˆ𝑡 = (4.5)
1 − 𝛽2𝑡

They then use these to update the parameters (Adam update rule):
𝜂
𝜃𝑡+1 = 𝜃𝑡 − √ 𝑚
ˆ𝑡
𝑣ˆ𝑡 + 𝜖
• 𝑚
ˆ 𝑡 Accumulate gradient: velocity.
• 𝑣ˆ𝑡 Element-wise scaling of the gradient based on the historical sum of squares in each
dimension.
• Choose Adam as default optimizer
• Default values of 0.9 for 𝛽1 , 0.999 for 𝛽2 , and 10−7 for 𝜖.
• learning rate in a range between 1𝑒 − 3 and 5𝑒 − 4
4.4.6 Conclusion
Sources:
• LeCun Y.A., Bottou L., Orr G.B., Müller KR. (2012) Efficient BackProp. In: Montavon
G., Orr G.B., Müller KR. (eds) Neural Networks: Tricks of the Trade. Lecture Notes in
Computer Science, vol 7700. Springer, Berlin, Heidelberg
• Introduction to Gradient Descent Algorithm (along with variants) in Machine Learning:
Gradient Descent with Momentum, ADAGRAD and ADAM.
Summary:
• Choosing a proper learning rate can be difficult. A learning rate that is too small leads to
painfully slow convergence, while a learning rate that is too large can hinder convergence
and cause the loss function to fluctuate around the minimum or even to diverge.
• Learning rate schedules try to adjust the learning rate during training by e.g. annealing,
i.e. reducing the learning rate according to a pre-defined schedule or when the change
in objective between epochs falls below a threshold. These schedules and thresholds,
however, have to be defined in advance and are thus unable to adapt to a dataset’s char-
acteristics.
• Additionally, the same learning rate applies to all parameter updates. If our data is sparse
and our features have very different frequencies, we might not want to update all of them
to the same extent, but perform a larger update for rarely occurring features.
• Another key challenge of minimizing highly non-convex error functions common for neu-
ral networks is avoiding getting trapped in their numerous suboptimal local minima.
These saddle points are usually surrounded by a plateau of the same error, which makes
it notoriously hard for SGD to escape, as the gradient is close to zero in all dimensions.
Recommendation:
• Shuffle the examples (SGD)
• Center the input variables by subtracting the mean
• Normalize the input variable to a standard deviation of 1
• Initializing the weight
• Adaptive learning rates (momentum), using separate learning rate for each weight

CHAPTER
FIVE
STATISTICS
5.1 Univariate Statistics
Basics univariate statistics are required to explore dataset:

• Discover associations between a variable of interest and potential predictors. It is strongly
recommended to start with simple univariate methods before moving to complex multi-
variate predictors.
• Assess the prediction performances of machine learning predictors.
• Most of the univariate statistics are based on the linear model which is one of the main
model in machine learning.
5.1.1 Libraries
Statistics
• Descriptive statistics and distributions: Numpy
• Distributions and tests: scipy.stats
• Advanced statistics (linear models, tests, time series): Statsmodels, see also Statsmodels
API:
– statsmodels.api: Imported using import statsmodels.api as sm.
– statsmodels.formula.api: A convenience interface for specifying models using for-
mula strings and DataFrames. Canonically imported using import statsmodels.
formula.api as smf
– statsmodels.tsa.api: Time-series models and methods. Canonically imported us-
ing import statsmodels.tsa.api as tsa.
# Manipulate data
import numpy as np
import pandas as pd
# Statistics
import scipy.stats
import statsmodels.api as sm
#import statsmodels.stats.api as sms
135

import statsmodels.formula.api as smf
from statsmodels.stats.stattools import jarque_bera
Plots

import pystatsml.plot_utils
# Plot parameters
%matplotlib inline
Datasets
Salary
try:
salary = pd.read_csv("../datasets/salary_table.csv")
except:
url = 'https://github.com/duchesnay/pystatsml/raw/master/datasets/salary_
˓→table.csv'
Iris
# Load iris datset

iris = sm.datasets.get_rdataset("iris").data
iris.columns = [s.replace('.', '') for s in iris.columns]
iris.columns
Index(['SepalLength', 'SepalWidth', 'PetalLength', 'PetalWidth', 'Species'],␣

˓→dtype='object')
5.1.2 Descriptive Statistics
Mean
Properties of the expected value operator E(·) of a random variable 𝑋
𝐸(𝑋 + 𝑐) = 𝐸(𝑋) + 𝑐 (5.1)

𝐸(𝑋 + 𝑌 ) = 𝐸(𝑋) + 𝐸(𝑌 ) (5.2)
𝐸(𝑎𝑋) = 𝑎𝐸(𝑋) (5.3)
136 Chapter 5. Statistics

The estimator 𝑥
¯ on a sample of size 𝑛: 𝑥 = 𝑥1 , ..., 𝑥𝑛 is given by
1 ∑︁
𝑥
¯= 𝑥𝑖
𝑛
𝑖
¯ is itself a random variable with properties:

𝑥
• 𝐸(¯ ¯,
𝑥) = 𝑥
Var(𝑋)
• Var(¯
𝑥) = 𝑛 .
Variance
Var(𝑋) = 𝐸((𝑋 − 𝐸(𝑋))2 ) = 𝐸(𝑋 2 ) − (𝐸(𝑋))2

The estimator is
1 ∑︁
𝜎𝑥2 = ¯)2
(𝑥𝑖 − 𝑥
𝑛−1
𝑖
Note here the subtracted 1 degree of freedom (df) in the divisor. In standard statistical practice,
𝑑𝑓 = 1 provides an unbiased estimator of the variance of a hypothetical infinite population.
With 𝑑𝑓 = 0 it instead provides a maximum likelihood estimate of the variance for normally
distributed variables.
Standard deviation
√︀
Std(𝑋) = Var(𝑋)
√︀
The estimator is simply 𝜎𝑥 = 𝜎𝑥2 .
Covariance
Cov(𝑋, 𝑌 ) = 𝐸((𝑋 − 𝐸(𝑋))(𝑌 − 𝐸(𝑌 ))) = 𝐸(𝑋𝑌 ) − 𝐸(𝑋)𝐸(𝑌 ).

Properties:
Cov(𝑋, 𝑋) = Var(𝑋) (5.4)

Cov(𝑋, 𝑌 ) = Cov(𝑌, 𝑋) (5.5)
Cov(𝑐𝑋, 𝑌 ) = 𝑐 Cov(𝑋, 𝑌 ) (5.6)
Cov(𝑋 + 𝑐, 𝑌 ) = Cov(𝑋, 𝑌 ) (5.7)
(5.8)
The estimator with 𝑑𝑓 = 1 is

1 ∑︁
𝜎𝑥𝑦 = (𝑥𝑖 − 𝑥
¯)(𝑦𝑖 − 𝑦¯).
𝑛−1
𝑖
5.1. Univariate Statistics 137

Correlation
Cov(𝑋, 𝑌 )
Cor(𝑋, 𝑌 ) =
Std(𝑋) Std(𝑌 )
The estimator is
𝜎𝑥𝑦
𝜌𝑥𝑦 = .
𝜎𝑥 𝜎𝑦
Standard Error (SE)
The standard error (SE) is the standard deviation (of the sampling distribution) of a statistic:
Std(𝑋)
SE(𝑋) = √ .
𝑛
It is most commonly considered for the mean with the estimator
SE(𝑋) = Std(𝑋) = 𝜎𝑥¯ (5.9)

𝜎𝑥
=√ . (5.10)
𝑛
Descriptives statistics with Numpy
• Generate 2 random samples: 𝑥 ∼ 𝑁 (1.78, 0.1) and 𝑦 ∼ 𝑁 (1.66, 0.1), both of size 10.
¯, 𝜎𝑥 , 𝜎𝑥𝑦 (xbar, xvar, xycov) using only the np.sum() operation.
• Compute 𝑥
Explore the np. module to find out which Numpy functions performs the same computations
and compare them (using assert) with your previous results.
Caution! By default np.var() used the biased estimator (with ddof=0). Set ddof=1 to use
unbiased estimator.
n = 10
np.random.seed(seed=42) # make the example reproducible
x = np.random.normal(loc=1.78, scale=.1, size=n)
y = np.random.normal(loc=1.66, scale=.1, size=n)
xbar = np.mean(x)
assert xbar == np.sum(x) / x.shape[0]
xvar = np.var(x, ddof=1)

assert xvar == np.sum((x - xbar) ** 2) / (n - 1)
Covariance
xycov = np.cov(x, y)
print(xycov)
ybar = np.sum(y) / n


assert np.allclose(xycov[0, 1], np.sum((x - xbar) * (y - ybar)) / (n - 1))
assert np.allclose(xycov[0, 0], xvar)
assert np.allclose(xycov[1, 1], np.var(y, ddof=1))
[[ 0.00522741 -0.00060351]
[-0.00060351 0.00570515]]
Descriptives Statistics on Iris Dataset
With Pandas
Columns’ means
iris[['SepalLength', 'SepalWidth', 'PetalLength', 'PetalWidth']].mean()
SepalLength 5.843333
SepalWidth 3.057333
PetalLength 3.758000
PetalWidth 1.199333
dtype: float64
Columns’ std-dev. Pandas normalizes by N-1 by default.
iris[['SepalLength', 'SepalWidth', 'PetalLength', 'PetalWidth']].std()
SepalLength 0.828066
SepalWidth 0.435866
PetalLength 1.765298
PetalWidth 0.762238
dtype: float64
With Numpy
X = iris[['SepalLength', 'SepalWidth', 'PetalLength', 'PetalWidth']].values

X.mean(axis=0)
array([5.84333333, 3.05733333, 3.758 , 1.19933333])
Columns’ std-dev. Numpy normalizes by N by default. Set ddof=1 to normalize by N-1 to get
the unbiased estimator.
X.std(axis=0, ddof=1)
array([0.82806613, 0.43586628, 1.76529823, 0.76223767])

5.1.3 Probability Distributions
• Probabilities of occurrence of possible outcomes

• Description of a random phenomenon in terms of its sample space
Terminology:
• Random variable, RV: 𝑋: takes values from a sample space.
• Probability Density Function PDF: 𝑃 (𝑋) ∈ [0, 1] for 𝑋 ∈ R or Probability mass function
PMF if 𝑋 is a discrete RV.
• Cumulative Distribution Function CDF 𝑃 (𝑋 ≤ 𝑥).
• Percent Point Function or Quantile Function (inverse of CDF), i.e., values of 𝑥 such
𝑃 (𝑋 ≤ 𝑥) = a given quantile.
Histogram as probability density function estimator
numpy.histogram can be used to probability density function at the each histogram bin, setting
density=True parameter. Warning, histogram doesn’t sum to 1. Histogram as PDF estimator
should be multiplied by dx’s to sum to 1.
x = np.random.normal(size=50000)
hist, bins = np.histogram(x, bins=50, density=True)
dx = np.diff(bins)
print("Sum(Hist)=", np.sum(hist), "Sum(Hist * dx)=", np.sum(hist * dx))
pdf = scipy.stats.norm.pdf(bins) # True probability density function
fig, (ax1, ax2) = plt.subplots(nrows=1, ncols=2, sharex=True)

ax1.bar(bins[1:], hist, width=dx, fill=False, label="Estimation")
ax1.plot(bins, pdf, 'r-', label="True Norm.")
ax1.legend()
ax2.bar(bins[1:], (hist * dx).cumsum(), fill=False, width=dx)
fig.tight_layout()
Sum(Hist)= 5.589909828006291 Sum(Hist * dx)= 1.0

Kernel Density Estimation (KDE)
TODO
Normal distribution
The normal distribution, noted 𝒩 (𝜇, 𝜎) with parameters: 𝜇 mean (location) and 𝜎 > 0 std-dev.
Estimators: 𝑥
¯ and 𝜎𝑥 .
The normal distribution, noted 𝒩 , is useful because of the central limit theorem (CLT) which
states that: given certain conditions, the arithmetic mean of a sufficiently large number of iter-
ates of independent random variables, each with a well-defined expected value and well-defined
variance, will be approximately normally distributed, regardless of the underlying distribution.
Documentation:
• numpy.random.normal
• scipy.stats.norm
Random number generator using Numpy
# using numpy:
x = np.random.normal(loc=10, scale=10, size=(3, 2))
Distribution using Scipy

• Random number generator 𝑋 ∼ 𝒩 (𝜇, 𝜎 2 ): norm.rvs(loc=mean, scale=sd, size=n)
• Probability Density Function (PDF): 𝑃 (𝑋) ∈ [0, 1] for 𝑋 ∈ R: norm.pdf(values,
loc=mean, scale=sd)
• Cumulative Distribution Function (CDF) 𝑃 (𝑋 ≤ 𝑥) : norm.cdf(x, loc=mean,
scale=sd)
• Percent Point Function (inverse of CDF), i.e., values of 𝑥 such 𝑃 (𝑋 < 𝑥) = a given
percentiles : norm.ppf(q, loc=0, scale=1)
mean, sd, n = 0, 1, 10000
# Random number generator

x_rv = scipy.stats.norm.rvs(loc=mean, scale=sd, size=n)
x_range = np.linspace(mean-3*sd, mean+3*sd, 100)
# PDF: P(values)
pdf_x_range = scipy.stats.norm.pdf(x_range, loc=mean, scale=sd)
# CDF: P(X < values)

cdf_x_range = scipy.stats.norm.cdf(x_range, loc=mean, scale=sd)
# PPF: Values such P(X < values) = percentiles

percentiles_of_cdf = [0.025, 0.10, 0.25, 0.5, 0.75, 0.90, 0.975]
x_for_percentiles_of_cdf = scipy.stats.norm.ppf(percentiles_of_cdf,
loc=mean, scale=sd)

# Percentiles of CDF = CDF(x values for CDF percentiles)

assert np.allclose(percentiles_of_cdf,
scipy.stats.norm.cdf(x_for_percentiles_of_cdf))
# Values for percentiles of CDF

["P(X<{:.02f})={:.1%}".format(val, ppf) for
ppf, val in zip(percentiles_of_cdf,
scipy.stats.norm.ppf(percentiles_of_cdf,
loc=mean, scale=sd))]
['P(X<-1.96)=2.5%',
'P(X<-1.28)=10.0%',
'P(X<-0.67)=25.0%',
'P(X<0.00)=50.0%',
'P(X<0.67)=75.0%',
'P(X<1.28)=90.0%',
'P(X<1.96)=97.5%']
Plot histogram, true distribution (PDF), and area of CDF
_ = plt.hist(x_rv, density=True, bins=100, fill=False,

label="Histogram (Estimator)")
_ = plt.plot(x_range, pdf_x_range, 'r-', label="PDF: P(X)")
# PPF: Values such P(X < values) = 2.5%

percentile_of_cdf = 0.025
x_for_percentile_of_cdf = scipy.stats.norm.ppf(percentile_of_cdf,
loc=mean, scale=sd)

pdf_x_range = scipy.stats.norm.pdf(x_range, loc=mean, scale=sd)
pdf_x_range[x_range > x_for_percentile_of_cdf] = 0
_ = plt.fill_between(x=x_range, y1=np.zeros(len(pdf_x_range)), y2=pdf_x_range,␣
˓→alpha=.5,
label="CDF=P(X<{:.02f})={:.01%}".format(x_for_percentile_of_
˓→cdf,
percentile_of_cdf),
color='r')
_ = plt.legend()

The Chi-Square Distribution
The chi-square or 𝜒2𝑛 distribution with 𝑛 degrees of freedom (df) is the distribution of a sum of
the squares of 𝑛 independent standard normal random variables 𝒩 (0, 1). Let 𝑋 ∼ 𝒩 (𝜇, 𝜎 2 ),
then, 𝑍 = (𝑋 − 𝜇)/𝜎 ∼ 𝒩 (0, 1), then:
• The squared standard 𝑍 2 ∼ 𝜒21 (one df).
∑︀𝑛
• The distribution of sum of squares of 𝑛 normal random variables: 𝑖 𝑍𝑖2 ∼ 𝜒2𝑛
The sum of two 𝜒2 RV with 𝑝 and 𝑞 df is a 𝜒2 RV with 𝑝 + 𝑞 df. This is useful when sum-
ming/subtracting sum of squares.
The 𝜒2 -distribution is used to model errors measured as sum of squares or the distribution of
the sample variance.
The chi-squared distribution is a special case of the gamma distribution, with gamma parame-
ters a = df/2, loc = 0 and scale = 2.
Documentation: - numpy.random.chisquare - scipy.stats.chi2
df, mean, sd, n = 30, 0, 1, 10000

x_rv = scipy.stats.chi2.rvs(df=df, loc=mean, scale=sd, size=n)
prob_x_range = scipy.stats.chi2.pdf(x_range, df=df, loc=mean, scale=sd)
cdf_x_range = scipy.stats.chi2.cdf(x_range, df=df ,loc=mean, scale=sd)
The Fisher’s F-Distribution
The 𝐹 -distribution, 𝐹𝑛,𝑝 , with 𝑛 and 𝑝 degrees of freedom is the ratio of two independent 𝜒2
variables. Let 𝑋 ∼ 𝜒2𝑛 and 𝑌 ∼ 𝜒2𝑝 then:
𝑋/𝑛
𝐹𝑛,𝑝 =
𝑌 /𝑝
The 𝐹 -distribution plays a central role in hypothesis testing answering the question: Are two
variances equals?, is the ratio or two errors significantly large ?.
Documentation: - scipy.stats.f

dfn, dfd, mean, sd, n = 30, 5, 0, 1, 10000

x_rv = scipy.stats.f.rvs(dfn=dfn, dfd=dfd, loc=mean, scale=sd, size=n)
prob_x_range = scipy.stats.f.pdf(x_range, dfn=dfn, dfd=dfd, loc=mean, scale=sd)
cdf_x_range = scipy.stats.f.cdf(x_range, dfn=dfn, dfd=dfd, loc=mean, scale=sd)
fvalues = np.linspace(.1, 5, 100)

# pdf(x, df1, df2): Probability density function at x of F.
plt.plot(fvalues, scipy.stats.f.pdf(fvalues, 1, 30), 'b-', label="F(1, 30)")
plt.plot(fvalues, scipy.stats.f.pdf(fvalues, 5, 30), 'r-', label="F(5, 30)")
_ = plt.legend()
The Student’s 𝑡-Distribution
Let 𝑀 ∼ 𝒩 (0, 1) and 𝑉 ∼ 𝜒2𝑛 . The 𝑡-distribution, 𝑇𝑛 , with 𝑛 degrees of freedom is the ratio:
𝑀
𝑇𝑛 = √︀
𝑉 /𝑛
The distribution of the difference between an estimated parameter and its true (or assumed)
value divided by the standard deviation of the estimated parameter (standard error) follow a
𝑡-distribution.
Documentation: scipy.stats.t
df, mean, sd, n = 30, 0, 1, 10000

x_rv = scipy.stats.t.rvs(df=df, loc=mean, scale=sd, size=n)
prob_x_range = scipy.stats.t.pdf(x_range, df=df, loc=mean, scale=sd)
cdf_x_range = scipy.stats.t.cdf(x_range, df=df, loc=mean, scale=sd)
plt.plot(x_range, scipy.stats.t.pdf(x_range, 30), 'r-', label="T(30, 0, 1)")

plt.plot(x_range, scipy.stats.t.pdf(x_range, 2), 'b-', label="T(2, 0, 1)")
plt.plot(x_range, scipy.stats.norm.pdf(x_range, loc=mean, scale=sd), 'g--',
label="N(0, 1)")
_ = plt.legend()

5.1.4 Central Limit Theorem (CLT)
See 3Blue1Brown: But what is the Central Limit Theorem?.

Let {𝑋1 , ..., 𝑋𝑖 , ..., 𝑋𝑛 } be a sequence of independent and identically distributed (i.i.d.) (∼ 𝑋)
random variables (RV) with parameters:
• 𝐸[𝑋𝑖 ] = 𝜇𝑋 ,
2 < ∞ (finite variance).
• 𝑉 𝑎𝑟[𝑋𝑖 ] = 𝜎𝑋
Distribution of the Sum of Samples
Let 𝑆𝑛 = 𝑛𝑖 𝑋𝑖 the sum of those RV. Then, the sum of RV converge in distribution to a normal
∑︀
distribution:
∑︀𝑛
𝑋𝑖 √
𝑆𝑛 = 𝑖 → 𝒩 (𝑛𝜇𝑋 , 𝑛𝜎𝑋 )
𝑛
Note that the centered
∑︀𝑛 and scaled sum converge in distribution to a normal distribution of
𝑖√𝑋𝑖 −𝑛𝜇
parameters 0, 1: 𝑛𝜎
→ 𝒩 (0, 1)
𝑋
Examples
Distribution of the sum of samples from the uniform distribution

See Scipy Uniform Distribution
n_sample = 1000
n_repeat = 10000
# Distribution parameters, true mean and standard deviation

a, b = 0, 1
mu_unif, sd_unif = 1 / 2 * (b - a), np.sqrt(1 / 12 * (b - a) ** 2)
# Xn's
xn_s = np.array([scipy.stats.uniform.rvs(size=n_sample).sum() for i in range(n_
˓→repeat)])


# Xn's centered and scaled
xn_s_cs = (xn_s - n_sample * mu_unif) / (np.sqrt(n_sample) * sd_unif)
h_ = plt.hist(xn_s_cs, range=(-3, 3), density=True, bins=43, fill=False,

label="Sum(Unif.)")
# Normal distribution
x_range = np.linspace(-3, 3, 30)
prob_x_range = scipy.stats.norm.pdf(x_range, loc=0, scale=1)
plt.plot(x_range, prob_x_range, 'r-', label="N(0, 1)")
_ = plt.legend()
Distribution of the sum of samples from the the exponential distribution

See Scipy Exponential Distribution
n_sample = 1000
n_repeat = 10000

lambda_ = 1
mu_exp, sd_exp = 1 / lambda_ , np.sqrt(1 / (lambda_ ** 2))
# Xn's
xn_s = np.array([scipy.stats.expon.rvs(size=n_sample).sum() for i in range(n_
˓→repeat)])
# Xn's centered and scaled

xn_s_cs = (xn_s - n_sample * mu_exp) / (np.sqrt(n_sample) * sd_exp)
h_ = plt.hist(xn_s_cs, range=(-3, 3), density=True, bins=43, fill=False,

label="Sum(Exp.)")
# Normal distribution
x_range = np.linspace(-3, 3, 30)
prob_x_range = scipy.stats.norm.pdf(x_range, loc=0, scale=1)
plt.plot(x_range, prob_x_range, 'r-', label="N(0, 1)")
_ = plt.legend()

The Distribution of the Sample Mean
Central Limit Theorem also apply for the sample mean: Let i.i.d. samples 𝑋𝑖 from from almost
any distribution of parameters 𝜇𝑋 , 𝜎𝑋 . Then the sample mean 𝑋, ¯ for samples of size 30 or
more, is approximately normally distributed:
∑︀𝑛
¯ 𝑋𝑖 𝜎𝑋
𝑋= 𝑖 → 𝒩 (𝜇𝑋 , √ )
𝑛 𝑛
Simple but useful demonstrations:
𝑛
¯ 𝑛 ] =𝐸[ 1 ∑︁
𝐸[𝑋 𝑋𝑖 ]
𝑛
𝑖
𝑛
1 ∑︁
𝐸[𝑋𝑖 ], 𝑋𝑖 are i.i.d., i.e., 𝐸[𝑋𝑖 ] = 𝜇𝑋 ∀𝑖
𝑛
𝑖
1
𝑛𝜇𝑋
𝑛
𝜇𝑋
𝑛
¯ 𝑛 ] =𝑉 𝑎𝑟[ 1
∑︁
𝑉 𝑎𝑟[𝑋 𝑋𝑖 ]
𝑛
𝑖
2
1 ∑︁
( )2 2
, 𝑋𝑖 are i.i.d., i.e., 𝑉 𝑎𝑟[𝑋𝑖 ] = 𝜎𝑋 ∀𝑖
𝑛
𝑋
1
( )2 𝑛𝜎𝑋
2
𝑛
2
𝜎𝑋 /𝑛
√
¯
𝑆𝑑[𝑋𝑛 ] =𝜎𝑋 / 𝑛
Note that the standard deviation of the sample mean is the standard deviation of the parent
√
RV scaled by 𝑛. The larger the sample size, the better the approximation.
The Central Limit Theorem is illustrated for several common population distributions in The
Sampling Distribution of the Sample Mean.

Distribution of the mean from the Binomial distribution

Binomial distribution with scipy:
n_sample = 1000
n_repeat = 10000
# Binomial distribution parameters

n, p = n_sample, 0.5

mu, sd = n * p , np.sqrt(n * p * (1 - p))
# Xbar's
xbar_s = np.array([scipy.stats.binom.rvs(n=n, p=p, size=n_sample).mean()
for i in range(n_repeat)])
print("True stat.: mu={:.01f}, sd={:.03f}".format(mu, sd / np.sqrt(n_sample)))

print("Est. stat.: mu={:.01f}, sd={:.03f}".format(xbar_s.mean(), xbar_s.std()))
True stat.: mu=500.0, sd=0.500

Est. stat.: mu=500.0, sd=0.504
5.1.5 Statistical inference and Decision Making using Hypothesis Testing
Inferential statistics involves the use of a sample (1) to estimate some characteristic in a large
population; and (2) to test a research hypothesis about a given population.
Typology of tests
Tests should be adapted to the type of variable:

1. For categorical variables tests use count of categories, proportions, or frequencies.
Examples:
• Test a proportion: 200 heads have been found over 300 flips, is this coin biased toward
head or could it be observed by chance?
• 1,000 voters are questioned about their vote. 55% said they had voted for candidate A
and 45% for candidate B. Is this a significant difference?
2. For numerical variables tests use means, standard-deviations or medians. Examples:
• Test the effect of some condition (treatment or some action):
– We observed an increase of monthly revenue of 100 stores after marketing campaign.
Could this increase be attributed to chance or to the marketing campaign?
– Arterial hypertension of 50 patients has been reduced by some medication. Is it pure
randomness?
• Test the association between two variables:
– Height and sex: In a sample of 25 individuals (15 females, 10 males), is female
height is different from male height?

– Age and arterial hypertension: In a sample of 25 individuals is age height correlated

with arterial hypertension ?
Tests can be grouped in two categories:
1. Parametric tests assume that the data follow some distribution, and can be summarized
by a parameters: mean and standard-deviation for quantitative variables; count propor-
tion or frequencies for categorical variables.
2. Non-Parametric tests. Non-parametric tests are not based on a model of the data and
therefore do not make the assumption that they follow a certain distribution. Non-
Parametric tests are generally based on ranking of values or medians.
General Testing Procedure
1. Model the data (for parametric tests).
E.g., the height of males and females can be represented by their means, i.e., assuming two
normal distributions. Then fit the model to the data, i.e., estimate the model parameters (fre-
quency, mean, correlation, regression coefficient). E.g., compute the means of females and
males height.
2. Calculate a decision statistic (for all tests)
• Formulate the null hypothesis 𝐻0 , i.e., what would be situation under pure chance? E.g.,
if sex has no effect on individuals’ height males and females means height will be equals.
• Derive a test statistic on the data capturing deviation from null hypothesis taking account
the number of samples. For parametric statistics, the test statistic is derived from model
parameters, e.g., the differences of means of males and females height, taking account
the number of samples.
3. Inference
Assess the deviation of the test statistic from its expected value under 𝐻0 (pure chance). Two
possibilities:
P-value based on null hypothesis:
What is the probability that the computed test statistic 𝑋 ¯ would be observed under pure chance?
I.e., What is the probability that the test statistics under 𝐻0 would be more extreme, i.e., “larger”
or “smaller” than 𝑋?¯ * Calculate the distribution of test statistic 𝑋 under 𝐻0 . * Compute the
probability (P-value) to obtain a larger test statistic by chance (under the null hypothesis).
¯ ≤ 𝑋|𝐻0 ) = 𝑃/2, or -
For a symmetric distribution the two sided p-value 𝑃 is defined as: - 𝑃 (𝑋
¯ = 𝑃/2
𝑃 (𝑋 ≥ 𝑋)
𝑋¯ is declared to be significantly different to the null hypothesis if the p-value is less than a
significance level 𝛼 generally considered as 5%.
Confidence interval (CI)

CI is a range of values 𝑥1 , 𝑥2 that is likely (given a confidence level, e.g., 95%) to contain the
¯ Outside this range the value is considered to be unlikely. Note that
true value of the statistic 𝑋.
the confidence level is 1 − 𝛼, the significance level. See Interpreting Confidence Intervals
¯ < 𝑥2 ) = 95%.
The 95% CI (Confidence Interval) is the range of values 𝑥1 , 𝑥2 such 𝑃 (𝑥1 < 𝑋
For a symmetric distribution the two sided 95%(= 1 − 5%) confidence interval, is defined as: -
¯ ≤ 𝑥1 ) = 2.5% = 5%/2 - 𝑥2 such 𝑃 (𝑥2 ≤ 𝑋)
𝑥1 such 𝑃 (𝑋 ¯ = 2.5%
Terminology
¯ − 𝑥1 (for symmetric distribution).
• Margin of error = 𝑋
• Confidence Interval = [𝑥1 , 𝑥2 ].
• Confidence level is 1 - significance level
Categorical variable: the Binomial Test
Simplified example (small sample) of the the binomial test: Three voters are questioned
about their vote. Two voted for candidate A and one for B. How likely this difference Is this a
significant difference,
1. Model the data: Let 𝑥 the number of vote for A. It follows a Binomial distribution. Compute
the model parameters: 𝑁 = 3, and 𝑝ˆ = 2/3 (the frequency of number of vote A over the number
of voters).
2. Compute a test statistic measuring the deviation of the number of vote for A (𝑥 = 2) over
three voters from the expected values under the null hypothesis where 𝑥 would be 1.5. Similarly,
we could consider the deviation of the observed proportion 𝑝ˆ = 2/3 from 𝜋0 = 50%.
3. To make inference, we have to compute the probability to obtain more than two votes for A
by chance. We need the distribution of 𝑥 under 𝐻0 (𝑃 (𝑥|𝐻0)) to sum all the probabilities where
𝑥 is larger or equal to 2, i.e., 𝑃 (𝑥 ≥ 2|𝐻0 ). With such small sample size (𝑛 = 3) this distribution
is obtained by enumerating all configurations that produce a given number of heads 𝑥:
1 2 3 count vote for A

0
H 1
H 1
H 1
H H 2
H H 2
H H 2
H H H 3
Eight possibles configurations, probabilities of different values for 𝑥 are:

• 𝑃 (𝑥 = 0) = 1/8
• 𝑃 (𝑥 = 1) = 3/8

• 𝑃 (𝑥 = 2) = 3/8
• 𝑃 (𝑥 = 3) = 1/8
Plot of the distribution of the number of 𝑥 (A vote over 3 voters) under the null hypothesis:
plt.bar([0, 1, 2, 3], [1/8, 3/8, 3/8, 1/8], width=.95, fill=False)

_ = plt.xticks([0, 1, 2, 3], [0, 1, 2, 3])
_ = plt.xlabel("Dist. of the nb of head over 3 flip under the null hyp.")
Finally, we compute the probability (P-value) to observe a value larger or equal that 𝑥 = 2 (or
𝑃 = 2/3) under the null hypothesis? This probability is the 𝑝-value:
𝑃 (𝑥 ≥ 2|𝐻0 ) = 𝑃 (𝑥 = 2|𝐻0 ) + 𝑃 (𝑥 = 3|𝐻0 ) = 3/8 + 1/8 = 1/2
P-value = 0.5, meaning that there is 50% of chance to get 𝑥 = 2 or larger by chance.
large sample example: 100 voters are questioned about their vote. 60 declared they voted for
candidate A and 40 for candidate B. Is this a significant difference?
1. Model the data: Let 𝑥 the number of vote for A. 𝑥 follows a binomial distribution. Compute
model parameters: 𝑛 = 100, 𝑝ˆ = 60/100. Where 𝑝ˆ is the observed proportion of A.
2. Compute a test statistic that measure the deviation of 𝑥 = 60 (vote for A) from the expected
value: 𝑛𝜋0 = 50 under the null hypothesis, i.e., where 𝜋0 = 50%. The distribution of the number
of vote for A (𝑥) follow the Binomial distribution of parameters 𝑁 = 100, 𝑃 = 0.5 approximated
with normal distribution when 𝑛 is large enough.
For large sample, the most usual (and easiest) approximation is through the standard normal
distribution, in which a z-test is performed of the test statistic 𝑍, given by:
𝑥 − 𝑛𝜋0
𝑍 = √︀
𝑛𝑝0 (1 − 𝜋0 )
one may rearrange and write the z-test above as deviation of 𝑝ˆ from 𝜋0 = 50%
𝑝ˆ − 𝜋0 √
𝑍 = √︀ 𝑛
𝜋0 (1 − 𝜋0 )
Note that the statistic is the product of two parts:

• The effect size: √ 𝑝^−𝜋0 that measure a standardized deviation.
𝜋0 (1−𝜋0 )
√
• The squared root of the sample size 𝑛.

Large statistic is obtained with large deviation with large sample size.
5. Inference
Compute the p-value using Scipy to compute the CDF of the binomial distribution:
n, k, pi0 = 100, 60, 0.5

pval_greater = 1 - scipy.stats.binom.cdf(k, n, pi0)
pval_greater = scipy.stats.binom.sf(k, n, pi0)
# Two sidded pval = 2 * pval_greater

pval = pval_greater * 2
print("P-value (Two sided): P(X<={:0d} or X>={:0d}|H0)={:.4f}".format(n-k, k,␣
˓→pval))
P-value (Two sided): P(X<=40 or X>=60|H0)=0.0352
Scipy normal distribution
n = 100
z = (0.6 - 0.5) / (0.5 * (1 - 0.5)) * np.sqrt(n)
#z = (60 - n * 0.5 + 1/2) / (n * 0.5 * (1 - 0.5)) * np.sqrt(n)
scipy.stats.norm.sf(z, loc=0) * 2
np.float64(6.334248366623996e-05)
Plot of the binomial distribution and the probability to observe more than 60 vote for A by
chance:
stat_vals = np.linspace(30, 70, 41)

stat_probs = scipy.stats.binom.pmf(stat_vals, n, pi0) # H0: 0.5
stat_obs = k
pystatsml.plot_utils.plot_pvalue_under_h0(stat_vals, stat_probs,
stat_obs=60, stat_h0=50,
thresh_low=40, thresh_high=60)
Simply use Scipy binomial test that the probability of success is p.

test = scipy.stats.binomtest(k=k, n=n, p=pi0, alternative='two-sided')

ci_low, ci_high = test.proportion_ci(confidence_level=0.95, method='exact')
print("Estimate: {:.2f}, p-val: {:e}, CI: [{:.5f}, {:.5f}]".\

format(test.statistic, test.pvalue, ci_low, ci_high))
Estimate: 0.60, p-val: 5.688793e-02, CI: [0.49721, 0.69671]
Quantitative variable: One Sample T-test
The one sample t-test is used to determine whether a sample comes from a population with a
specific mean. For example you want to test if the average height of a population is 1.75 𝑚.
This test is used when we have two measurements for each individual at two different times or
under two conditions: for each individual, we calculate the difference between the two condi-
tions and test the positivity (increase) or negativity (decrease) of the mean of the differences.
Example: is the arterial hypertension of 50 patients measured before and after some medication
has been reduced by the treatment?
Example: Monthly revenue figures of for 100 stores before and after a marketing campaigns.
We compute after − 𝑥before ) for each store 𝑖. If the average difference
∑︀ the difference (𝑥𝑖 = 𝑥𝑖 𝑖
¯ = 1/𝑛 𝑖 𝑥𝑖 is significantly positive (resp. negative), then the marketing campaigns will be
𝑥
considered as efficient (resp. detrimental).
df = pd.read_csv("../datasets/Monthly Revenue (in thousands).csv")

print(df.head())
df = df.pivot(index='store_id', columns='time', values='revenue')
# Keep only the 30 first samples
df = df[:30]
df.after -= 3 # force to smaller effect size
print(df.head())
x = df.after - df.before
store_id time revenue

0 1 before 54.96714
1 2 before 48.61736
2 3 before 56.47689
3 4 before 65.23030
4 5 before 47.65847
time after before
store_id
1 49.89029 54.96714
2 48.51413 48.61736
3 56.76331 56.47689
4 63.21891 65.23030
5 48.85204 47.65847
1. Model the data (parametric test)

We model the observation as the sample mean 𝑥

¯ plus some error 𝜀𝑖 , i.e., 𝑥𝑖 = 𝑥
¯ + 𝜀𝑖 The 𝜀𝑖 are
called the residuals.
Assumptions:
• The 𝑥𝑖 ’s are not expected to follow a normal distribution. But the 𝜀𝑖 should be approxi-
mately normally distributed.
• The 𝜀𝑖 must be independent and identically distributed 𝑖.𝑖.𝑑..
Indeed according to the central limit theorem, if the sampling of the parent population 𝑥 is
independent then the sample mean 𝑥 ¯ will be approximately normal.
∑︀
Fit: estimate the model parameters, the mean 𝑥 ¯ = 1/𝑛 𝑖 𝑥𝑖 = 2.26 (thousands of dollars) and
standard deviation 𝑠. Warning, when computing the std or the variance, set ddof=1. The default
value, ddof=0, leads to the biased estimator of the variance.
xbar = np.mean(x) # sample mean

mu0 = 0 # mean under H0
s = np.std(x, ddof=1) # sample standard deviation
n = len(x) # sample size
df = n - 1
2. Compute a test statistic

• Formulate hypothesis:
– Null hypothesis: 𝐻0 : 𝑥
¯ = 0, i.e., the marketing campaign had no effect on sales.
– Alternative hypothesis: 𝐻0 : 𝑥
¯ ̸= 0, i.e., the marketing campaign had positive (¯
𝑥 > 0)
or negative effect (¯
𝑥 < 0) on sales.
Note that is is a two-sided test of effects on both ways.
• Compute a test statistic that measure the deviation of 𝑥
¯ = 2.26 from the expected value
under the null hypothesis (no effect of the campaign) which is: 𝜇0 = 0. The test statistic
𝑇 , is given by:
¯ − 𝜇0 √
𝑥
𝑇 = 𝑛
𝑠
Note that the statistic is the product of two parts:

• The effect size: 𝑥¯−𝜇
𝑠
0
that measure a standardized deviation. It a “signal to noise ratio”
of what is explained by the model divided by the error.
• The squared root of the sample size.
Under the null hypothesis the distribution of T follow the Student t-distribution of parameters
df=𝑛 − 1. Note that according the central limit theorem, if the observations are independent,
then 𝑇 will be approximately normal 𝒩 (0, 1).
tval = (xbar - mu0) / s * np.sqrt(n)
3. Inference
P-value (null hypothesis) is computed using Scipy to compute the CDF of the student distribu-
tion.

pval_greater = 1 - scipy.stats.t.cdf(tval, df)

pval_greater = scipy.stats.t.sf(tval, df)
# T distribution is symmetric
# => pval_lower = pval_greater
# => two-sided = pval_greater * 2
pval = 2 * pval_greater
Plot observed T value under null hypothesis

• the distribution of t-statistic under the null hypothesis 𝑃𝑇 (𝑋|𝐻0 ),
• the two sided p-value, CDF of 𝑃𝑇 (𝑋 ≤ −𝑇 ) + 𝑃𝑇 (𝑋 ≥ 𝑇 |𝐻0 ), and
• the observed 𝑇 value
stat_vals = np.linspace(-5, 5, 100)

stat_probs = scipy.stats.t.pdf(x=stat_vals, df=df, loc=0) # H0 => loc=0
pystatsml.plot_utils.plot_pvalue_under_h0(stat_vals, stat_probs,
stat_obs=tval, stat_h0=0,
thresh_low=-tval, thresh_high=tval)
Confidence interval (alternative hypothesis) of the observed estimate 𝑥

¯ is given by:
𝑠
¯ ± 𝑡𝛼/2 √
𝑥
𝑛
Where 𝑡𝛼/2 is the statistic critical value, obtained by the the CMF of the t-distribution with 𝑛 − 1
degrees of freedom.
Use the Percent Point Function PPF or quantile function of the to compute the critical value .
See Confidence Interval for a population mean, t distribution.
# Critical value for t at alpha / 2:

t_alpha2 = -scipy.stats.t.ppf(q=0.05/2, df=df, loc=0)
ci_low = xbar - t_alpha2 * s / np.sqrt(n)

ci_high = xbar + t_alpha2 * s / np.sqrt(n)
print("Estimate: {:.2f}, t-val: {:.2f}, p-val: {:e}, df: {}, CI: [{:.5f}, {:.5f}]


˓→ ".\
format(xbar, tval, pval, df, ci_low, ci_high))
Estimate: 2.26, t-val: 2.36, p-val: 2.500022e-02, df: 29, CI: [0.30515, 4.22272]
Simply use Scipy one sample t-test
ttest = scipy.stats.ttest_1samp(x, 0, alternative='two-sided')

ci_low, ci_high = ttest.confidence_interval()
print("Estimate: {:.2f}, t-val: {:.2f}, p-val: {:e}, df: {}, CI: [{:.5f}, {:.5f}]
˓→".\
format(ttest._estimate, ttest.statistic, ttest.pvalue, ttest.df, ci_low, ci_

˓→high))
Estimate: 2.26, t-val: 2.36, p-val: 2.500022e-02, df: 29, CI: [0.30515, 4.22272]
Boostraping for Confidence Intervals
5.1.6 Statistical Tests of Pairwise Associations
Univariate statistical analysis: explore association betweens pairs of variables.

• In statistics, a categorical variable or factor is a variable that can take on one of a limited,
and usually fixed, number of possible values, thus assigning each individual to a particular
group or “category”. The levels are the possibles values of the variable. Number of levels
= 2: binomial; Number of levels > 2: multinomial. There is no intrinsic ordering to the
categories. For example, gender is a categorical variable having two categories (male and
female) and there is no intrinsic ordering to the categories. For example, Sex (Female,
Male), Hair color (blonde, brown, etc.).
• An ordinal variable is a categorical variable with a clear ordering of the levels. For
example: drinks per day (none, small, medium and high).
• A continuous or quantitative variable 𝑥 ∈ R is one that can take any value in a range of
possible values, possibly infinite. E.g.: salary, experience in years, weight.
What statistical test should I use?
Pearson Correlation: Test Association Between Two Quantitative Variables
Test the correlation coefficient of two quantitative variables. The test calculates a Pearson cor-
relation coefficient and the 𝑝-value for testing non-correlation.
Let 𝑥 and 𝑦 two quantitative variables, where 𝑛 samples were obeserved. The linear correlation
coeficient is defined as :
∑︀𝑛
(𝑥𝑖 − 𝑥¯)(𝑦𝑖 − 𝑦¯)
𝑟 = √︀∑︀𝑛 𝑖=1 √︀∑︀𝑛 .
𝑖=1 (𝑥𝑖 − 𝑥¯)2 ¯)2
𝑖=1 (𝑦𝑖 − 𝑦
√ 𝑟
Under 𝐻0 , the test statistic 𝑡 = 𝑛 − 2 √1−𝑟 2
follow Student distribution with 𝑛 − 2 degrees of
freedom.

Fig. 1: Statistical tests

n = 50
x = np.random.normal(size=n)
y = 2 * x + np.random.normal(size=n)
# Compute with scipy

cor, pval = scipy.stats.pearsonr(x, y)
print(cor, pval)
0.8838265556020786 1.8786054559764617e-17
Two sample (Student) T-test: Compare Two Means
Fig. 2: Two-sample model
The two-sample 𝑡-test (Snedecor and Cochran, 1989) is used to determine if two population
means are equal. There are several variations on this test. If data are paired (e.g. 2 measures,
before and after treatment for each individual) use the one-sample 𝑡-test of the difference. The
variances of the two samples may be assumed to be equal (a.k.a. homoscedasticity) or unequal
(a.k.a. heteroscedasticity).
1. Model the data
Assumptions:
• Independence of residuals (𝜀𝑖 ). This assumptions must be satisfied.
• Normality of residuals. Approximately normally distributed can be accepted.
• Homosedasticity use T-test, Heterosedasticity use Welch t-test.
Assume that the two random variables are normally distributed: 𝑦1 ∼ 𝒩 (𝜇1 , 𝜎1 ), 𝑦2 ∼
𝒩 (𝜇2 , 𝜎2 ).
Fit: estimate the model parameters, means and variances: 𝑦¯1 , 𝑠2𝑦1 , 𝑦¯2 , 𝑠2𝑦2 .
2. t-test
The general principle is

difference of means
𝑡= (5.11)
standard dev of error
difference of means
= (5.12)
its standard error
𝑦¯1 − 𝑦¯2 √
= √︀∑︀ 𝑛−2 (5.13)
𝜀2
𝑦¯1 − 𝑦¯2
= (5.14)
𝑠𝑦¯1 −𝑦¯2
Since 𝑦1 and 𝑦2 are independant:
𝑠2𝑦1 𝑠2𝑦
𝑠2𝑦¯1 −𝑦¯2 = 𝑠2𝑦¯1 + 𝑠2𝑦¯2 = + 2 (5.15)
𝑛1 𝑛2
thus (5.16)
√︃
𝑠2𝑦1 𝑠2𝑦
𝑠𝑦¯1 −𝑦¯2 = + 2 (5.17)
𝑛1 𝑛2
Equal or unequal sample sizes, unequal variances (Welch’s 𝑡-test)
Welch’s 𝑡-test defines the 𝑡 statistic as

𝑦¯1 − 𝑦¯2
𝑡 = √︁ 2 .
𝑠𝑦1 𝑠2𝑦2
𝑛1 + 𝑛2
To compute the 𝑝-value one needs the degrees of freedom associated with this variance estimate.
It is approximated using the Welch–Satterthwaite equation:
(︂ 2 )︂2
𝑠𝑦1 𝑠2𝑦2
𝑛1 + 𝑛2
𝜈≈ 𝑠4𝑦1 𝑠4𝑦2
.
2
𝑛 (𝑛 −1)
+ 2
𝑛 (𝑛 −1)
1 1 2 2
Equal or unequal sample sizes, equal variances
If we assume equal variance (ie, 𝑠2𝑦1 = 𝑠2𝑦1 = 𝑠2 ), where 𝑠2 is an estimator of the common
variance of the two samples:
𝑠2𝑦1 (𝑛1 − 1) + 𝑠2𝑦2 (𝑛2 − 1)

𝑠2 = (5.18)
𝑛1 + 𝑛2 − 2
∑︀𝑛1 2
∑︀𝑛2 2
𝑖 (𝑦 1𝑖 − 𝑦¯1 ) + 𝑗 (𝑦2𝑗 − 𝑦¯2 )
= (5.19)
(𝑛1 − 1) + (𝑛2 − 1)
then
√︃ √︂
𝑠2 𝑠2 1 1
𝑠𝑦¯1 −𝑦¯2 = + =𝑠 +
𝑛1 𝑛2 𝑛1 𝑛2

Therefore, the 𝑡 statistic, that is used to test whether the means are different is:
𝑦¯ − 𝑦¯2
𝑡= √︁1 ,
𝑠 · 𝑛11 + 1
𝑛2
Equal sample sizes, equal variances
If we simplify the problem assuming equal samples of size 𝑛1 = 𝑛2 = 𝑛 we get
𝑦¯1 − 𝑦¯2 √
𝑡= √ · 𝑛 (5.20)
𝑠 2
√
≈ effect size · 𝑛 (5.21)
difference of means √
≈ · 𝑛 (5.22)
standard deviation of the noise
Example
Given the following two samples, test whether their means are equal using the standard t-test,
assuming equal variance.
height = np.array([1.83, 1.83, 1.73, 1.82, 1.83, 1.73, 1.99, 1.85, 1.68, 1.87,
1.66, 1.71, 1.73, 1.64, 1.70, 1.60, 1.79, 1.73, 1.62, 1.77])
grp = np.array(["M"] * 10 + ["F"] * 10)
# Compute with scipy

ttest = scipy.stats.ttest_ind(height[grp == "M"], height[grp == "F"], equal_
˓→var=True)
print("Estimate: {:.2f}, t-val: {:.2f}, p-val: {:e}, df: {}".\

format(ttest._estimate, ttest.statistic, ttest.pvalue, ttest.df))
Estimate: 0.12, t-val: 3.55, p-val: 2.282089e-03, df: 18.0
ANOVA F-test: Quantitative as a function of Categorical Factor with Three Levels or More
Analysis of variance (ANOVA) provides a statistical test of whether or not the means of several
(k) groups are equal, and therefore generalizes the 𝑡-test to more than two groups. ANOVAs
are useful for comparing (testing) three or more means (groups or variables) for statistical
significance. It is conceptually similar to multiple two-sample 𝑡-tests, but is less conservative.
Here we will consider one-way ANOVA with one independent variable, ie one-way anova.
Wikipedia:
• Test if any group is on average superior, or inferior, to the others versus the null hypothesis
that all four strategies yield the same mean response
• Detect any of several possible differences.

• The advantage of the ANOVA 𝐹 -test is that we do not need to pre-specify which strategies
are to be compared, and we do not need to adjust for making multiple comparisons.
• The disadvantage of the ANOVA 𝐹 -test is that if we reject the null hypothesis, we do not
know which strategies can be said to be significantly different from the others.
1. Model the data
Assumptions
• The samples are randomly selected in an independent manner from the k populations.
• All k populations have distributions that are approximately normal. Check by plotting
groups distribution.
• The k population variances are equal. Check by plotting groups distribution.
The question is: Is there a difference in Petal Width in species from iris dataset? Let 𝑦1 , 𝑦2 and
𝑦3 be Petal Width in three species.
Here we assume (see assumptions) that the three populations were sampled from three random
variables that are normally distributed. I.e., 𝑌1 ∼ 𝑁 (𝜇1 , 𝜎1 ), 𝑌2 ∼ 𝑁 (𝜇2 , 𝜎2 ) and 𝑌3 ∼ 𝑁 (𝜇3 , 𝜎3 ).
2. Fit: estimate the model parameters
Estimate means and variances: 𝑦¯𝑖 , 𝜎𝑖 , ∀𝑖 ∈ {1, 2, 3}.
3. :math:`F`-test
The formula for the one-way ANOVA F-test statistic is
Explained variance
𝐹 = (5.23)
Unexplained variance
Between-group variability 𝑠2
= = 2𝐵 . (5.24)
Within-group variability 𝑠𝑊
The “explained variance”, or “between-group variability” is

∑︁
𝑠2𝐵 = 𝑦𝑖· − 𝑦¯)2 /(𝐾 − 1),
𝑛𝑖 (¯
𝑖
where 𝑦¯𝑖· denotes the sample mean in the 𝑖th group, 𝑛𝑖 is the number of observations in the 𝑖th
group, 𝑦¯ denotes the overall mean of the data, and 𝐾 denotes the number of groups.
The “unexplained variance”, or “within-group variability” is
∑︁
𝑠2𝑊 = (𝑦𝑖𝑗 − 𝑦¯𝑖· )2 /(𝑁 − 𝐾),
𝑖𝑗
where 𝑦𝑖𝑗 is the 𝑗th observation in the 𝑖th out of 𝐾 groups and 𝑁 is the overall sample size.
This 𝐹 -statistic follows the 𝐹 -distribution with 𝐾 − 1 and 𝑁 − 𝐾 degrees of freedom under the
null hypothesis. The statistic will be large if the between-group variability is large relative to
the within-group variability, which is unlikely to happen if the population means of the groups
all have the same value.
Note that when there are only two groups for the one-way ANOVA F-test, 𝐹 = 𝑡2 where 𝑡 is the
Student’s 𝑡 statistic.

Example with the Iris Dataset:
# Group means
means = iris.groupby("Species").mean().reset_index()
print(means)
# Group Stds (equal variances ?)

stds = iris.groupby("Species").std(ddof=1).reset_index()
print(stds)
# Plot groups
ax = sns.violinplot(x="Species", y="SepalLength", data=iris)
ax = sns.swarmplot(x="Species", y="SepalLength", data=iris,
color="white")
ax = sns.swarmplot(x="Species", y="SepalLength", color="black",
data=means, size=10)
# ANOVA
lm = smf.ols('SepalLength ~ Species', data=iris).fit()
sm.stats.anova_lm(lm, typ=2) # Type 2 ANOVA DataFrame
Species SepalLength SepalWidth PetalLength PetalWidth

0 setosa 5.006 3.428 1.462 0.246
1 versicolor 5.936 2.770 4.260 1.326
2 virginica 6.588 2.974 5.552 2.026
Species SepalLength SepalWidth PetalLength PetalWidth
0 setosa 0.352490 0.379064 0.173664 0.105386
1 versicolor 0.516171 0.313798 0.469911 0.197753
2 virginica 0.635880 0.322497 0.551895 0.274650

Chi-square, 𝜒2 : Categorical v.s. Categorical Factors
Computes the chi-square, 𝜒2 , statistic and 𝑝-value for the hypothesis test of independence of
frequencies in the observed contingency table (cross-table). The observed frequencies are tested
against an expected contingency table obtained by computing expected frequencies based on
the marginal sums under the assumption of independence.
Example
20 participants: 10 exposed to some chemical product and 10 non exposed (exposed = 1 or

0). Among the 20 participants 10 had cancer 10 not (cancer = 1 or 0). 𝜒2 tests the association
between those two variables.
# Dataset:
# 15 samples:
# 10 first exposed
exposed = np.array([1] * 10 + [0] * 10)
# 8 first with cancer, 10 without, the last two with.
cancer = np.array([1] * 8 + [0] * 10 + [1] * 2)
crosstab = pd.crosstab(exposed, cancer, rownames=['exposed'],

colnames=['cancer'])
print("Observed table:")
print("---------------")
print(crosstab)
chi2, pval, dof, expected = scipy.stats.chi2_contingency(crosstab)

print("Statistics:")
print("-----------")
print("Chi2 = %f, pval = %f" % (chi2, pval))
print("Expected table:")
print("---------------")
print(expected)
Observed table:
---------------
cancer 0 1
exposed
0 8 2
1 2 8
Statistics:
-----------
Chi2 = 5.000000, pval = 0.025347
Expected table:
---------------
[[5. 5.]
[5. 5.]]
Computing expected cross-table

# Compute expected cross-table based on proportion

exposed_marg = crosstab.sum(axis=0)
exposed_freq = exposed_marg / exposed_marg.sum()
cancer_marg = crosstab.sum(axis=1)
cancer_freq = cancer_marg / cancer_marg.sum()
print('Exposed frequency? Yes: %.2f' % exposed_freq[0],

'No: %.2f' % exposed_freq[1])
print('Cancer frequency? Yes: %.2f' % cancer_freq[0],
'No: %.2f' % cancer_freq[1])
print('Expected frequencies:')
print(np.outer(exposed_freq, cancer_freq))
print('Expected cross-table (frequencies * N): ')

print(np.outer(exposed_freq, cancer_freq) * len(exposed))
Exposed frequency? Yes: 0.50 No: 0.50

Cancer frequency? Yes: 0.50 No: 0.50
Expected frequencies:
[[0.25 0.25]
[0.25 0.25]]
Expected cross-table (frequencies * N):
[[5. 5.]
[5. 5.]]
Non-parametric Tests of Pairwise Associations
Spearman Rank-Order Correlation (Quantitative vs Quantitative)
The Spearman correlation is a non-parametric measure of the monotonicity of the relationship

between two datasets.
When to use it? Observe the data distribution: - presence of outliers - the distribution of the
residuals is not Gaussian.
Like other correlation coefficients, this one varies between -1 and +1 with 0 implying no cor-
relation. Correlations of -1 or +1 imply an exact monotonic relationship. Positive correlations
imply that as 𝑥 increases, so does 𝑦. Negative correlations imply that as 𝑥 increases, 𝑦 decreases.
np.random.seed(3)
# Age uniform distribution between 20 and 40

age = np.random.uniform(20, 60, 40)
# Systolic blood presure, 2 groups:

# - 15 subjects at 0.05 * age + 6
# - 25 subjects at 0.15 * age + 10


sbp = np.concatenate((0.05 * age[:15] + 6, 0.15 * age[15:] + 10)) + \
.5 * np.random.normal(size=40)
sns.regplot(x=age, y=sbp)
# Non-Parametric Spearman
cor, pval = scipy.stats.spearmanr(age, sbp)
print("Non-Parametric Spearman cor test, cor: %.4f, pval: %.4f" % (cor, pval))
# "Parametric Pearson cor test

cor, pval = scipy.stats.pearsonr(age, sbp)
print("Parametric Pearson cor test: cor: %.4f, pval: %.4f" % (cor, pval))
Non-Parametric Spearman cor test, cor: 0.5122, pval: 0.0007

Parametric Pearson cor test: cor: 0.3085, pval: 0.0528
Wilcoxon Signed-Rank Rest (Quantitative vs Cte)
Wikipedia: The Wilcoxon signed-rank test is a non-parametric statistical hypothesis test used
when comparing two related samples, matched samples, or repeated measurements on a single
sample to assess whether their population mean ranks differ (i.e. it is a paired difference test).
It is equivalent to one-sample test of the difference of paired samples.
It can be used as an alternative to the paired Student’s 𝑡-test, 𝑡-test for matched pairs, or the 𝑡-
test for dependent samples when the population cannot be assumed to be normally distributed.
When to use it? Observe the data distribution: - presence of outliers - the distribution of the
residuals is not Gaussian
It has a lower sensitivity compared to 𝑡-test. May be problematic to use when the sample size is
small.
Null hypothesis 𝐻0 : difference between the pairs follows a symmetric distribution around zero.
n = 20
# Buisness Volume time 0
bv0 = np.random.normal(loc=3, scale=.1, size=n)


# Buisness Volume time 1
bv1 = bv0 + 0.1 + np.random.normal(loc=0, scale=.1, size=n)
# create an outlier
bv1[0] -= 10
# Paired t-test
print(scipy.stats.ttest_rel(bv0, bv1))
# Wilcoxon
print(scipy.stats.wilcoxon(bv0, bv1))
TtestResult(statistic=np.float64(0.7766377807752968), pvalue=np.float64(0.
˓→44693401731548044), df=np.int64(19))
WilcoxonResult(statistic=np.float64(23.0), pvalue=np.float64(0.
˓→001209259033203125))
Mann–Whitney 𝑈 test (Quantitative vs Categorical Factor with Two Levels)
In statistics, the Mann–Whitney 𝑈 test (also called the Mann–Whitney–Wilcoxon, Wilcoxon

rank-sum test or Wilcoxon–Mann–Whitney test) is a nonparametric test of the null hypothesis
that two samples come from the same population against an alternative hypothesis, especially
that a particular population tends to have larger values than the other.
It can be applied on unknown distributions contrary to e.g. a 𝑡-test that has to be applied only
on normal distributions, and it is nearly as efficient as the 𝑡-test on normal distributions.
n = 20
# Buismess Volume group 0
bv0 = np.random.normal(loc=1, scale=.1, size=n)
# Buismess Volume group 1

bv1 = np.random.normal(loc=1.2, scale=.1, size=n)
# create an outlier
bv1[0] -= 10
# Two-samples t-test
print(scipy.stats.ttest_ind(bv0, bv1))
# Wilcoxon
print(scipy.stats.mannwhitneyu(bv0, bv1))
TtestResult(statistic=np.float64(0.6104564820307219), pvalue=np.float64(0.
˓→5451934484051324), df=np.float64(38.0))
MannwhitneyuResult(statistic=np.float64(41.0), pvalue=np.float64(1.
˓→8074477738835562e-05))

5.1.7 Linear Model
Fig. 3: Linear model
Given 𝑛 random samples (𝑦𝑖 , 𝑥1𝑖 , . . . , 𝑥𝑝𝑖 ), 𝑖 = 1, . . . , 𝑛, the linear regression models the relation
between the observations 𝑦𝑖 and the independent variables 𝑥𝑝𝑖 is formulated as
𝑦𝑖 = 𝛽0 + 𝛽1 𝑥1𝑖 + · · · + 𝛽𝑝 𝑥𝑝𝑖 + 𝜀𝑖 𝑖 = 1, . . . , 𝑛
• The 𝛽’s are the model parameters, ie, the regression coeficients.
• 𝛽0 is the intercept or the bias.
• 𝜀𝑖 are the residuals.
• An independent variable (IV). It is a variable that stands alone and isn’t changed by
the other variables you are trying to measure. For example, someone’s age might be an
independent variable. Other factors (such as what they eat, how much they go to school,
how much television they watch) aren’t going to change a person’s age. In fact, when
you are looking for some kind of relationship between variables you are trying to see if
the independent variable causes some kind of change in the other variables, or dependent
variables. In Machine Learning, these variables are also called the predictors.
• A dependent variable. It is something that depends on other factors. For example, a test
score could be a dependent variable because it could change depending on several factors
such as how much you studied, how much sleep you got the night before you took the
test, or even how hungry you were when you took it. Usually when you are looking for
a relationship between two things you are trying to find out what makes the dependent
variable change the way it does. In Machine Learning this variable is called a target
variable.
Assumptions
1. Independence of residuals (𝜀𝑖 ). This assumptions must be satisfied

2. Normality of residuals (𝜀𝑖 ). Approximately normally distributed can be accepted.
Regression diagnostics: testing the assumptions of linear regression

Simple Regression: Test Association Between Two Quantitative Variables
Using the dataset “salary”, explore the association between the dependant variable (e.g. Salary)
and the independent variable (e.g.: Experience is quantitative), considering only non-managers.
df = salary[salary.management == 'N']
1. Model the data

Model the data on some hypothesis e.g.: salary is a linear function of the experience.
salary𝑖 = 𝛽0 + 𝛽 experience𝑖 + 𝜖𝑖 ,
more generally
𝑦𝑖 = 𝛽0 + 𝛽 𝑥𝑖 + 𝜖𝑖
This can be rewritten in the matrix form using the design matrix made of values of independant
variable and the intercept:
⎡ ⎤ ⎡ ⎤ ⎡ ⎤
𝑦1 1 𝑥1 𝜖1
⎢𝑦2 ⎥ ⎢1 𝑥2 ⎥ [︂ ]︂ ⎢𝜖2 ⎥
⎢𝑦3 ⎥ = ⎢1 𝑥3 ⎥ 𝛽0 + ⎢𝜖3 ⎥
⎢ ⎥ ⎢ ⎥ ⎢ ⎥
⎢ ⎥ ⎢ ⎥ 𝛽1 ⎢ ⎥
⎣𝑦4 ⎦ ⎣1 𝑥4 ⎦ ⎣𝜖4 ⎦
𝑦5 1 𝑥5 𝜖5
• 𝛽: the slope or coefficient or parameter of the model,

• 𝛽0 : the intercept or bias is the second parameter of the model,
• 𝜖𝑖 : is the 𝑖th error, or residual with 𝜖 ∼ 𝒩 (0, 𝜎 2 ).
The simple regression is equivalent to the Pearson correlation.
2. Fit: estimate the model parameters
The goal it so estimate 𝛽, 𝛽0 and 𝜎 2 .
Minimizes the mean squared error (MSE) or the Sum squared error ∑︀ (SSE). The so-called
Ordinary Least Squares (OLS) finds 𝛽, 𝛽0 that minimizes the 𝑆𝑆𝐸 = 𝑖 𝜖2𝑖
∑︁
𝑆𝑆𝐸 = (𝑦𝑖 − 𝛽 𝑥𝑖 − 𝛽0 )2
𝑖
Recall from calculus that an extreme point can be found by computing where the derivative is
zero, i.e. to find the intercept, we perform the steps:
𝜕𝑆𝑆𝐸 ∑︁
= (𝑦𝑖 − 𝛽 𝑥𝑖 − 𝛽0 ) = 0
𝜕𝛽0
𝑖
∑︁ ∑︁
𝑦𝑖 = 𝛽 𝑥𝑖 + 𝑛 𝛽0
𝑖 𝑖
𝑛 𝑦¯ = 𝑛 𝛽 𝑥
¯ + 𝑛 𝛽0
𝛽0 = 𝑦¯ − 𝛽 𝑥
¯
To find the regression coefficient, we perform the steps:

𝜕𝑆𝑆𝐸 ∑︁
= 𝑥𝑖 (𝑦𝑖 − 𝛽 𝑥𝑖 − 𝛽0 ) = 0
𝜕𝛽
𝑖

Plug in 𝛽0 :
∑︁
𝑥𝑖 (𝑦𝑖 − 𝛽 𝑥𝑖 − 𝑦¯ + 𝛽 𝑥
¯) = 0
𝑖
∑︁ ∑︁ ∑︁
𝑥𝑖 𝑦𝑖 − 𝑦¯ 𝑥𝑖 = 𝛽 (𝑥𝑖 − 𝑥
¯)
𝑖 𝑖 𝑖
Divide both sides by 𝑛:

1 ∑︁ 1 ∑︁
𝑥𝑖 𝑦𝑖 − 𝑦¯𝑥¯= 𝛽 (𝑥𝑖 − 𝑥
¯)
𝑛 𝑛
𝑖 𝑖
1 ∑︀
𝑥𝑖 𝑦𝑖 − 𝑦¯𝑥
¯ 𝐶𝑜𝑣(𝑥, 𝑦)
𝛽 = 1 ∑︀𝑖
𝑛
= .
𝑛 𝑖 (𝑥𝑖 − 𝑥
¯) 𝑉 𝑎𝑟(𝑥)
y, x = df.salary, df.experience
beta, beta0, r_value, p_value, std_err = scipy.stats.linregress(x,y)
print("y = %f x + %f, r: %f, r-squared: %f,\np-value: %f, std_err: %f"
% (beta, beta0, r_value, r_value**2, p_value, std_err))
print("Regression line with the scatterplot")

yhat = beta * x + beta0 # regression line
plt.plot(x, yhat, 'r-', x, y,'o')
plt.xlabel('Experience (years)')
plt.ylabel('Salary')
plt.show()
y = 452.658228 x + 10785.911392, r: 0.965370, r-squared: 0.931939,

p-value: 0.000000, std_err: 24.970021
Regression line with the scatterplot

Multiple Regression
Theory
Multiple Linear Regression is the most basic supervised learning algorithm.
Given: a set of training data {𝑥1 , ..., 𝑥𝑁 } with corresponding targets {𝑦1 , ..., 𝑦𝑁 }.
In linear regression, we assume that the model that generates the data involves only a linear
combination of the input variables, i.e.
𝑦𝑖 = 𝛽0 + 𝛽1 𝑥𝑖1 + ... + 𝛽𝑃 𝑥𝑖𝑃 + 𝜀𝑖 ,
or, simplified
𝑃 −1
𝛽𝑗 𝑥𝑗𝑖 + 𝜀𝑖 .
∑︁
𝑦𝑖 = 𝛽0 +
𝑗=1
Extending each sample with an intercept, 𝑥𝑖 := [1, 𝑥𝑖 ] ∈ 𝑅𝑃 +1 allows us to use a more general
notation based on linear algebra and write it as a simple dot product:
𝑦𝑖 = x𝑇𝑖 𝛽 + 𝜀𝑖 ,
where 𝛽 ∈ 𝑅𝑃 +1 is a vector of weights that define the 𝑃 + 1 parameters of the model. From
now we have 𝑃 regressors + the intercept.
Using the matrix notation:
⎡ ⎤ ⎡ ⎤ ⎡ ⎤
𝑦1 1 𝑥11 ... 𝑥1𝑃 ⎡ 𝛽 ⎤ 𝜖1
0
⎢𝑦2 ⎥ ⎢1 𝑥21 ... 𝑥2𝑃 ⎥ ⎢ 𝛽 ⎥ ⎢𝜖2 ⎥
⎥ ⎢
⎢ ⎥ ⎢
⎢𝑦3 ⎥ = ⎢1 ⎢ 1⎥ ⎢ ⎥
𝑥31 ... 𝑥3𝑃 ⎥
⎥⎢ .. ⎥ + ⎢𝜖3 ⎥
𝑥4𝑃 ⎦ .
⎢ ⎥ ⎢ ⎦ ⎣ ⎥
⎣𝑦4 ⎦ ⎣1 𝑥41 ...
⎣
𝜖4 ⎦
𝑦5 1 𝑥5 ... 𝑥5 𝛽 𝑃 𝜖5
Let 𝑋 = [𝑥𝑇0 , ..., 𝑥𝑇𝑁 ] be the (𝑁 × 𝑃 + 1) design matrix of 𝑁 samples of 𝑃 input features with
one column of one and let be 𝑦 = [𝑦1 , ..., 𝑦𝑁 ] be a vector of the 𝑁 targets.
𝑦 = 𝑋𝛽 + 𝜀
Minimize the Mean Squared Error MSE loss:

𝑁
1 ∑︁
𝑀 𝑆𝐸(𝛽) = (𝑦𝑖 − x𝑇𝑖 𝛽)2
𝑁
𝑖=1
Using the matrix notation, the mean squared error (MSE) loss can be rewritten:
1
𝑀 𝑆𝐸(𝛽) = ||𝑦 − 𝑋𝛽||22 .
𝑁
The 𝛽 that minimizes the MSE can be found by:

(︂ )︂
1
∇𝛽 ||𝑦 − 𝑋𝛽||22 =0 (5.25)
𝑁
1
∇𝛽 (𝑦 − 𝑋𝛽)𝑇 (𝑦 − 𝑋𝛽) = 0 (5.26)
𝑁
1
∇𝛽 (𝑦 𝑇 𝑦 − 2𝛽 𝑇 𝑋 𝑇 𝑦 + 𝛽 𝑇 𝑋 𝑇 𝑋𝛽) = 0 (5.27)
𝑁
−2𝑋 𝑇 𝑦 + 2𝑋 𝑇 𝑋𝛽 = 0 (5.28)
𝑋 𝑇 𝑋𝛽 = 𝑋 𝑇 𝑦 (5.29)
𝑇 −1 𝑇
𝛽 = (𝑋 𝑋) 𝑋 𝑦, (5.30)
where (𝑋 𝑇 𝑋)−1 𝑋 𝑇 is a pseudo inverse of 𝑋.

Simulated dataset where:
⎡ ⎤ ⎡ ⎤ ⎡ 10 ⎤ ⎡ ⎤
𝑦1 1 𝑥1,1 𝑥1,2 𝑥1,3 𝜖1
⎢ .. ⎥ ⎢ .. .. .. .. ⎥ ⎢ 1 ⎥ ⎢ . ⎥
⎣ . ⎦ = ⎣. . . . ⎦ ⎣0.5⎦ + ⎣ .. ⎦
⎢ ⎥
𝑦50 1 𝑥50,1 𝑥50,2 𝑥50,3 0.1 𝜖50
from scipy import linalg

# Dataset
N, P = 50, 4
X = np.random.normal(size= N * P).reshape((N, P))
## Our model needs an intercept so we add a column of 1s:
X[:, 0] = 1
print(X[:5, :])
betastar = np.array([10, 1., .5, 0.1])

e = np.random.normal(size=N)
y = np.dot(X, betastar) + e
[[ 1. -0.1382643 0.64768854 1.52302986]

[ 1. -0.23413696 1.57921282 0.76743473]
[ 1. 0.54256004 -0.46341769 -0.46572975]
[ 1. -1.91328024 -1.72491783 -0.56228753]
[ 1. 0.31424733 -0.90802408 -1.4123037 ]]
Fit with ``numpy``

Estimate the parameters
Xpinv = linalg.pinv(X)
betahat = np.dot(Xpinv, y)
print("Estimated beta:\n", betahat)
Estimated beta:
[10.14742501 0.57938106 0.51654653 0.17862194]

Linear Model with Statsmodels
Statmodels examples
Multiple Regression Using Numpy Array
Interface with statsmodels without formulae (sm)
## Fit and summary:

model = sm.OLS(y, X).fit()
print(model.summary())
# prediction of new values

ypred = model.predict(X)
# residuals + prediction == true values

assert np.all(ypred + model.resid == y)
OLS Regression Results

==============================================================================
Dep. Variable: y R-squared: 0.363
Model: OLS Adj. R-squared: 0.322
Method: Least Squares F-statistic: 8.748
Date: Sat, 24 Aug 2024 Prob (F-statistic): 0.000106
Time: 12:49:10 Log-Likelihood: -71.271
No. Observations: 50 AIC: 150.5
Df Residuals: 46 BIC: 158.2
Df Model: 3
Covariance Type: nonrobust
==============================================================================
coef std err t P>|t| [0.025 0.975]
------------------------------------------------------------------------------
const 10.1474 0.150 67.520 0.000 9.845 10.450
x1 0.5794 0.160 3.623 0.001 0.258 0.901
x2 0.5165 0.151 3.425 0.001 0.213 0.820
x3 0.1786 0.144 1.240 0.221 -0.111 0.469
==============================================================================
Omnibus: 2.493 Durbin-Watson: 2.369
Prob(Omnibus): 0.288 Jarque-Bera (JB): 1.544
Skew: 0.330 Prob(JB): 0.462
Kurtosis: 3.554 Cond. No. 1.27
==============================================================================
Notes:
[1] Standard Errors assume that the covariance matrix of the errors is correctly␣
˓→specified.

Multiple Regression Pandas using formulae (smf)
Use R language syntax for data.frame. For an additive model:

𝑦𝑖 = 𝛽 0 + 𝑥1𝑖 𝛽 1 + 𝑥2𝑖 𝛽 2 + 𝜖𝑖 ≡ y ~ x1 + x2.
df = pd.DataFrame(np.column_stack([X, y]),
columns=['inter', 'x1','x2', 'x3', 'y'])
print(df.columns, df.shape)
# Build a model excluding the intercept, it is implicit
model = smf.ols("y~x1 + x2 + x3", df).fit()
print(model.summary())
Index(['inter', 'x1', 'x2', 'x3', 'y'], dtype='object') (50, 5)

==============================================================================
Dep. Variable: y R-squared: 0.363
Date: Sat, 24 Aug 2024 Prob (F-statistic): 0.000106
No. Observations: 50 AIC: 150.5
Df Residuals: 46 BIC: 158.2
Df Model: 3
==============================================================================
coef std err t P>|t| [0.025 0.975]
------------------------------------------------------------------------------
Intercept 10.1474 0.150 67.520 0.000 9.845 10.450
x1 0.5794 0.160 3.623 0.001 0.258 0.901
x2 0.5165 0.151 3.425 0.001 0.213 0.820
x3 0.1786 0.144 1.240 0.221 -0.111 0.469
==============================================================================
Skew: 0.330 Prob(JB): 0.462
==============================================================================
Notes:
˓→specified.

Multiple Regression Mixing Covariates and Factors (ANCOVA)
Analysis of covariance (ANCOVA) is a linear model that blends ANOVA and linear regression.
ANCOVA evaluates whether population means of a dependent variable (DV) are equal across
levels of a categorical independent variable (IV) often called a treatment, while statistically
controlling for the effects of other quantitative or continuous variables that are not of primary
interest, known as covariates (CV).
df = salary.copy()
lm = smf.ols('salary ~ experience', df).fit()

df["residuals"] = lm.resid
print("Jarque-Bera normality test p-value %.5f" % \

sm.stats.jarque_bera(lm.resid)[1])
ax = sns.displot(df, x='residuals', kind="kde", fill=True, aspect=1, height=fig_

˓→h*0.7)
ax = sns.displot(df, x='residuals', kind="kde", hue='management', fill=True,

aspect=1, height=fig_h*0.7)
Jarque-Bera normality test p-value 0.04374

Normality assumption of the residuals can be rejected (p-value < 0.05). There is an efect of the
“management” factor, take it into account.
One-way AN(C)OVA
• ANOVA: one categorical independent variable, i.e. one factor.

• ANCOVA: ANOVA with some covariates.
oneway = smf.ols('salary ~ management + experience', df).fit()

df["residuals"] = oneway.resid
sns.displot(df, x='residuals', kind="kde", fill=True,
print(sm.stats.anova_lm(oneway, typ=2))
sm.stats.jarque_bera(oneway.resid)[1])
sum_sq df F PR(>F)
management 5.755739e+08 1.0 183.593466 4.054116e-17
experience 3.334992e+08 1.0 106.377768 3.349662e-13
Residual 1.348070e+08 43.0 NaN NaN

Distribution of residuals is still not normal but closer to normality. Both management and
experience are significantly associated with salary.
Two-way AN(C)OVA
Ancova with two categorical independent variables, i.e. two factors.
twoway = smf.ols('salary ~ education + management + experience', df).fit()
df["residuals"] = twoway.resid
sns.displot(df, x='residuals', kind="kde", fill=True,
print(sm.stats.anova_lm(twoway, typ=2))

sm.stats.jarque_bera(twoway.resid)[1])
sum_sq df F PR(>F)
education 9.152624e+07 2.0 43.351589 7.672450e-11
management 5.075724e+08 1.0 480.825394 2.901444e-24
experience 3.380979e+08 1.0 320.281524 5.546313e-21
Residual 4.328072e+07 41.0 NaN NaN

Normality assumtion cannot be rejected. Assume it. Education, management and experience
are significantly associated with salary.
Comparing Two Nested Models
oneway is nested within twoway. Comparing two nested models tells us if the additional predic-
tors (i.e. education) of the full model significantly decrease the residuals. Such comparison can
be done using an 𝐹 -test on residuals:
print(twoway.compare_f_test(oneway)) # return F, pval, df
(np.float64(43.35158945918104), np.float64(7.6724495704955e-11), np.float64(2.0))
twoway is significantly better than one way
Factor Coding
Statsmodels contrasts. By default Pandas use “dummy coding”. Explore:
print(twoway.model.data.param_names)
print(twoway.model.data.exog[:10, :])
['Intercept', 'education[T.Master]', 'education[T.Ph.D]', 'management[T.Y]',

˓→'experience']
[[1. 0. 0. 1. 1.]
[1. 0. 1. 0. 1.]
[1. 0. 1. 1. 1.]
[1. 1. 0. 0. 1.]
[1. 0. 1. 0. 1.]
[1. 1. 0. 1. 2.]
[1. 1. 0. 0. 2.]


[1. 0. 0. 0. 2.]
[1. 0. 1. 0. 2.]
[1. 1. 0. 0. 3.]]
Contrasts and Post-hoc Tests
# t-test of the specific contribution of experience:

ttest_exp = twoway.t_test([0, 0, 0, 0, 1])
ttest_exp.pvalue, ttest_exp.tvalue
print(ttest_exp)
# Alternatively, you can specify the hypothesis tests using a string

twoway.t_test('experience')
# Post-hoc is salary of Master different salary of Ph.D?

# ie. t-test salary of Master = salary of Ph.D.
print(twoway.t_test('education[T.Master] = education[T.Ph.D]'))
Test for Constraints

==============================================================================
coef std err t P>|t| [0.025 0.975]
------------------------------------------------------------------------------
c0 546.1840 30.519 17.896 0.000 484.549 607.819
==============================================================================
Test for Constraints
==============================================================================
coef std err t P>|t| [0.025 0.975]
------------------------------------------------------------------------------
c0 147.8249 387.659 0.381 0.705 -635.069 930.719
==============================================================================
5.1.8 Multiple Comparisons
np.random.seed(seed=42) # make example reproducible
# Dataset
n_samples, n_features = 100, 1000
n_info = int(n_features/10) # number of features with information
n1, n2 = int(n_samples/2), n_samples - int(n_samples/2)
snr = .5
Y = np.random.randn(n_samples, n_features)
grp = np.array(["g1"] * n1 + ["g2"] * n2)
# Add some group effect for Pinfo features

Y[grp=="g1", :n_info] += snr


#
import scipy.stats as stats
#import matplotlib.pyplot as plt
tvals, pvals = np.full(n_features, np.nan), np.full(n_features, np.nan)
for j in range(n_features):
tvals[j], pvals[j] = stats.ttest_ind(Y[grp=="g1", j], Y[grp=="g2", j],
equal_var=True)
fig, axis = plt.subplots(3, 1, figsize=(9, 9))#, sharex='col')
axis[0].plot(range(n_features), tvals, 'o')

axis[0].set_ylabel("t-value")
axis[1].plot(range(n_features), pvals, 'o')

axis[1].axhline(y=0.05, color='red', linewidth=3, label="p-value=0.05")
#axis[1].axhline(y=0.05, label="toto", color='red')
axis[1].set_ylabel("p-value")
axis[1].legend()
axis[2].hist([pvals[n_info:], pvals[:n_info]],
stacked=True, bins=100, label=["Negatives", "Positives"])
axis[2].set_xlabel("p-value histogram")
axis[2].set_ylabel("density")
axis[2].legend()
plt.tight_layout()

Note that under the null hypothesis the distribution of the p-values is uniform.
Statistical measures:
• True Positive (TP) equivalent to a hit. The test correctly concludes the presence of an
effect.
• True Negative (TN). The test correctly concludes the absence of an effect.
• False Positive (FP) equivalent to a false alarm, Type I error. The test improperly con-
cludes the presence of an effect. Thresholding at 𝑝-value < 0.05 leads to 47 FP.
• False Negative (FN) equivalent to a miss, Type II error. The test improperly concludes the
absence of an effect.
P, N = n_info, n_features - n_info # Positives, Negatives

TP = np.sum(pvals[:n_info ] < 0.05) # True Positives
FP = np.sum(pvals[n_info: ] < 0.05) # False Positives
print("No correction, FP: %i (expected: %.2f), TP: %i" % (FP, N * 0.05, TP))

No correction, FP: 47 (expected: 45.00), TP: 71
Bonferroni Correction for Multiple Comparisons
The Bonferroni correction is based on the idea that if an experimenter is testing 𝑃 hypothe-
ses, then one way of maintaining the Family-wise error rate FWER is to test each individual
hypothesis at a statistical significance level of 1/𝑃 times the desired maximum overall level.
So, if the desired significance level for the whole family of tests is 𝛼 (usually 0.05), then the
Bonferroni correction would test each individual hypothesis at a significance level of 𝛼/𝑃 . For
example, if a trial is testing 𝑃 = 8 hypotheses with a desired 𝛼 = 0.05, then the Bonferroni
correction would test each individual hypothesis at 𝛼 = 0.05/8 = 0.00625.
import statsmodels.sandbox.stats.multicomp as multicomp
_, pvals_fwer, _, _ = multicomp.multipletests(pvals, alpha=0.05,

method='bonferroni')
TP = np.sum(pvals_fwer[:n_info ] < 0.05) # True Positives
FP = np.sum(pvals_fwer[n_info: ] < 0.05) # False Positives
print("FWER correction, FP: %i, TP: %i" % (FP, TP))
FWER correction, FP: 0, TP: 6
The False Discovery Rate (FDR) Correction for Multiple Comparisons
FDR-controlling procedures are designed to control the expected proportion of rejected null
hypotheses that were incorrect rejections (“false discoveries”). FDR-controlling procedures pro-
vide less stringent control of Type I errors compared to the familywise error rate (FWER) con-
trolling procedures (such as the Bonferroni correction), which control the probability of at least
one Type I error. Thus, FDR-controlling procedures have greater power, at the cost of increased
rates of Type I errors.
_, pvals_fdr, _, _ = multicomp.multipletests(pvals, alpha=0.05,

method='fdr_bh')
TP = np.sum(pvals_fdr[:n_info ] < 0.05) # True Positives
FP = np.sum(pvals_fdr[n_info: ] < 0.05) # False Positives
print("FDR correction, FP: %i, TP: %i" % (FP, TP))
FDR correction, FP: 3, TP: 20

5.2 Lab: Brain volumes study
The study provides the brain volumes of grey matter (gm), white matter (wm) and cerebrospinal
fluid) (csf) of 808 anatomical MRI scans.
5.2.1 Manipulate data
Set the working directory within a directory called “brainvol”

Create 2 subdirectories: data that will contain downloaded data and reports for results of the
analysis.
import os
import os.path
import pandas as pd
import tempfile
import urllib.request
WD = os.path.join(tempfile.gettempdir(), "brainvol")
os.makedirs(WD, exist_ok=True)
#os.chdir(WD)
# use cookiecutter file organization

# https://drivendata.github.io/cookiecutter-data-science/
os.makedirs(os.path.join(WD, "data"), exist_ok=True)
#os.makedirs("reports", exist_ok=True)
Fetch data
• Demographic data demo.csv (columns: participant_id, site, group, age, sex) and tissue
volume data: group is Control or Patient. site is the recruiting site.
• Gray matter volume gm.csv (columns: participant_id, session, gm_vol)
• White matter volume wm.csv (columns: participant_id, session, wm_vol)
• Cerebrospinal Fluid csf.csv (columns: participant_id, session, csf_vol)
base_url = 'https://github.com/duchesnay/pystatsml/raw/master/datasets/brain_
˓→volumes/%s'
data = dict()
for file in ["demo.csv", "gm.csv", "wm.csv", "csf.csv"]:
urllib.request.urlretrieve(base_url % file, os.path.join(WD, "data", file))
# Read all CSV in one line

# dicts = {k: pd.read_csv(os.path.join(WD, "data", "%s.csv" % k))
# for k in ["demo", "gm", "wm", "csf"]}
demo = pd.read_csv(os.path.join(WD, "data", "demo.csv"))

gm = pd.read_csv(os.path.join(WD, "data", "gm.csv"))
wm = pd.read_csv(os.path.join(WD, "data", "wm.csv"))
csf = pd.read_csv(os.path.join(WD, "data", "csf.csv"))

print("tables can be merge using shared columns")

print(gm.head())
tables can be merge using shared columns

participant_id session gm_vol
0 sub-S1-0002 ses-01 0.672506
1 sub-S1-0002 ses-02 0.678772
2 sub-S1-0002 ses-03 0.665592
3 sub-S1-0004 ses-01 0.890714
4 sub-S1-0004 ses-02 0.881127
Merge tables according to participant_id
brain_vol = pd.merge(pd.merge(pd.merge(demo, gm), wm), csf)

assert brain_vol.shape == (808, 9)
Drop rows with missing values
brain_vol = brain_vol.dropna()
assert brain_vol.shape == (766, 9)
Compute Total Intra-cranial volume tiv_vol = gm_vol + csf_vol + wm_vol.
brain_vol["tiv_vol"] = brain_vol["gm_vol"] + \
brain_vol["wm_vol"] + brain_vol["csf_vol"]
Compute tissue fractions gm_f = gm_vol / tiv_vol, wm_f = wm_vol / tiv_vol.
brain_vol["gm_f"] = brain_vol["gm_vol"] / brain_vol["tiv_vol"]

brain_vol["wm_f"] = brain_vol["wm_vol"] / brain_vol["tiv_vol"]
Save in a excel file brain_vol.xlsx
brain_vol.to_excel(os.path.join(WD, "data", "brain_vol.xlsx"),

sheet_name='data', index=False)
5.2.2 Descriptive Statistics
Load excel file brain_vol.xlsx
import os
import pandas as pd
import statsmodels.formula.api as smfrmla
brain_vol = pd.read_excel(os.path.join(WD, "data", "brain_vol.xlsx"),

sheet_name='data')
5.2. Lab: Brain volumes study 183


# Round float at 2 decimals when printing
pd.options.display.float_format = '{:,.2f}'.format
Descriptive statistics Most of participants have several MRI sessions (column session) Select
on rows from session one “ses-01”
brain_vol1 = brain_vol[brain_vol.session == "ses-01"]

# Check that there are no duplicates
assert len(brain_vol1.participant_id.unique()) == len(brain_vol1.participant_id)
Global descriptives statistics of numerical variables
desc_glob_num = brain_vol1.describe()
print(desc_glob_num)
age gm_vol wm_vol csf_vol tiv_vol gm_f wm_f

count 244.00 244.00 244.00 244.00 244.00 244.00 244.00
mean 34.54 0.71 0.44 0.31 1.46 0.49 0.30
std 12.09 0.08 0.07 0.08 0.17 0.04 0.03
min 18.00 0.48 0.05 0.12 0.83 0.37 0.06
25% 25.00 0.66 0.40 0.25 1.34 0.46 0.28
50% 31.00 0.70 0.43 0.30 1.45 0.49 0.30
75% 44.00 0.77 0.48 0.37 1.57 0.52 0.31
max 61.00 1.03 0.62 0.63 2.06 0.60 0.36
Global Descriptive statistics of categorical variable
desc_glob_cat = brain_vol1[["site", "group", "sex"]].describe(include='all')

print(desc_glob_cat)
print("Get count by level")

desc_glob_cat = pd.DataFrame({col: brain_vol1[col].value_counts().to_dict()
for col in ["site", "group", "sex"]})
site group sex

count 244 244 244
unique 7 2 2
top S7 Patient M
freq 65 157 155
Get count by level
site group sex
S7 65.00 NaN NaN
S5 62.00 NaN NaN
S8 59.00 NaN NaN
S3 29.00 NaN NaN
S4 15.00 NaN NaN
S1 13.00 NaN NaN
S6 1.00 NaN NaN
Patient NaN 157.00 NaN


Control NaN 87.00 NaN
M NaN NaN 155.00
F NaN NaN 89.00
Remove the single participant from site 6
brain_vol = brain_vol[brain_vol.site != "S6"]

brain_vol1 = brain_vol[brain_vol.session == "ses-01"]
desc_glob_cat = pd.DataFrame({col: brain_vol1[col].value_counts().to_dict()
for col in ["site", "group", "sex"]})
site group sex

S7 65.00 NaN NaN
S5 62.00 NaN NaN
S8 59.00 NaN NaN
S3 29.00 NaN NaN
S4 15.00 NaN NaN
S1 13.00 NaN NaN
Patient NaN 157.00 NaN
Control NaN 86.00 NaN
M NaN NaN 155.00
F NaN NaN 88.00
Descriptives statistics of numerical variables per clinical status
desc_group_num = brain_vol1[["group", 'gm_vol']].groupby("group").describe()

print(desc_group_num)
gm_vol
count mean std min 25% 50% 75% max
group
Control 86.00 0.72 0.09 0.48 0.66 0.71 0.78 1.03
Patient 157.00 0.70 0.08 0.53 0.65 0.70 0.76 0.90
5.2.3 Statistics
Objectives:
1. Site effect of gray matter atrophy
2. Test the association between the age and gray matter atrophy in the control and patient
population independently.
3. Test for differences of atrophy between the patients and the controls
4. Test for interaction between age and clinical status, ie: is the brain atrophy process in
patient population faster than in the control population.
5. The effect of the medication in the patient population.

import statsmodels.formula.api as smfrmla
import scipy.stats
1 Site effect on Grey Matter atrophy

The model is Oneway Anova gm_f ~ site The ANOVA test has important assumptions that must
be satisfied in order for the associated p-value to be valid.
• The samples are independent.
• Each sample is from a normally distributed population.
• The population standard deviations of the groups are all equal. This property is known as
homoscedasticity.
Plot
sns.violinplot(x="site", y="gm_f", data=brain_vol1)

# sns.violinplot(x="site", y="wm_f", data=brain_vol1)
brain_vol1.groupby('site')['age'].describe()
Stats with scipy

fstat, pval = scipy.stats.f_oneway(*[brain_vol1.gm_f[brain_vol1.site == s]

for s in brain_vol1.site.unique()])
print("Oneway Anova gm_f ~ site F=%.2f, p-value=%E" % (fstat, pval))
Oneway Anova gm_f ~ site F=14.82, p-value=1.188136E-12
Stats with statsmodels
anova = smfrmla.ols("gm_f ~ site", data=brain_vol1).fit()

# print(anova.summary())
print("Site explains %.2f%% of the grey matter fraction variance" %
(anova.rsquared * 100))
print(sm.stats.anova_lm(anova, typ=2))
Site explains 23.82% of the grey matter fraction variance

sum_sq df F PR(>F)
site 0.11 5.00 14.82 0.00
Residual 0.35 237.00 NaN NaN
2. Test the association between the age and gray matter atrophy in the control and patient
population independently.
Plot
sns.lmplot(x="age", y="gm_f", hue="group", data=brain_vol1)
brain_vol1_ctl = brain_vol1[brain_vol1.group == "Control"]

brain_vol1_pat = brain_vol1[brain_vol1.group == "Patient"]

Stats with scipy
print("--- In control population ---")

beta, beta0, r_value, p_value, std_err = \
scipy.stats.linregress(x=brain_vol1_ctl.age, y=brain_vol1_ctl.gm_f)
print("gm_f = %f * age + %f" % (beta, beta0))

print("Corr: %f, r-squared: %f, p-value: %f, std_err: %f"\
% (r_value, r_value**2, p_value, std_err))
print("--- In patient population ---")

beta, beta0, r_value, p_value, std_err = \
scipy.stats.linregress(x=brain_vol1_pat.age, y=brain_vol1_pat.gm_f)
print("gm_f = %f * age + %f" % (beta, beta0))

print("Corr: %f, r-squared: %f, p-value: %f, std_err: %f"\
% (r_value, r_value**2, p_value, std_err))
print("Decrease seems faster in patient than in control population")
--- In control population ---

gm_f = -0.001181 * age + 0.529829
Corr: -0.325122, r-squared: 0.105704, p-value: 0.002255, std_err: 0.000375


--- In patient population ---
gm_f = -0.001899 * age + 0.556886
Corr: -0.528765, r-squared: 0.279592, p-value: 0.000000, std_err: 0.000245
Decrease seems faster in patient than in control population
print("--- In control population ---")

lr = smfrmla.ols("gm_f ~ age", data=brain_vol1_ctl).fit()
print(lr.summary())
print("Age explains %.2f%% of the grey matter fraction variance" %
(lr.rsquared * 100))
print("--- In patient population ---")

lr = smfrmla.ols("gm_f ~ age", data=brain_vol1_pat).fit()
print(lr.summary())
print("Age explains %.2f%% of the grey matter fraction variance" %
(lr.rsquared * 100))
--- In control population ---

==============================================================================
Dep. Variable: gm_f R-squared: 0.106
Date: jeu., 03 oct. 2024 Prob (F-statistic): 0.00226
Time: 17:30:01 Log-Likelihood: 159.34
No. Observations: 86 AIC: -314.7
Df Residuals: 84 BIC: -309.8
Df Model: 1
==============================================================================
coef std err t P>|t| [0.025 0.975]
------------------------------------------------------------------------------
Intercept 0.5298 0.013 40.350 0.000 0.504 0.556
age -0.0012 0.000 -3.151 0.002 -0.002 -0.000
==============================================================================
Skew: 0.233 Prob(JB): 0.676
Kurtosis: 2.962 Cond. No. 111.
==============================================================================
Notes:
˓→specified.
Age explains 10.57% of the grey matter fraction variance

--- In patient population ---


==============================================================================
Dep. Variable: gm_f R-squared: 0.280
Date: jeu., 03 oct. 2024 Prob (F-statistic): 1.09e-12
Time: 17:30:01 Log-Likelihood: 289.38
No. Observations: 157 AIC: -574.8
Df Residuals: 155 BIC: -568.7
Df Model: 1
==============================================================================
coef std err t P>|t| [0.025 0.975]
------------------------------------------------------------------------------
Intercept 0.5569 0.009 60.817 0.000 0.539 0.575
age -0.0019 0.000 -7.756 0.000 -0.002 -0.001
==============================================================================
Skew: 0.230 Prob(JB): 0.396
Kurtosis: 3.268 Cond. No. 111.
==============================================================================
Notes:
˓→specified.
Age explains 27.96% of the grey matter fraction variance
Before testing for differences of atrophy between the patients ans the controls Preliminary tests
for age x group effect (patients would be older or younger than Controls)
Plot
sns.violinplot(x="group", y="age", data=brain_vol1)

<Axes: xlabel='group', ylabel='age'>
Stats with scipy
print(scipy.stats.ttest_ind(brain_vol1_ctl.age, brain_vol1_pat.age))
TtestResult(statistic=np.float64(-1.2155557697674162), pvalue=np.float64(0.
˓→225343592508479), df=np.float64(241.0))
print(smfrmla.ols("age ~ group", data=brain_vol1).fit().summary())

print("No significant difference in age between patients and controls")

==============================================================================
Dep. Variable: age R-squared: 0.006
Date: jeu., 03 oct. 2024 Prob (F-statistic): 0.225
No. Observations: 243 AIC: 1903.
Df Residuals: 241 BIC: 1910.
Df Model: 1


====================================================================================
coef std err t P>|t| [0.025 0.
˓→975]
----------------------------------------------------------------------------------
˓→--
Intercept 33.2558 1.305 25.484 0.000 30.685 35.

˓→826
group[T.Patient] 1.9735 1.624 1.216 0.225 -1.225 5.

˓→172
==============================================================================
Skew: 0.569 Prob(JB): 3.16e-05
==============================================================================
Notes:
˓→specified.
No significant difference in age between patients and controls
Preliminary tests for sex x group (more/less males in patients than in Controls)
crosstab = pd.crosstab(brain_vol1.sex, brain_vol1.group)

print("Obeserved contingency table")
print(crosstab)
chi2, pval, dof, expected = scipy.stats.chi2_contingency(crosstab)
print("Chi2 = %f, pval = %f" % (chi2, pval))

print("No significant difference in sex between patients and controls")
Obeserved contingency table

group Control Patient
sex
F 33 55
M 53 102
Chi2 = 0.143253, pval = 0.705068
No significant difference in sex between patients and controls
3. Test for differences of atrophy between the patients and the controls
print(sm.stats.anova_lm(smfrmla.ols("gm_f ~ group", data=brain_vol1).fit(),

typ=2))
print("No significant difference in atrophy between patients and controls")
sum_sq df F PR(>F)
group 0.00 1.00 0.01 0.92
No significant difference in atrophy between patients and controls

This model is simplistic we should adjust for age and site
print(sm.stats.anova_lm(smfrmla.ols(
"gm_f ~ group + age + site", data=brain_vol1).fit(), typ=2))
print("No significant difference in GM between patients and controls")
sum_sq df F PR(>F)
group 0.00 1.00 1.82 0.18
site 0.11 5.00 19.79 0.00
age 0.09 1.00 86.86 0.00
No significant difference in GM between patients and controls
Observe age effect

4. Test for interaction between age and clinical status, ie: is the brain atrophy process in
patient population faster than in the control population.
ancova = smfrmla.ols("gm_f ~ group:age + age + site", data=brain_vol1).fit()

print(sm.stats.anova_lm(ancova, typ=2))
print("= Parameters =")

print(ancova.params)
print("%.3f%% of grey matter loss per year (almost %.1f%% per decade)" %
(ancova.params.age * 100, ancova.params.age * 100 * 10))
print("grey matter loss in patients is accelerated by %.3f%% per decade" %

(ancova.params['group[T.Patient]:age'] * 100 * 10))
sum_sq df F PR(>F)
site 0.11 5.00 20.28 0.00
age 0.10 1.00 89.37 0.00
group:age 0.00 1.00 3.28 0.07
= Parameters =
Intercept 0.52
site[T.S3] 0.01
site[T.S4] 0.03
site[T.S5] 0.01
site[T.S7] 0.06
site[T.S8] 0.02
age -0.00
group[T.Patient]:age -0.00
dtype: float64
-0.148% of grey matter loss per year (almost -1.5% per decade)
grey matter loss in patients is accelerated by -0.232% per decade

5.3 Linear Mixed Models
Acknowledgements: Firstly, it’s right to pay thanks to the blogs and sources I have used in
writing this tutorial. Many parts of the text are quoted from the brillant book from Brady T.
West, Kathleen B. Welch and Andrzej T. Galecki, see [Brady et al. 2014] in the references section
below.
5.3.1 Introduction
Quoted from [Brady et al. 2014]:A linear mixed model (LMM) is a parametric linear model for
clustered, longitudinal, or repeated-measures data that quantifies the relationships between
a continuous dependent variable and various predictor variables. An LMM may include both
fixed-effect parameters associated with one or more continuous or categorical covariates and
random effects associated with one or more random factors. The mix of fixed and random
effects gives the linear mixed model its name. Whereas fixed-effect parameters describe the re-
lationships of the covariates to the dependent variable for an entire population, random effects
are specific to clusters or subjects within a population. LMM is closely related with hierarchical
linear model (HLM).
Clustered/structured datasets
Quoted from [Bruin 2006]: Random effects, are used when there is non independence in the
data, such as arises from a hierarchical structure with clustered data. For example, students
could be sampled from within classrooms, or patients from within doctors. When there are
multiple levels, such as patients seen by the same doctor, the variability in the outcome can be
thought of as being either within group or between group. Patient level observations are not
independent, as within a given doctor patients are more similar. Units sampled at the highest
level (in our example, doctors) are independent.
The continuous outcome variables is structured or clustered into units within observations
are not independents. Types of clustered data:
1. studies with clustered data, such as students in classrooms, or experimental designs with
random blocks, such as batches of raw material for an industrial process
2. longitudinal or repeated-measures studies, in which subjects are measured repeatedly
over time or under different conditions.
Mixed effects = fixed + random effects
Fixed effects may be associated with continuous covariates, such as weight, baseline test score,
or socioeconomic status, which take on values from a continuous (or sometimes a multivalued
ordinal) range, or with factors, such as gender or treatment group, which are categorical. Fixed
effects are unknown constant parameters associated with either continuous covariates or the
levels of categorical factors in an LMM. Estimation of these parameters in LMMs is generally of
intrinsic interest, because they indicate the relationships of the covariates with the continuous
outcome variable.
Example: Suppose we want to study the relationship between the height of individuals and their
gender. We will: sample individuals in a population (first source of randomness), measure their

height (second source of randomness), and consider their gender (fixed for a given individual).
Finally, these measures are modeled in the following linear model:
height𝑖 = 𝛽0 + 𝛽1 gender𝑖 + 𝜀𝑖
• height: is the quantitative dependant (outcome, prediction) variable,

• gender: is an independant factor. It is known for a given individual. It is assumed that is
has the same effect on all sampled individuals.
• 𝜀 is the noise. The sampling and measurement hazards are confounded at the individual
level in this random variable. It is a random effect at the individual level.
Random effect When the levels of a factor can be thought of as having been sampled from
a sample space, such that each particular level is not of intrinsic interest (e.g., classrooms or
clinics that are randomly sampled from a larger population of classrooms or clinics), the effects
associated with the levels of those factors can be modeled as random effects in an LMM. In
contrast to fixed effects, which are represented by constant parameters in an LMM, random
effects are represented by (unobserved) random variables, which are usually assumed to follow
a normal distribution.
Example: Suppose now that we want to study the same effect on a global scale but by ran-
domly sampling countries (𝑗) and then individuals (𝑖) in these countries. The model will be the
following:
height𝑖𝑗 = 𝛽0 + 𝛽1 gender𝑖𝑗 + 𝑢𝑗 country𝑖𝑗 + 𝜀𝑖𝑗
• country𝑖𝑗 = {1 if individual 𝑖 belongs to country 𝑗, 0 otherwise}, is an independant random

factor which has three important properties:
1. has been sampled (third source of randomness)
2. is not of interest
3. creates clusters of indivuduals within the same country whose heights is likely to be
correlated. 𝑢𝑗 will be the random effect associated to country 𝑗. It can be modeled as a
random country-specific shift in height, a.k.a. a random intercept.
5.3.2 Random intercept
The score_parentedu_byclass dataset measure a score obtained by 60 students, indexed by 𝑖,

within 3 classroom (with different teacher), indexed by 𝑗, given the education level edu of their
parents. We want to study the link between score and edu. Observations, score are strutured by
the sampling of classroom, see Fig below. score from the same classroom are are not indendant
from each other: they shifted upward or backward thanks to a classroom or teacher effect.
There is an intercept for each classroom. But this effect is not known given a student (unlike
the age or the sex), it is a consequence of a random sampling of the classrooms. It is called a
random intercept.
import numpy as np
import pandas as pd
5.3. Linear Mixed Models 195


from stat_lmm_utils import rmse_coef_tstat_pval

from stat_lmm_utils import plot_lm_diagnosis
from stat_lmm_utils import plot_ancova_oneslope_grpintercept
from stat_lmm_utils import plot_lmm_oneslope_randintercept
from stat_lmm_utils import plot_ancova_fullmodel
results = pd.DataFrame(columns=["Model", "RMSE", "Coef", "Stat", "Pval"])
df = pd.read_csv('datasets/score_parentedu_byclass.csv')
print(df.head())
_ = sns.scatterplot(x="edu", y="score", hue="classroom", data=df)
Global fixed effect
Global effect regresses the the independant variable 𝑦 = score on the dependant variable 𝑥 =
edu without considering the any classroom effect. For each individual 𝑖 the model is:
𝑦𝑖𝑗 = 𝛽0 + 𝛽1 𝑥𝑖𝑗 + 𝜀𝑖𝑗 ,
where, 𝛽0 is the global intercept, 𝛽1 is the slope associated with edu and 𝜀𝑖𝑗 is the random error
at the individual level. Note that the classeroom, 𝑗 index is not taken into account by the model
and could be removed from the equation.
The general R formula is: y ~ x which in this case is score ~ edu. This model is:
• Not sensitive since it does not model the classroom effect (high standard error).
• Wrong because, residuals are not normals, and it considers samples from the same class-
room to be indenpendant.
lm_glob = smf.ols('score ~ edu', df).fit()
#print(lm_glob.summary())
print(lm_glob.t_test('edu'))
print("MSE=%.3f" % lm_glob.mse_resid)
results.loc[len(results)] = ["LM-Global (biased)"] +\
list(rmse_coef_tstat_pval(mod=lm_glob, var='edu'))
Plot
_ = sns.lmplot(x="edu", y="score", data=df)
Model diagnosis: plot the normality of the residuals and residuals vs prediction.
plot_lm_diagnosis(residual=lm_glob.resid,
prediction=lm_glob.predict(df), group=df.classroom)

Model a classroom intercept as a fixed effect: ANCOVA
Remember ANCOVA = ANOVA with covariates. Model the classroom 𝑧 = classroom (as a fixed
effect), ie a vertical shift for each classroom. The slope is the same for all classrooms. For each
individual 𝑖 and each classroom 𝑗 the model is:
𝑦𝑖𝑗 = 𝛽0 + 𝛽1 𝑥𝑖𝑗 + 𝑢𝑗 𝑧𝑖𝑗 + 𝜀𝑖𝑗 ,
where, 𝑢𝑗 is the coefficient (an intercept, or a shift) associated with classroom 𝑗 and 𝑧𝑖𝑗 = 1 if
subject 𝑖 belongs to classroom 𝑗 else 𝑧𝑖𝑗 = 0.
The general R formula is: y ~ x + z which in this case is score ~ edu + classroom.
This model is:
• Sensitive since it does not model the classroom effect (lower standard error). But,
• questionable because it considers the classroom to have a fixed constant effect without
any uncertainty. However, those classrooms have been sampled from a larger samples of
classrooms within the country.
ancova_inter = smf.ols('score ~ edu + classroom', df).fit()

# print(sm.stats.anova_lm(ancova_inter, typ=3))
# print(ancova_inter.summary())
print(ancova_inter.t_test('edu'))
print("MSE=%.3f" % ancova_inter.mse_resid)
results.loc[len(results)] = ["ANCOVA-Inter (biased)"] +\
list(rmse_coef_tstat_pval(mod=ancova_inter, var='edu'))
Plot
plot_ancova_oneslope_grpintercept(x="edu", y="score",
group="classroom", model=ancova_inter, df=df)
Explore the model
mod = ancova_inter
print("## Design matrix (independant variables):")

print(mod.model.exog_names)
print(mod.model.exog[:10])
print("## Outcome (dependant variable):")

print(mod.model.endog_names)
print(mod.model.endog[:10])
print("## Fitted model:")

print(mod.params)
sse_ = np.sum(mod.resid ** 2)
df_ = mod.df_resid
mod.df_model
print("MSE %f" % (sse_ / df_), "or", mod.mse_resid)


print("## Statistics:")
print(mod.tvalues, mod.pvalues)
Normality of the residuals
plot_lm_diagnosis(residual=ancova_inter.resid,
prediction=ancova_inter.predict(df), group=df.classroom)
Fixed effect is the coeficient or parameter (𝛽1 in the model) that is associated with a continuous
covariates (age, education level, etc.) or (categorical) factor (sex, etc.) that is known without
uncertainty once a subject is sampled.
Random effect, in contrast, is the coeficient or parameter (𝑢𝑗 in the model below) that is as-
sociated with a continuous covariates or factor (classroom, individual, etc.) that is not known
without uncertainty once a subject is sampled. It generally conrespond to some random sam-
pling. Here the classroom effect depends on the teacher which has been sampled from a larger
samples of classrooms within the country. Measures are structured by units or a clustering
structure that is possibly hierarchical. Measures within units are not independant. Measures
between top level units are independant.
There are multiple ways to deal with structured data with random effect. One simple approach
is to aggregate.
Aggregation of data into independent units
Aggregation of measure at classroom level: average all values within classrooms to perform
statistical analysis between classroom. 1. Level 1 (within unit): Average by classrom:
𝑥𝑗 = mean𝑖 (𝑥𝑖𝑗 ), 𝑦𝑗 = mean𝑖 (𝑦𝑖𝑗 ), for 𝑗 ∈ {1, 2, 3}.
2. Level 2 (between independant units) Regress averaged score on a averaged edu:
𝑦 𝑗 = 𝛽 0 + 𝛽 1 𝑥 𝑗 + 𝜀𝑗
. The general R formula is: y ~ x which in this case is score ~ edu.

This model is:
• Correct because the aggregated data are independent.
• Not sensitive since all the within classroom association between edu and is lost. More-
over, at the aggregate level, there would only be three data points.
agregate = df.groupby('classroom').mean()
lm_agregate = smf.ols('score ~ edu', agregate).fit()
#print(lm_agregate.summary())
print(lm_agregate.t_test('edu'))
print("MSE=%.3f" % lm_agregate.mse_resid)
results.loc[len(results)] = ["Aggregation"] +\
list(rmse_coef_tstat_pval(mod=lm_agregate, var='edu'))
Plot

agregate = agregate.reset_index()
fig, axes = plt.subplots(1, 2, figsize=(9, 3), sharex=True, sharey=True)
sns.scatterplot(x='edu', y='score', hue='classroom',
data=df, ax=axes[0], s=20, legend=False)
data=agregate, ax=axes[0], s=150)
axes[0].set_title("Level 1: Average within classroom")
sns.regplot(x="edu", y="score", data=agregate, ax=axes[1])

data=agregate, ax=axes[1], s=150)
axes[1].set_title("Level 2: Test between classroom")
Hierarchical/multilevel modeling
Another approach to hierarchical data is analyzing data from one unit at a time. Thus, we
run three separate linear regressions - one for each classroom in the sample leading to three
estimated parameters of the score vs edu association. Then the paramteres are tested across
the classrooms:
1. Run three separate linear regressions - one for each classroom
𝑦𝑖𝑗 = 𝛽0𝑗 + 𝛽1𝑗 𝑥𝑖𝑗 + 𝜀𝑖𝑗 , for 𝑗 ∈ {1, 2, 3}
The general R formula is: y ~ x which in this case is score ~ edu within classrooms.
2. Test across the classrooms if is the mean𝑗 (𝛽1𝑗 ) = 𝛽0 ̸= 0 :
𝛽1𝑗 = 𝛽0 + 𝜀𝑗
The general R formula is: y ~ 1 which in this case is beta_edu ~ 1.

This model is:
• Correct because the invidividual estimated parameters are independent.
• sensitive since it allows to model differents slope for each classroom (see fixed interaction
or random slope below). But it is but not optimally designed since there are many
models, and each one does not take advantage of the information in data from other
classroom. This can also make the results “noisy” in that the estimates from each model
are not based on very much data
# Level 1 model within classes

x, y, group = 'edu', 'score', 'classroom'
lv1 = [[group_lab, smf.ols('%s ~ %s' % (y, x), group_df).fit().params[x]]

for group_lab, group_df in df.groupby(group)]
lv1 = pd.DataFrame(lv1, columns=[group, 'beta'])

print(lv1)
# Level 2 model test beta_edu != 0



lm_hm = smf.ols('beta ~ 1', lv1).fit()
print(lm_hm.t_test('Intercept'))
print("MSE=%.3f" % lm_hm.mse_resid)
results.loc[len(results)] = ["Hierarchical"] + \
list(rmse_coef_tstat_pval(mod=lm_hm, var='Intercept'))
Plot
fig, axes = plt.subplots(1, 2, figsize=(9, 6))

for group_lab, group_df in df.groupby(group):
sns.regplot(x=x, y=y, data=group_df, ax=axes[0])
axes[0].set_title("Level 1: Regressions within %s" % group)
_ = sns.barplot(x=group, y="beta", hue=group, data=lv1, ax=axes[1])

axes[1].axhline(0, ls='--')
axes[1].text(0, 0, "Null slope")
axes[1].set_ylim(-.1, 0.2)
_ = axes[1].set_title("Level 2: Test Slopes between classrooms")
Model the classroom random intercept: linear mixed model
Linear mixed models (also called multilevel models) can be thought of as a trade off between
these two alternatives. The individual regressions has many estimates and lots of data, but is
noisy. The aggregate is less noisy, but may lose important differences by averaging all samples
within each classroom. LMMs are somewhere in between.
Model the classroom 𝑧 = classroom (as a random effect). For each individual 𝑖 and each
classroom 𝑗 the model is:
𝑦𝑖𝑗 = 𝛽0 + 𝛽1 𝑥𝑖𝑗 + 𝑢𝑗 𝑧𝑖𝑗 + 𝜀𝑖𝑗 ,
where, 𝑢𝑗 is a random intercept following a normal distribution associated with classroom 𝑗.

The general R formula is: y ~ x + (1|z) which in this case it is score ~ edu + (1|classroom).
For python statmodels, the grouping factor |classroom is omited an provided as groups param-
eter.
lmm_inter = smf.mixedlm("score ~ edu", df, groups=df["classroom"],

re_formula="~1").fit()
# But since the default use a random intercept for each group, the following
# formula would have provide the same result:
# lmm_inter = smf.mixedlm("score ~ edu", df, groups=df["classroom"]).fit()
print(lmm_inter.summary())
results.loc[len(results)] = ["LMM-Inter"] + \
list(rmse_coef_tstat_pval(mod=lmm_inter, var='edu'))
Explore model

print("Fixed effect:")
print(lmm_inter.params)
print("Random effect:")
print(lmm_inter.random_effects)
intercept = lmm_inter.params['Intercept']
var = lmm_inter.params["Group Var"]
Plot
plot_lmm_oneslope_randintercept(x='edu', y='score',
group='classroom', df=df, model=lmm_inter)
5.3.3 Random slope
Now suppose that the classroom random effect is not just a vertical shift (random intercept)
but that some teachers “compensate” or “amplify” educational disparity. The slope of the linear
relation between score and edu for teachers that amplify will be larger. In the contrary, it will
be smaller for teachers that compensate.
Model the classroom intercept and slope as a fixed effect: ANCOVA with interactions
1. Model the global association between edu and score: 𝑦𝑖𝑗 = 𝛽0 + 𝛽1 𝑥𝑖𝑗 , in R: score ~ edu.
2. Model the classroom 𝑧𝑗 = classroom (as a fixed effect) as a vertical shift (intercept, 𝑢1𝑗 )
for each classroom 𝑗 indicated by 𝑧𝑖𝑗 : 𝑦𝑖𝑗 = 𝑢1𝑗 𝑧𝑖𝑗 , in R: score ~ classroom.
3. Model the classroom (as a fixed effect) specitic slope (𝑢𝛼𝑗 ): 𝑦𝑖 = 𝑢𝛼𝑗 𝑥𝑖 𝑧𝑗 score ~
edu:classroom. The 𝑥𝑖 𝑧𝑗 forms 3 new columns with values of 𝑥𝑖 for each edu level, ie.:
for 𝑧𝑗 classroom 1, 2 and 3.
4. Put everything together:
𝑦𝑖𝑗 = 𝛽0 + 𝛽1 𝑥𝑖𝑗 + 𝑢1𝑗 𝑧𝑖𝑗 + 𝑢𝛼𝑗 𝑧𝑖𝑗 𝑥𝑖𝑗 + 𝜀𝑖𝑗 ,
in R: score ~ edu + classroom edu:classroom or mor simply score ~ edu * classroom

that denotes the full model with the additive contribution of each regressor and all their
interactions.
ancova_full = smf.ols('score ~ edu + classroom + edu:classroom', df).fit()

# Full model (including interaction) can use this notation:
# ancova_full = smf.ols('score ~ edu * classroom', df).fit()
# print(sm.stats.anova_lm(lm_fx, typ=3))
# print(lm_fx.summary())
print(ancova_full.t_test('edu'))
print("MSE=%.3f" % ancova_full.mse_resid)
results.loc[len(results)] = ["ANCOVA-Full (biased)"] + \
list(rmse_coef_tstat_pval(mod=ancova_full, var='edu'))

The graphical representation of the model would be the same than the one provided for “Model
a classroom intercept as a fixed effect: ANCOVA”. The same slope (associated to edu) with
different interpcept, depicted as dashed black lines. Moreover we added, as solid lines, the
model’s prediction that account different slopes.
print("Model parameters:")
print(ancova_full.params)
plot_ancova_fullmodel(x='edu', y='score',
group='classroom', df=df, model=ancova_full)
Model the classroom random intercept and slope with LMM
The model looks similar to the ANCOVA with interactions:
𝑦𝑖𝑗 = 𝛽0 + 𝛽1 𝑥𝑖𝑗 + 𝑢1𝑗 𝑧𝑖𝑗 + 𝑢𝛼𝑗 𝑧𝑖𝑗 𝑥𝑖𝑗 + 𝜀𝑖𝑗 ,
but:
• 𝑢1𝑗 is a random intercept associated with classroom 𝑗 following the same normal distri-
bution for all classroom, 𝑢1𝑗 ∼ 𝒩 (0, 𝜎 1 ).
• 𝑢𝛼𝑗 is a random slope associated with classroom 𝑗 following the same normal distribution
for all classroom, 𝑢𝛼𝑗 ∼ 𝒩 (0, 𝜎 𝛼 ).
Note the difference with linear model: the variances parameters (𝜎 1 , 𝜎 𝛼 ) should be estimated
together with fixed effect (𝛽0 + 𝛽1 ) and random effect (𝑢1 , 𝑢𝛼𝑗 , one pair of random inter-
cept/slope per classroom). The R notation is: score ~ edu + (edu | classroom). or score ~
1 + edu + (1 + edu | classroom), remember that intercepts are implicit. In statmodels, the
notation is ~1+edu or ~edu since the groups is provided by the groups argument.
lmm_full = smf.mixedlm("score ~ edu", df, groups=df["classroom"],

re_formula="~1+edu").fit()
print(lmm_full.summary())
results.loc[len(results)] = ["LMM-Full (biased)"] + \
list(rmse_coef_tstat_pval(mod=lmm_full, var='edu'))
The warning results in a singular fit (correlation estimated at 1) caused by too little variance
among the random slopes. It indicates that we should considere to remove random slopes.
5.3.4 Conclusion on modeling random effects
print(results)
Random intercepts
1. LM-Global is wrong (consider residuals to be independent) and has a large error (RMSE,
Root Mean Square Error) since it does not adjust for classroom effect.
2. ANCOVA-Inter is “wrong” (consider residuals to be independent) but it has a small error
since it adjusts for classroom effect.

3. Aggregation is ok (units average are independent) but it looses a lot of degrees of freedom
(df = 2 = 3 classroom - 1 intercept) and a lot of informations.
4. Hierarchical model is ok (unit average are independent) and it has a reasonable error
(look at the statistic, not the RMSE).
5. LMM-Inter (with random intercept) is ok (it models residuals non-independence) and it
has a small error.
6. ANCOVA-Inter, Hierarchical model and LMM provide similar coefficients for the fixed ef-
fect. So if statistical significance is not the key issue, the “biased” ANCOVA is a reasonable
choice.
7. Hierarchical and LMM with random intercept are the best options (unbiased and sensi-
tive), with an advantage to LMM.
Random slopes
Modeling individual slopes in both ANCOVA-Full and LMM-Full decreased the statistics, sug-
gesting that the supplementary regressors (one per classroom) do not significantly improve the
fit of the model (see errors).
5.3.5 Theory of Linear Mixed Models
If we consider only 6 samples (𝑖 ∈ {1, 6}, two sample for each classroom 𝑗 ∈ {c0, c1, c2}) and
the random intercept model. Stacking the 6 observations, the equation 𝑦𝑖𝑗 = 𝛽0 + 𝛽1 𝑥𝑖𝑗 + 𝑢𝑗 𝑧𝑗 +
𝜀𝑖𝑗 gives :
score Inter Edu c1 c2 c3 Err

⎡ ⎤ ⎡ ⎤ ⎡ ⎤ ⎡ ⎤
⎢ 7.2 ⎥ ⎢ 1 2 ⎥ ⎢ 1 0 0 ⎥⎡ ⎤ ⎢ 𝜖1 ⎥
⎢ 1 0 0 ⎥ Rand
⎢ ⎥ ⎢ ⎥⎡ ⎤ ⎢ ⎥ ⎢ ⎥
⎥ Fix
⎢ 7.9 ⎥ ⎢ 1 10 ⎥ ⎥ ⎢ 𝑢1 ⎥ ⎢ 𝜖2 ⎥
⎢ ⎥
⎢ ⎥ ⎢ ⎢
⎢ 9.1 ⎥ = ⎢ 1 1 ⎥ 𝛽0 + ⎢ 0 1 0 ⎥ ⎣
⎥ ⎣ ⎦ ⎢ ⎥ ⎢ ⎥ + ⎢ 𝜖3 ⎥
⎢ ⎥ ⎢
⎢ 11.1 ⎥ ⎢ 1 𝑢2 ⎦ ⎢ ⎥
⎢ ⎥ ⎢ 9 ⎥ 𝛽1
⎥
⎢ 0 1 0 ⎥ 𝑢3
⎢ ⎥ ⎢ 𝜖4 ⎥
⎢ ⎥
⎣ 14.6 ⎦ ⎣ 1 8 ⎦ ⎣0 0 1⎦ ⎣ 𝜖5 ⎦
14.0 1 5 0 0 1 𝜖6
where u1 = 𝑢1 , 𝑢2 , 𝑢3 are the 3 parameters associated with the 3 level of the single random
factor classroom.
This can be re-written in a more general form as:
y = X𝛽 + Zu + 𝜀,
where: - y is the 𝑁 × 1 vector of the 𝑁 observations. - X is the 𝑁 × 𝑃 design matrix, which

represents the known values of the 𝑃 covariates for the 𝑁 observations. - 𝛽 is a 𝑃 × 1 vector
unknown regression coefficients (or fixed-effect parameters) associated with the 𝑃 covariates.
- 𝜀 is a 𝑁 × 1 vector of residuals 𝜖 ∼ 𝒩 (0, R), where R is a 𝑁 × 𝑁 matrix. - Z is a 𝑁 × 𝑄 design
matrix of random factors and covariates. In an LMM in which only the intercepts are assumed
to vary randomly from 𝑄 units, the Z matrix would simply be 𝑄 columns of indicators 1 (if
subject belong to unit q) or 0 otherwise. - u is a 𝑄 × 1 vector of 𝑄 random effects associated
with the 𝑄 covariates in the Z matrix. Note that one random factor of 3 levels will be coded
by 3 coefficients in u and 3 columns Z. u ∼ 𝒩 (0, D) where D is plays a central role of the
covariance structures associated with the mixed effect.
Covariance structures of the residuals covariance matrix: :math:`mathbf{R}`

Many different covariance structures are possible for the R matrix. The simplest covariance
matrix for R is the diagonal structure, in which the residuals associated with observations on
the same subject are assumed to be uncorrelated and to have equal variance: R = 𝜎I𝑁 . Note
that in this case, the correlation between observation within unit stem from mixed effects, and
will be encoded in the D below. However, other model exists: popular models are the compound
symmetry and first-order autoregressive structure, denoted by AR(1).
Covariance structures associated with the random effect
Many different covariance structures are possible for the D matrix. The usual prartice associate
a single variance parameter (a scalar, 𝜎𝑘 ) to each random-effects factor 𝑘 (eg. classroom).
Hence D is simply parametrized by a set of scalars 𝜎𝑘 , 𝑘 ∈ {1, 𝐾} for the 𝐾 random factors
such the sum of levels of the 𝐾 factors equals 𝑄. In our case 𝐾 = 1 with 3 levels (𝑄 = 3), thus
D = 𝜎𝑘 I𝑄 . Factors 𝑘 define 𝑘 variance components whose parameters 𝜎𝑘 should be estimated
addition to the variance of the model errors 𝜎. The 𝜎𝑘 and 𝜎 will define the overall covariance
structure: V, as define below.
In this model, the effect of a particular level (eg. classroom 0 c0) of a random factor is supposed
to be sampled from a normal distritution of variance 𝜎𝑘 . This is a crucial aspect of LMM which
is related to ℓ2 -regularization or Bayes Baussian prior. Indeed, the estimator of associated to
each level 𝑢𝑖 of a random effect is shrinked toward 0 since 𝑢𝑖 ∼ 𝒩 (0, 𝜎𝑘 ). Thus it tends to be
smaller than the estimated effects would be if they were computed by treating a random factor
as if it were fixed.
Overall covariance structure as variance components :math:`mathbf{V}`
The overall covariance structure can be obtained by:
∑︁
V= 𝜎𝑘 ZZ′ + R.
𝑘
The 𝑘 𝜎𝑘 ZZ′ define the 𝑁 × 𝑁 variance structure, using 𝑘 variance components, modeling the
∑︀
non-independance between the observations. In our case with only one component we get:
⎡ ⎤ ⎡ ⎤
𝜎𝑘 𝜎𝑘 0 0 0 0 𝜎 0 0 0 0 0
⎢𝜎𝑘 𝜎𝑘 0 0 0 0 ⎥ ⎢ 0 𝜎 0 0 0 0⎥
⎢ ⎥ ⎢ ⎥
⎢ 0 0 𝜎𝑘 𝜎𝑘 0 0 ⎥ ⎢ 0 0 𝜎 0 0 0⎥
V=⎢
⎢ 0 0 𝜎𝑘 𝜎𝑘 0 0 ⎥ + ⎢ 0
⎥ ⎢ ⎥
⎢ ⎥ ⎢ 0 0 𝜎 0 0⎥⎥
⎣ 0 0 0 0 𝜎𝑘 𝜎𝑘 ⎦ ⎣ 0 0 0 0 𝜎 0⎦
0 0 0 0 𝜎𝑘 𝜎𝑘 0 0 0 0 0 𝜎
⎡ ⎤
𝜎𝑘 + 𝜎 𝜎𝑘 0 0 0 0
⎢ 𝜎𝑘 𝜎𝑘 + 𝜎 0 0 0 0 ⎥
⎢ ⎥
⎢ 0 0 𝜎 𝑘 + 𝜎 𝜎 𝑘 0 0 ⎥
=⎢
⎢ 0
⎥
⎢ 0 𝜎 𝑘 𝜎 𝑘 + 𝜎 0 0 ⎥⎥
⎣ 0 0 0 0 𝜎𝑘 + 𝜎 𝜎𝑘 ⎦
0 0 0 0 𝜎𝑘 𝜎𝑘 + 𝜎
The model to be minimized

Here 𝜎𝑘 and 𝜎 are called variance components of the model. Solving the problem constist in
the estimation the fixed effect 𝛽 and the parameters 𝜎, 𝜎𝑘 of the variance-covariance structure.
This is obtained by minizing the The likelihood of the sample:
1 1
𝑙(y, 𝛽, 𝜎, 𝜎𝑘 ) = exp − (y − X𝛽)V−1 (y − X𝛽)
2𝜋 𝑛/2 det(V)1/2 2

LMM introduces the variance-covariance matrix V to reweigtht the residuals according to the
non-independance between observations. If V is known, of. The optimal value of be can be
obtained analytically using generalized least squares (GLS, minimisation of mean squared error
associated with Mahalanobis metric):
𝛽ˆ = X′ V
^ −1 X−1 X′ V
^ −1 y
In the general case, V is unknown, therefore iterative solvers should be use to estimate the fixed
effect 𝛽 and the parameters (𝜎, 𝜎𝑘 , . . .) of variance-covariance matrix V. The ML Maximum
Likelihood estimates provide biased solution for V because they do not take into account the
loss of degrees of freedom that results from estimating the fixed-effect parameters in 𝛽. For this
reason, REML (restricted (or residual, or reduced) maximum likelihood) is often preferred to
ML estimation.
Tests for Fixed-Effect Parameters
Quoted from [Brady et al. 2014]: “The approximate methods that apply to both t-tests and
F-tests take into account the presence of random effects and correlated residuals in an LMM.
Several of these approximate methods (e.g., the Satterthwaite method, or the “between-within”
method) involve different choices for the degrees of freedom used in” the approximate t-tests
and F-tests”.
5.3.6 Checking model assumptions (Diagnostics)
Residuals plotted against predicted values represents a random pattern or not.

These residual vs. fitted plots are used to verify model assumptions and to detect outliers and
potentially influential observations.
5.3.7 References
• Brady et al. 2014: Brady T. West, Kathleen B. Welch, Andrzej T. Galecki, Linear Mixed
Models: A Practical Guide Using Statistical Software (2nd Edition), 2014
• Bruin 2006: Introduction to Linear Mixed Models, UCLA, Statistical Consulting Group.
• Statsmodel: Linear Mixed Effects Models
• Comparing R lmer to statsmodels MixedLM
• Statsmoels: Variance Component Analysis with nested groups
5.4 Multivariate Statistics
Multivariate statistics includes all statistical techniques for analyzing samples made of two or
more variables. The data set (a 𝑁 × 𝑃 matrix X) is a collection of 𝑁 independent samples
column vectors [x1 , . . . , x𝑖 , . . . , x𝑁 ] of length 𝑃
⎡ 𝑇 ⎤ ⎡ ⎤ ⎡ ⎤
−x1 − 𝑥11 · · · 𝑥1𝑗 · · · 𝑥1𝑃 𝑥11 . . . 𝑥1𝑃
⎢ .. ⎥ ⎢ .. .. .. ⎥ ⎢ .. .. ⎥
⎢ . ⎥ ⎢ . . . ⎥⎥ ⎢ . . ⎥
⎢
⎢ 𝑇 ⎥ ⎢ ⎥
X = ⎢−x𝑖 −⎥ = ⎢ 𝑥𝑖1 · · · 𝑥𝑖𝑗 · · · 𝑥𝑖𝑃 ⎥ = ⎢
⎢ ⎥ ⎢ ⎥ ⎢ X ⎥ .
⎢ .. ⎥ ⎢ .. .. .. .. .. ⎥
⎥
⎥ ⎢
⎣ . ⎦ ⎣ . . . ⎦ ⎣ . . ⎦
𝑇
−x𝑃 − 𝑥𝑁 1 · · · 𝑥𝑁 𝑗 · · · 𝑥𝑁 𝑃 𝑥𝑁 1 . . . 𝑥𝑁 𝑃 𝑁 ×𝑃
5.4. Multivariate Statistics 205

5.4.1 Linear Algebra
Euclidean norm and distance
The Euclidean norm of a vector a ∈ R𝑃 is denoted

⎯
⎸ 𝑃
⎸∑︁
‖a‖2 = ⎷ 𝑎𝑖 2
𝑖
The Euclidean distance between two vectors a, b ∈ R𝑃 is

⎯
⎸ 𝑃
⎸∑︁
‖a − b‖2 = ⎷ (𝑎𝑖 − 𝑏𝑖 )2
𝑖
Dot product and projection
Source: Wikipedia
Algebraic definition
The dot product, denoted ’‘·” of two 𝑃 -dimensional vectors a = [𝑎1 , 𝑎2 , ..., 𝑎𝑃 ] and a =
[𝑏1 , 𝑏2 , ..., 𝑏𝑃 ] is defined as
⎡ ⎤
𝑏1
⎢ .. ⎥
]︀ ⎢ . ⎥
⎢ ⎥
∑︁
𝑇 𝑇
[︀
a·b=a b= 𝑎𝑖 𝑏𝑖 = 𝑎1 . . . a . . . 𝑎𝑃 ⎢ ⎢ b ⎥.
⎥
.⎥
𝑖
⎣ .. ⎦
⎢
𝑏𝑃
The Euclidean norm of a vector can be computed using the dot product, as
√
‖a‖2 = a · a.
Geometric definition: projection

In Euclidean space, a Euclidean vector is a geometrical object that possesses both a magnitude
and a direction. A vector can be pictured as an arrow. Its magnitude is its length, and its
direction is the direction that the arrow points. The magnitude of a vector a is denoted by ‖a‖2 .
The dot product of two Euclidean vectors a and b is defined by
a · b = ‖a‖2 ‖b‖2 cos 𝜃,
where 𝜃 is the angle between a and b.

In particular, if a and b are orthogonal, then the angle between them is 90° and
a · b = 0.
At the other extreme, if they are codirectional, then the angle between them is 0° and
a · b = ‖a‖2 ‖b‖2

This implies that the dot product of a vector a by itself is
a · a = ‖a‖22 .
The scalar projection (or scalar component) of a Euclidean vector a in the direction of a Eu-
clidean vector b is given by
𝑎𝑏 = ‖a‖2 cos 𝜃,
where 𝜃 is the angle between a and b.

In terms of the geometric definition of the dot product, this can be rewritten
a·b
𝑎𝑏 = ,
‖b‖2
Fig. 4: Projection
import numpy as np
import scipy
import pandas as pd
# Plot
from matplotlib import cm # color map
# Plot parameters
plt.rcParams['figure.figsize'] = (fig_w, fig_h * 1.)
#%matplotlib inline

import numpy as np
np.random.seed(42)
a = np.random.randn(10)
b = np.random.randn(10)
np.dot(a, b)
np.float64(-4.085788532659923)
5.4.2 Mean vector
The mean (𝑃 × 1) column-vector 𝜇 whose estimator is

⎡ ⎤ ⎡ ⎤
𝑥𝑖1 𝑥
¯1
⎢ .. ⎥ ⎢ .. ⎥
𝑁 ⎢ . ⎥
𝑁
⎥ ⎢ . ⎥
⎢ ⎥
1 ∑︁ 1 ∑︁ ⎢⎢ 𝑥𝑖𝑗 ⎥ = ⎢ 𝑥
x̄ = xi = ⎢ ⎥ ⎢ ¯𝑗 ⎥ .
⎥
𝑁 𝑁 . .
𝑖=1 𝑖=1
⎣ .. ⎦ ⎣ .. ⎦
⎢ ⎥ ⎢ ⎥
𝑥𝑖𝑃 𝑥¯𝑃
5.4.3 Covariance matrix
• The covariance matrix ΣXX is a symmetric positive semi-definite matrix whose element
in the 𝑗, 𝑘 position is the covariance between the 𝑗 𝑡ℎ and 𝑘 𝑡ℎ elements of a random vector
i.e. the 𝑗 𝑡ℎ and 𝑘 𝑡ℎ columns of X.
• The covariance matrix generalizes the notion of covariance to multiple dimensions.
• The covariance matrix describe the shape of the sample distribution around the mean
assuming an elliptical distribution:
ΣXX = 𝐸(X − 𝐸(X))𝑇 𝐸(X − 𝐸(X)),

whose estimator SXX is a 𝑃 × 𝑃 matrix given by
1
SXX = (X − 1x̄𝑇 )𝑇 (X − 1x̄𝑇 ).
𝑁 −1
If we assume that X is centered, i.e. X is replaced by X − 1x̄𝑇 then the estimator is
⎡ ⎤ ⎡ ⎤
𝑥11 · · · 𝑥𝑁 1 ⎡ ⎤ 𝑠1 . . . 𝑠1𝑘 𝑠1𝑃
⎥ 𝑥11 · · · 𝑥1𝑘 𝑥1𝑃 .. .. ⎥
1 1 ⎢ ⎢ 𝑥1𝑗 · · · 𝑥𝑁 𝑗 ⎥ ⎢ .. .. .. ⎥ = ⎢ . 𝑠𝑗𝑘
⎢
SXX = 𝑇
X X= ⎢ .. . ⎥
⎥,
.. ⎥ ⎣ . . .
𝑁 −1 𝑁 −1⎣ .
⎦ ⎢
. ⎦ ⎣ 𝑠𝑘 𝑠𝑘𝑃 ⎦
𝑥𝑁 1 · · · 𝑥𝑁 𝑘 𝑥𝑁 𝑃
𝑥1𝑃 · · · 𝑥𝑁 𝑃 𝑠𝑃
where
𝑁
1 1 ∑︁
𝑠𝑗𝑘 = 𝑠𝑘𝑗 = xj 𝑇 x k = 𝑥𝑖𝑗 𝑥𝑖𝑘
𝑁 −1 𝑁 −1
𝑖=1
is an estimator of the covariance between the 𝑗 𝑡ℎ and 𝑘 𝑡ℎ variables.

np.random.seed(42)
colors = sns.color_palette()
mean, Cov, X = [None] * 4, [None] * 4, [None] * 4

mean[0] = np.array([-2.5, 2.5])
Cov[0] = np.array([[1, 0],
[0, 1]])
mean[1] = np.array([2.5, 2.5])

Cov[1] = np.array([[1, .5],
[.5, 1]])
mean[2] = np.array([-2.5, -2.5])

Cov[2] = np.array([[1, .9],
[.9, 1]])
mean[3] = np.array([2.5, -2.5])

Cov[3] = np.array([[1, -.9],
[-.9, 1]])
# Generate dataset
for i in range(len(mean)):
X[i] = np.random.multivariate_normal(mean[i], Cov[i], n_samples)
# Plot
for i in range(len(mean)):
# Points
plt.scatter(X[i][:, 0], X[i][:, 1], color=colors[i], label="class %i" % i)
# Means
plt.scatter(mean[i][0], mean[i][1], marker="o", s=200, facecolors='w',
edgecolors=colors[i], linewidth=2)
# Ellipses representing the covariance matrices
pystatsml.plot_utils.plot_cov_ellipse(Cov[i], pos=mean[i], facecolor='none',
linewidth=2, edgecolor=colors[i])
plt.axis('equal')
_ = plt.legend(loc='upper left')

5.4.4 Correlation matrix
url = 'https://raw.githubusercontent.com/plotly/datasets/master/mtcars.csv'
df = pd.read_csv(url)
df = df.drop('manufacturer', axis=1)
# Compute the correlation matrix

corr = df.corr()
# Generate a mask for the upper triangle

mask = np.zeros_like(corr, dtype=np.bool)
mask[np.triu_indices_from(mask)] = True
f, ax = plt.subplots(figsize=(5.5, 4.5))
cmap = sns.color_palette("RdBu_r", 11)
# Draw the heatmap with the mask and correct aspect ratio
_ = sns.heatmap(corr, mask=None, cmap=cmap, vmax=1, center=0,
square=True, linewidths=.5, cbar_kws={"shrink": .5})

Re-order correlation matrix using AgglomerativeClustering
# convert correlation to distances

d = 2 * (1 - np.abs(corr))
from sklearn.cluster import AgglomerativeClustering

clustering = AgglomerativeClustering(n_clusters=3, linkage='single', metric=
˓→"precomputed").fit(d)
lab=0
clusters = [list(corr.columns[clustering.labels_==lab]) for lab in set(clustering.

˓→labels_)]
print(clusters)
reordered = np.concatenate(clusters)
R = corr.loc[reordered, reordered]
f, ax = plt.subplots(figsize=(5.5, 4.5))
# Draw the heatmap with the mask and correct aspect ratio
_ = sns.heatmap(R, mask=None, cmap=cmap, vmax=1, center=0,
square=True, linewidths=.5, cbar_kws={"shrink": .5})
[['mpg', 'cyl', 'disp', 'hp', 'wt', 'qsec', 'vs', 'carb'], ['am', 'gear'], ['drat
˓→']]

5.4.5 Precision matrix
In statistics, precision is the reciprocal of the variance, and the precision matrix is the matrix
inverse of the covariance matrix.
It is related to partial correlations that measures the degree of association between two vari-
ables, while controlling the effect of other variables.
import numpy as np
Cov = np.array([[1.0, 0.9, 0.9, 0.0, 0.0, 0.0],

[0.9, 1.0, 0.9, 0.0, 0.0, 0.0],
[0.9, 0.9, 1.0, 0.0, 0.0, 0.0],
[0.0, 0.0, 0.0, 1.0, 0.9, 0.0],
[0.0, 0.0, 0.0, 0.9, 1.0, 0.0],
[0.0, 0.0, 0.0, 0.0, 0.0, 1.0]])
print("# Precision matrix:")

Prec = np.linalg.inv(Cov)
print(Prec.round(2))
print("# Partial correlations:")

Pcor = np.zeros(Prec.shape)
Pcor[::] = np.nan
for i, j in zip(*np.triu_indices_from(Prec, 1)):

Pcor[i, j] = - Prec[i, j] / np.sqrt(Prec[i, i] * Prec[j, j])
print(Pcor.round(2))

# Precision matrix:
[[ 6.79 -3.21 -3.21 0. 0. 0. ]
[-3.21 6.79 -3.21 0. 0. 0. ]
[-3.21 -3.21 6.79 0. 0. 0. ]
[ 0. 0. 0. 5.26 -4.74 0. ]
[ 0. 0. 0. -4.74 5.26 0. ]
[ 0. 0. 0. 0. 0. 1. ]]
# Partial correlations:
[[ nan 0.47 0.47 -0. -0. -0. ]
[ nan nan 0.47 -0. -0. -0. ]
[ nan nan nan -0. -0. -0. ]
[ nan nan nan nan 0.9 -0. ]
[ nan nan nan nan nan -0. ]
[ nan nan nan nan nan nan]]
5.4.6 Mahalanobis distance
• The Mahalanobis distance is a measure of the distance between two points x and 𝜇 where
the dispersion (i.e. the covariance structure) of the samples is taken into account.
• The dispersion is considered through covariance matrix.
This is formally expressed as
√︁
𝐷𝑀 (x, 𝜇) = (x − 𝜇)𝑇 Σ−1 (x − 𝜇).
Intuitions
• Distances along the principal directions of dispersion are contracted since they correspond
to likely dispersion of points.
• Distances othogonal to the principal directions of dispersion are dilated since they corre-
spond to unlikely dispersion of points.
For example
√
𝐷𝑀 (1) = 1𝑇 Σ−1 1.
ones = np.ones(Cov.shape[0])
d_euc = np.sqrt(np.dot(ones, ones))
d_mah = np.sqrt(np.dot(np.dot(ones, Prec), ones))
print("Euclidean norm of ones=%.2f. Mahalanobis norm of ones=%.2f" % (d_euc, d_

˓→mah))
Euclidean norm of ones=2.45. Mahalanobis norm of ones=1.77
The first dot product that distances along the principal directions of dispersion are contracted:
print(np.dot(ones, Prec))

[0.35714286 0.35714286 0.35714286 0.52631579 0.52631579 1. ]
import numpy as np
import scipy
%matplotlib inline
np.random.seed(40)
mean = np.array([0, 0])

Cov = np.array([[1, .8],
[.8, 1]])
samples = np.random.multivariate_normal(mean, Cov, 100)
x1 = np.array([0, 2])
x2 = np.array([2, 2])
plt.scatter(samples[:, 0], samples[:, 1], color=colors[0])

plt.scatter(mean[0], mean[1], color=colors[0], s=200, label="mean")
plt.scatter(x1[0], x1[1], color=colors[1], s=200, label="x1")
plt.scatter(x2[0], x2[1], color=colors[2], s=200, label="x2")
# plot covariance ellipsis

pystatsml.plot_utils.plot_cov_ellipse(Cov, pos=mean, facecolor='none',
linewidth=2, edgecolor=colors[0])
# Compute distances
d2_m_x1 = scipy.spatial.distance.euclidean(mean, x1)
d2_m_x2 = scipy.spatial.distance.euclidean(mean, x2)
Covi = scipy.linalg.inv(Cov)
dm_m_x1 = scipy.spatial.distance.mahalanobis(mean, x1, Covi)
dm_m_x2 = scipy.spatial.distance.mahalanobis(mean, x2, Covi)
# Plot distances
vm_x1 = (x1 - mean) / d2_m_x1
vm_x2 = (x2 - mean) / d2_m_x2
jitter = .1
plt.plot([mean[0] - jitter, d2_m_x1 * vm_x1[0] - jitter],
[mean[1], d2_m_x1 * vm_x1[1]], color='k')
plt.plot([mean[0] - jitter, d2_m_x2 * vm_x2[0] - jitter],
[mean[1], d2_m_x2 * vm_x2[1]], color='k')
plt.plot([mean[0] + jitter, dm_m_x1 * vm_x1[0] + jitter],

[mean[1], dm_m_x1 * vm_x1[1]], color='r')
plt.plot([mean[0] + jitter, dm_m_x2 * vm_x2[0] + jitter],
[mean[1], dm_m_x2 * vm_x2[1]], color='r')
plt.legend(loc='lower right')
plt.text(-6.1, 3,


'Euclidian: d(m, x1) = %.1f<d(m, x2) = %.1f' % (d2_m_x1, d2_m_x2),␣
˓→color='k')
plt.text(-6.1, 3.5,
'Mahalanobis: d(m, x1) = %.1f>d(m, x2) = %.1f' % (dm_m_x1, dm_m_x2),␣
˓→color='r')
plt.axis('equal')
print('Euclidian d(m, x1) = %.2f < d(m, x2) = %.2f' % (d2_m_x1, d2_m_x2))
print('Mahalanobis d(m, x1) = %.2f > d(m, x2) = %.2f' % (dm_m_x1, dm_m_x2))
Euclidian d(m, x1) = 2.00 < d(m, x2) = 2.83

Mahalanobis d(m, x1) = 3.33 > d(m, x2) = 2.11
If the covariance matrix is the identity matrix, the Mahalanobis distance reduces to the Eu-
clidean distance. If the covariance matrix is diagonal, then the resulting distance measure is
called a normalized Euclidean distance.
More generally, the Mahalanobis distance is a measure of the distance between a point x and a
distribution 𝒩 (x|𝜇, Σ). It is a multi-dimensional generalization of the idea of measuring how
many standard deviations away x is from the mean. This distance is zero if x is at the mean,
and grows as x moves away from the mean: along each principal component axis, it measures
the number of standard deviations from x to the mean of the distribution.

5.4.7 Multivariate normal distribution
The distribution, or probability density function (PDF) (sometimes just density), of a continuous
random variable is a function that describes the relative likelihood for this random variable to
take on a given value.
The multivariate normal distribution, or multivariate Gaussian distribution, of a 𝑃 -dimensional
random vector x = [𝑥1 , 𝑥2 , . . . , 𝑥𝑃 ]𝑇 is
1 1
𝒩 (x|𝜇, Σ) = exp{− (x − 𝜇)𝑇 Σ−1 (x − 𝜇)}.
(2𝜋)𝑃/2 |Σ|1/2 2
import numpy as np
import scipy.stats
from scipy.stats import multivariate_normal
#from mpl_toolkits.mplot3d import Axes3D
def multivariate_normal_pdf(X, mean, sigma):

"""Multivariate normal probability density function over X (n_samples x n_
˓→features)"""
P = X.shape[1]
det = np.linalg.det(sigma)
norm_const = 1.0 / (((2*np.pi) ** (P/2)) * np.sqrt(det))
X_mu = X - mu
inv = np.linalg.inv(sigma)
d2 = np.sum(np.dot(X_mu, inv) * X_mu, axis=1)
return norm_const * np.exp(-0.5 * d2)
# mean and covariance

mu = np.array([0, 0])
sigma = np.array([[1, -.5],
[-.5, 1]])
# x, y grid
x, y = np.mgrid[-3:3:.1, -3:3:.1]
X = np.stack((x.ravel(), y.ravel())).T
norm = multivariate_normal_pdf(X, mean, sigma).reshape(x.shape)
# Do it with scipy
norm_scpy = multivariate_normal(mu, sigma).pdf(np.stack((x, y), axis=2))
assert np.allclose(norm, norm_scpy)
# Plot
surf = ax.plot_surface(x, y, norm, rstride=3,
cstride=3, cmap=plt.cm.coolwarm,
linewidth=1, antialiased=False
)


ax.set_zlim(0, 0.2)
ax.zaxis.set_major_locator(plt.LinearLocator(10))
ax.zaxis.set_major_formatter(plt.FormatStrFormatter('%.02f'))
ax.set_xlabel('X')
ax.set_ylabel('Y')
ax.set_zlabel('p(x)')
plt.title('Bivariate Normal/Gaussian distribution')

fig.colorbar(surf, shrink=0.5, aspect=7, cmap=plt.cm.coolwarm)
plt.show()
5.4.8 Exercises
Dot product and Euclidean norm
Given a = [2, 1]𝑇 and b = [1, 1]𝑇

1. Write a function euclidean(x) that computes the Euclidean norm of vector, x.
2. Compute the Euclidean norm of a.
3. Compute the Euclidean distance of ‖a − b‖2 .
4. Compute the projection of b in the direction of vector a: 𝑏𝑎 .
5. Simulate a dataset X of 𝑁 = 100 samples of 2-dimensional vectors.
6. Project all samples in the direction of the vector a.

Covariance matrix and Mahalanobis norm
1. Sample a dataset X of 𝑁 = 100 samples of 2-dimensional [︂ vectors

]︂ from the bivariate
1 0.8
normal distribution 𝒩 (𝜇, Σ) where 𝜇 = [1, 1]𝑇 and Σ = .
0.8, 1
2. Compute the mean vector x̄ and center X. Compare the estimated mean x̄ to the true
mean, 𝜇.
3. Compute the empirical covariance matrix S. Compare the estimated covariance matrix S
to the true covariance matrix, Σ.
4. Compute S−1 (Sinv) the inverse of the covariance matrix by using scipy.linalg.inv(S).
5. Write a function mahalanobis(x, xbar, Sinv) that computes the Mahalanobis distance
of a vector x to the mean, x̄.
6. Compute the Mahalanobis and Euclidean distances of each sample x𝑖 to the mean x̄. Store
the results in a 100 × 2 dataframe.
5.5 Resampling and Monte Carlo Methods
Sources:
• Scipy Resampling and Monte Carlo Methods
# Manipulate data
import numpy as np
import pandas as pd
# Statistics
import scipy.stats
#import statsmodels.stats.api as sms
from statsmodels.stats.stattools import jarque_bera
# Plot
# Plot parameters
%matplotlib inline

5.5.1 Monte-Carlo simulation of Random Walk Process
One-dimensional random walk (Brownian motion)
More information: Random Walks, Central Limit Theorem

At each step 𝑖 the process moves with +1 or -1 with equal probability, ie, 𝑋𝑖 ∈ {+1, −1} with
𝑃 (𝑋𝑖 = +1) = 𝑃 (𝑋𝑖 = −1) = 1/2. Steps 𝑋𝑖 ’s are i.i.d..
Let 𝑆𝑛 = 𝑛𝑖 𝑋𝑖 , or 𝑆𝑖 (at time 𝑖) is 𝑆𝑖 = 𝑆𝑖−1 + 𝑋𝑖
∑︀
Realizations of random walks obtained by Monte Carlo simulation Plot Few random walks (tra-
jectories), ie, 𝑆𝑛 for 𝑛 = 0 to 200
n = 200 # trajectory depth

nsamp = 50000 #nb of trajectories
# X: each row (axis 0) contains one trajectory axis 1

#Xn = np.array([np.random.choice(a=[-1, +1], size=n,
# replace=True, p=np.ones(2) / 2)
# for i in range(nsamp)])
Xn = np.array([np.random.choice(a=np.array([-1, +1]), size=n,

replace=True, p=np.ones(2)/2)
for i in range(nsamp)])
# Sum of random walks (trajectories)

Sn = Xn.sum(axis=1)
print("True Stat. Mean={:.03f}, Sd={:.02f}".\

format(0, np.sqrt(n) * 1))
print("Est. Stat. Mean={:.03f}, Sd={:.02f}".\

format(Sn.mean(), Sn.std()))
True Stat. Mean=0.000, Sd=14.14

Est. Stat. Mean=0.010, Sd=14.09
Plot cumulative sum of 100 random walks (trajectories)
Sn_traj = Xn[:100, :].cumsum(axis=1)

_ = pd.DataFrame(Sn_traj.T).plot(legend=False)
5.5. Resampling and Monte Carlo Methods 219

√︀
Distribution of 𝑆𝑛 vs 𝒩 (0, (𝑛))
x_low, x_high = Sn.mean()-3*Sn.std(), Sn.mean()+3*Sn.std()

h_ = plt.hist(Sn, range=(x_low, x_high), density=True, bins=43, fill=False,
label="Histogram")
x_range = np.linspace(x_low, x_high, 30)

prob_x_range = scipy.stats.norm.pdf(x_range, loc=Sn.mean(), scale=Sn.std())
plt.plot(x_range, prob_x_range, 'r-', label="PDF: P(X)")
_ = plt.legend()
#print(h_)
5.5.2 Permutation Tests
Permutation test:
• The test involves two or more samples assuming that values can be randomly permuted
under the null hypothesis.
• The test is Resampling procedure to estimate the distribution of a parameter or any
statistic under the null hypothesis, i.e., calculated on the permuted data. This parameter
or any statistic is called the estimator.
• Statistical inference is conducted by computing the proportion of permuted values of
the estimator that are “more extreme” than the true one, providing an estimation of the
p-value.

• Permutation tests are a subset of non-parametric statistics, useful when the distribution of
the estimator (under H0) is unknown or requires complicated formulas.
Permutation test procedure
Fig. 5: Bootstrapping procedure
1. Estimate the observed parameter or statistic 𝜃ˆ = 𝑆(𝑋) on the initial dataset 𝑋 of size 𝑁 .
We call it the observed statistic.
2. Generate 𝑅 samples (called randomized samples) [𝑋1 , . . . 𝑋𝑟 , . . . 𝑋𝑅 ] from the initial
dataset by permutation of the values between the two samples.
3. Distribution of the estimator under HO: For each random sample 𝑟, compute the estimator
𝜃ˆ𝑟 = 𝑆(𝑋𝑟 ). The set of {𝜃ˆ𝑟 } provides an estimate the distribution of 𝑃 (𝜃|𝐻0) (under the
null hypothesis).
4. Compute statistics of the estimator under the null hypothesis using randomized estimates
𝜃ˆ𝑟 ’s:
• Mean (under 𝐻0):
𝑅
1 ∑︁ ˆ
𝜃¯𝑅 = 𝜃𝑟
𝑟
𝑟=1
ˆ 𝜃 (under 𝐻0):
• Standard Error 𝑆𝐸 𝑅
⎯
⎸ 𝐾
⎸ 1 ∑︁ ¯
ˆ 𝜃
𝑆𝐸 𝑅
=⎷ (𝜃𝑅 − 𝜃ˆ𝑟 )2
𝑅−1
𝑟=1
• Compute p-value using the distribution (under 𝐻0):

– One-sided p-value:
ˆ card(𝜃ˆ𝑟 ≥ 𝜃)
ˆ
𝑃 (𝜃 ≥ 𝜃|𝐻0) ≈
𝑅
– Two-sided p-value:
card(𝜃ˆ𝑟 ≤ 𝜃)
ˆ + card(𝜃ˆ𝑟 ≥ 𝜃)
ˆ
𝑃 (𝜃 ≤ 𝜃ˆ or 𝜃 ≥ 𝜃|𝐻0)
ˆ ≈
𝑅

def randomize(x, estimator, n_perms=1000):

"""_summary_
Parameters
----------
x : array
the datasets
estimator : callable
the estimator function taking x as argument returning the estimator value
(scalar)
n_perms : int, optional
the number of permutation, by default 1000
Return
------
Observed estimate
Mean of randomized estimates
Standard Error of randomized estimates
Two-sided p-value
Randomized distribution estimates (density_values, bins)
"""
# 1. Estimate the observed parameter or statistic

theta = estimator(x)
# 2. Permuted samples
# Randomly pick the sign with the function:
# np.random.choice([-1, 1], size=len(x), replace=True)
x_R = [np.random.choice([-1, 1], size=len(x), replace=True) * x

for boot_i in range(n_perms)]
# 3. Distribution of the parameter or statistic under H0
thetas_R = np.array([estimator(x_r) for x_r in x_R])

theta_density_R, bins = np.histogram(thetas_R, bins=50, density=True)
dx = np.diff(bins)
# 4. Randomized Statistics
# Mean of randomized estimates

theta_mean_R = np.mean(thetas_R)
# Standard Error of randomized estimates

theta_se_R = np.sqrt(1 / (n_perms - 1) *
np.sum((theta_mean_R - thetas_R) ** 2))
# 4. Compute two-sided p-value using the distribution under H0:
extream_vals = (thetas_R <= -np.abs(theta)) | (thetas_R >= np.abs(theta))



pval = np.sum(extream_vals) / n_perms
# We could use:
# (np.sum(thetas_R <= -np.abs(theta)) + \
# np.sum(thetas_R >= np.abs(theta))) / n_perms
return theta, theta_mean_R, theta_se_R, pval, (theta_density_R, bins)
Example, we load the monthly revenue figures of for 100 stores before and after a market-
ing campaigns. We compute the difference (𝑥𝑖 = 𝑥after 𝑖 − 𝑥before
𝑖 ) for each store 𝑖. Under the
after
null hypothesis, i.e., no effect of the campaigns, 𝑥𝑖 and 𝑥before could be permuted, which
𝑖
is equivalent to ∑︀
randomly switch the sign of 𝑥𝑖 . Here we will focus on the sample mean
𝜃ˆ = 𝑆(𝑋) = 1/𝑛 𝑖 𝑥𝑖 as statistic of interest.
df = pd.read_csv("../datasets/Monthly Revenue (in thousands).csv")

# Reshape Keep only the 30 first samples
df = df.pivot(index='store_id', columns='time', values='revenue')[:30]
df.after -= 3 # force to smaller effect size
plt.hist(x, fill=False)
plt.axvline(x=0, color="b", label=r'No effect: 0')
plt.axvline(x=x.mean(), color="r", ls='-', label=r'$\bar{x}=%.2f$' % x.mean())
plt.legend()
_ = plt.title(r'Distribution of the sales changes $x_i = x_i^\text{after} - \
x_i^\text{before}$')
np.random.seed(15) # set the seed for reproducible results
theta, theta_mean_R, theta_se_R, pval, (theta_density_R, bins) = \

randomize(x=x, estimator=np.mean, n_perms=10000)
print("Estimate: {:.2f}, Mean(Estimate|HO): {:.4f}, p-val: {:e}, SE: {:.3f}".\

format(theta, theta_mean_R, pval, theta_se_R))

Estimate: 2.26, Mean(Estimate|HO): -0.0103, p-val: 2.430000e-02, SE: 1.018
Plot
pystatsml.plot_utils.plot_pvalue_under_h0(stat_vals=bins[1:], stat_probs=theta_
˓→density_R,
stat_obs=theta, stat_h0=0, bar_width=np.diff(bins),

thresh_low=-np.abs(theta), thresh_high=np.abs(theta))
_ = plt.title(r'Randomized distribution of the estimator $\hat{\theta}_b$ (sample␣
˓→mean)')
Similar procedure can be conducted with many statistic e.g., the t-statistic (same results):
def ttstat(x):
return (np.mean(x) - 0) / np.std(x, ddof=1) * np.sqrt(len(x))

randomize(x=x, estimator=ttstat, n_perms=10000)

Or the median:

randomize(x=x, estimator=np.median, n_perms=10000)


5.5.3 Bootstrapping
Bootstrapping:
• Resampling procedure to estimate the distribution of a statistic or parameter of interest,
called the estimator.
• Derive estimates of variability for estimator (bias, standard error, confidence intervals,
etc.).
• Statistical inference is conducted by looking the confidence interval (CI) contains the
null hypothesis.
• Nonparametric approach statistical inference, useful when model assumptions is in doubt,
unknown or requires complicated formulas.
• Bootstrapping with replacement has favorable performances (Efron 1979, and 1986)
compared to prior methods like the jackknife that sample without replacement
• Regularize models by fitting several models on bootstrap samples and averaging their
predictions (see Baging and random-forest). See machine learning chapter.
Note that compared to random permutation, bootstrapping sample the distribution under the
alternative hypothesis, it doesn’t consider the distribution under the null hypothesis. A great
advantage of bootstrap is its simplicity of the procedure:
Fig. 6: Bootstrapping procedure
1. Compute the estimator 𝜃ˆ = 𝑆(𝑋) on the initial dataset 𝑋 of size 𝑁 .

2. Generate 𝐵 samples (called bootstrap samples) [𝑋1 , . . . 𝑋𝑏 , . . . 𝑋𝐵 ] from the initial dataset
by randomly drawing with replacement 𝑁 observations.
3. For each sample 𝑏 compute the estimator 𝜃ˆ𝑏 = 𝑆(𝑋𝑏 ), which provides the bootstrap distri-
bution 𝑃𝜃𝐵 of the estimator.
4. Compute statistics of the estimator on bootstrap estimates 𝜃ˆ𝑏 ’s:
• Bootstrap estimate (of the parameters):
𝐵
1 ∑︁ ˆ
𝜃¯𝐵 = 𝜃𝑏
𝐵
𝑏=1

• Bias = bootstrap estimate - estimate:
ˆ𝑏𝜃 = 𝜃¯𝐵 − 𝜃ˆ
𝐵
• Standard error 𝑆ˆ𝜃𝐵 :

⎯
⎸ 𝐵
⎸ 1 ∑︁ ¯
𝑆ˆ𝜃𝐵 =⎷ (𝜃𝐵 − 𝜃ˆ𝑏 )2
𝐵−1
𝑏=1
• Confidence interval using the estimated bootstrapped distribution of the estimator:
𝐶𝐼95% = [𝜃ˆ1 = 𝑄(2.5%), 𝜃ˆ2 = 𝑄(97.5%)] i.e., the 2.5%, 97.5% quantiles estimators out of the 𝜃ˆ𝑏′ 𝑠
Application using the monthly revenue of 100 stores before and after a marketing campaigns,
using the difference (𝑥𝑖 = 𝑥after −𝑥before
∑︀
𝑖 𝑖 ) for each store 𝑖. If the average difference 𝑥
¯ = 1/𝑛 𝑖 𝑥𝑖
is positive (resp. negative), then the marketing campaigns will be considered as efficient (resp.
detrimental). We will use bootstrapping to compute the confidence interval (CI) and see if 0 in
comprised in the CI.
S = np.mean
# 1. Model parameters
theta_hat = S(x)

B = 1000 # Number of bootstrap
# 2. Bootstrapped samples
x_B = [np.random.choice(x, size=len(x), replace=True) for boot_i in range(B)]
# 3. Bootstrap estimates and distribution
theta_hats_B = np.array([S(x_b) for x_b in x_B])

theta_density_B, bins = np.histogram(theta_hats_B, bins=50, density=True)
dx = np.diff(bins)
# 4. Bootstrap Statistics
# Bootstrap estimate
theta_bar_B = np.mean(theta_hats_B)
# Bias = bootstrap estimate - estimate

bias_hat_B = theta_bar_B - theta_hat
# Standard Error
se_hat_B = np.sqrt(1 / (B - 1) * np.sum((theta_bar_B - theta_hats_B) ** 2))


# Confidence interval using the estimated bootstrapped distribution of estimator
ci95 = np.quantile(a=theta_hats_B, q=[0.025, 0.975])
print(
"Est.: {:.2f}, Boot Est.: {:.2f}, bias: {:e},\
Boot SE: {:.2f}, CI: [{:.5f}, {:.5f}]"\
.format(theta_hat, theta_bar_B, bias_hat_B, se_hat_B, ci95[0], ci95[1]))
Est.: 2.26, Boot Est.: 2.19, bias: -7.201946e-02, Boot SE: 0.95, CI: [0.45256,
˓→ 4.08465]
¯ is positive. Thus we can conclude the marketing

Conclusion: Zero is outside the CI, moreover 𝑋
campaign produced a significant increase of the sales.
Plot
plt.bar(bins[1:], theta_density_B, width=dx, fill=False, label=r'$P_{\theta_B}$')

plt.axvline(x=theta_hat, color='r', ls='--', lw=2, label=r'$\hat{\theta}$ (Obs.␣
˓→Stat.)')
plt.axvline(x=theta_bar_B, color="b", ls='-', label=r'$\bar{\theta}_B$')

plt.axvline(x=ci95[0], color="b", ls='--', label=r'$CI_{95\%}$')
plt.axvline(x=ci95[1], color="b", ls='--')
plt.axvline(x=0, color="k", lw=2, label=r'No effect: 0')
plt.legend()
_ = plt.title(r'Bootstrap distribution of the estimator $\hat{\theta}_b$ (sample␣
˓→mean)')


CHAPTER
SIX
MACHINE LEARNING
6.1 Introduction
Machine learning is a branch of artificial intelligence (AI) focused on developing algorithms

and models that enable computers to learn patterns and make data-based decisions. Instead
of being explicitly programmed to perform a task, a machine learning system improves its per-
formance through experience by analyzing data and recognizing patterns.
In machine learning, a model is a mathematical representation of the data using set param-
eters. An estimator refers to any algorithm that learns or estimates the parameters from data,
i.e., fitting the model to the data.
Machine learning models can linear or non-linear, see ML map. Machine learning can adress
various type of problems, including:
1. Supervised learning Learn a function to predict output or target y given input X.
a. Regression problems: y is quantitative.
b. Classification problems y is qualitative/categorical, i.e., (labels).
2. Supervised learning: Learn the hidden structure of the data X
a. Dimensionality reduction (or feature extraction) in machine learning refers to
techniques that reduce the number of input variables or features in a dataset
while preserving essential information and exploiting redundant or irrelevant
features. It can be helpful for visualization or analysis of high-dimension data.
b. Clustering groups similar data points together based on their features. It helps
identify patterns or structures within the data by organizing it into clusters,
where points within the same cluster are more similar to each other than to
those in different clusters.
6.2 Linear Dimensionality Reduction and Feature Extraction
6.2.1 Introduction
In machine learning and statistics, dimensionality reduction or dimension reduction is the pro-
cess of reducing the number of features under consideration, and can be divided into feature
selection (not addressed here) and feature extraction.
Feature extraction starts from an initial set of measured data and builds derived values (fea-
tures) intended to be informative and non-redundant, facilitating the subsequent learning and
229
generalization steps, and in some cases leading to better human interpretations. Feature extrac-
tion is related to dimensionality reduction.
The input matrix X, of dimension 𝑁 × 𝑃 , is
⎡ ⎤
𝑥11 . . . 𝑥1𝑃
⎢ ⎥
⎢ .. .. ⎥
⎢ ⎥
⎢ . X . ⎥
⎢ ⎥
⎣ ⎦
𝑥𝑁 1 . . . 𝑥 𝑁 𝑃
where the rows represent the samples and columns represent the variables. The goal is to learn
a transformation that extracts a few relevant features.
Models:
1. Linear matrix decomposition/factorisation SVD/PCA. Those models exploit the covariance
ΣXX between the input features.
2. Non-linear models based on manifold learning: Isomap, t-SNE. Those models
6.2.2 Singular value decomposition and matrix factorization
Matrix factorization principles
Decompose the data matrix X𝑁 ×𝑃 into a product of a mixing matrix U𝑁 ×𝐾 and a dictionary
matrix V𝑃 ×𝐾 .
X = UV𝑇 ,
If we consider only a subset of components 𝐾 < 𝑟𝑎𝑛𝑘(X) < min(𝑃, 𝑁 − 1) , X is approximated

by a matrix X̂:
X ≈ X̂ = UV𝑇 ,
Each line of xi is a linear combination (mixing ui ) of dictionary items V.

𝑁 𝑃 -dimensional data points lie in a space whose dimension is less than 𝑁 − 1 (2 dots lie on a
line, 3 on a plane, etc.).
Singular value decomposition (SVD) principles
Singular-value decomposition (SVD) factorises the data matrix X𝑁 ×𝑃 into a product:
X = UDV𝑇 ,
where
⎡ ⎤ ⎡ ⎤
𝑥11 𝑥1𝑃 𝑢11⎡ 𝑢1𝐾
⎤⎡ ⎤
⎢ ⎥ ⎢ ⎥ 𝑑1 0 𝑣11 𝑣1𝑃
⎢ ⎥ ⎢ ⎥
⎢
⎢ X ⎥=⎢
⎥ ⎢ U ⎥⎣
⎥ D ⎦⎣ V𝑇 ⎦.
⎣ ⎦ ⎣ ⎦ 0 𝑑𝐾 𝑣𝐾1 𝑣𝐾𝑃
𝑥𝑁 1 𝑥𝑁 𝑃 𝑢𝑁 1 𝑢𝑁 𝐾
U: right-singular
230 Chapter 6. Machine Learning

Fig. 1: Matrix factorization
• V = [v1 , · · · , v𝐾 ] is a 𝑃 × 𝐾 orthogonal matrix.

• It is a dictionary of patterns to be combined (according to the mixing coefficients) to
reconstruct the original samples.
• V perfoms the initial rotations (projection) along the 𝐾 = min(𝑁, 𝑃 ) principal compo-
nent directions, also called loadings.
• Each v𝑗 performs the linear combination of the variables that has maximum sample vari-
ance, subject to being uncorrelated with the previous v𝑗−1 .
D: singular values
• D is a 𝐾 × 𝐾 diagonal matrix made of the singular values of X with 𝑑1 ≥ 𝑑2 ≥ · · · ≥
𝑑𝐾 ≥ 0.
• D scale the projection along the coordinate axes by 𝑑1 , 𝑑2 , · · · , 𝑑𝐾 .
• Singular values are the square roots of the eigenvalues of X𝑇 X.
V: left-singular vectors
• U = [u1 , · · · , u𝐾 ] is an 𝑁 × 𝐾 orthogonal matrix.
• Each row vi provides the mixing coefficients of dictionary items to reconstruct the sample
xi
• It may be understood as the coordinates on the new orthogonal basis (obtained after the
initial rotation) called principal components in the PCA.
6.2. Linear Dimensionality Reduction and Feature Extraction 231

SVD for variables transformation
V transforms correlated variables (X) into a set of uncorrelated ones (UD) that better expose
the various relationships among the original data items.
X = UDV𝑇 , (6.1)
𝑇
XV = UDV V, (6.2)
XV = UDI, (6.3)
XV = UD (6.4)
At the same time, SVD is a method for identifying and ordering the dimensions along which
data points exhibit the most variation.
import numpy as np
import scipy
from sklearn.decomposition import PCA
%matplotlib inline
np.random.seed(42)
# dataset
n_samples = 100
experience = np.random.normal(size=n_samples)
salary = 1500 + experience + np.random.normal(size=n_samples, scale=.5)
X = np.column_stack([experience, salary])
print(X.shape)
# PCA using SVD

X -= X.mean(axis=0) # Centering is required
U, s, Vh = scipy.linalg.svd(X, full_matrices=False)
# U : Unitary matrix having left singular vectors as columns.
# Of shape (n_samples,n_samples) or (n_samples,n_comps), depending on
# full_matrices.
#
# s : The singular values, sorted in non-increasing order. Of shape (n_comps,),
# with n_comps = min(n_samples, n_features).
#
# Vh: Unitary matrix having right singular vectors as rows.
# Of shape (n_features, n_features) or (n_comps, n_features) depending
# on full_matrices.
plt.subplot(131)
plt.scatter(U[:, 0], U[:, 1], s=50)
plt.axis('equal')
plt.title("U: Rotated and scaled data")

plt.subplot(132)
# Project data
PC = np.dot(X, Vh.T)
plt.scatter(PC[:, 0], PC[:, 1], s=50)
plt.axis('equal')
plt.title("XV: Rotated data")
plt.xlabel("PC1")
plt.ylabel("PC2")
plt.subplot(133)
plt.scatter(X[:, 0], X[:, 1], s=50)
for i in range(Vh.shape[0]):
plt.arrow(x=0, y=0, dx=Vh[i, 0], dy=Vh[i, 1], head_width=0.2,
head_length=0.2, linewidth=2, fc='r', ec='r')
plt.text(Vh[i, 0], Vh[i, 1],'v%i' % (i+1), color="r", fontsize=15,
horizontalalignment='right', verticalalignment='top')
plt.axis('equal')
plt.ylim(-4, 4)
plt.title("X: original data (v1, v2:PC dir.)")

plt.xlabel("experience")
plt.ylabel("salary")
plt.tight_layout()
(100, 2)

6.2.3 Principal components analysis (PCA)
Sources:
• C. M. Bishop Pattern Recognition and Machine Learning, Springer, 2006
• Everything you did and didn’t know about PCA
• Principal Component Analysis in 3 Simple Steps
Principles
• Principal components analysis is the main method used for linear dimension reduction.
• The idea of principal component analysis is to find the 𝐾 principal components di-
rections (called the loadings) V𝐾×𝑃 that capture the variation in the data as much as
possible.
• It converts a set of 𝑁 𝑃 -dimensional observations N𝑁 ×𝑃 of possibly correlated variables
into a set of 𝑁 𝐾-dimensional samples C𝑁 ×𝐾 , where the 𝐾 < 𝑃 . The new variables are
linearly uncorrelated. The columns of C𝑁 ×𝐾 are called the principal components.
• The dimension reduction is obtained by using only 𝐾 < 𝑃 components that exploit corre-
lation (covariance) among the original variables.
• PCA is mathematically defined as an orthogonal linear transformation V𝐾×𝑃 that trans-
forms the data to a new coordinate system such that the greatest variance by some projec-
tion of the data comes to lie on the first coordinate (called the first principal component),
the second greatest variance on the second coordinate, and so on.
C𝑁 ×𝐾 = X𝑁 ×𝑃 V𝑃 ×𝐾
• PCA can be thought of as fitting a 𝑃 -dimensional ellipsoid to the data, where each axis of
the ellipsoid represents a principal component. If some axis of the ellipse is small, then the
variance along that axis is also small, and by omitting that axis and its corresponding prin-
cipal component from our representation of the dataset, we lose only a commensurately
small amount of information.
• Finding the 𝐾 largest axes of the ellipse will permit to project the data onto a space having
dimensionality 𝐾 < 𝑃 while maximizing the variance of the projected data.
Dataset preprocessing
Centering
Consider a data matrix, X , with column-wise zero empirical mean (the sample mean of each
column has been shifted to zero), ie. X is replaced by X − 1x̄𝑇 .

Standardizing
Optionally, standardize the columns, i.e., scale them by their standard-deviation. Without stan-
dardization, a variable with a high variance will capture most of the effect of the PCA. The
principal direction will be aligned with this variable. Standardization will, however, raise noise
variables to the save level as informative variables.
The covariance matrix of centered standardized data is the correlation matrix.
Eigendecomposition of the data covariance matrix
To begin with, consider the projection onto a one-dimensional space (𝐾 = 1). We can define
the direction of this space using a 𝑃 -dimensional vector v, which for convenience (and without
loss of generality) we shall choose to be a unit vector so that ‖v‖2 = 1 (note that we are only
interested in the direction defined by v, not in the magnitude of v itself). PCA consists of two
mains steps:
Projection in the directions that capture the greatest variance
Each 𝑃 -dimensional data point x𝑖 is then projected onto v, where the coordinate (in the co-
ordinate system of v) is a scalar value, namely x𝑇𝑖 v. I.e., we want to find the vector v that
maximizes these coordinates along v, which we will see corresponds to maximizing the vari-
ance of the projected data. This is equivalently expressed as
1 ∑︁ (︀ 𝑇 )︀2
v = arg max x𝑖 v .
‖v‖=1 𝑁
𝑖
We can write this in matrix form as

1 1
v = arg max ‖Xv‖2 = v𝑇 X𝑇 Xv = v𝑇 SXX v,
‖v‖=1 𝑁 𝑁
where SXX is a biased estiamte of the covariance matrix of the data, i.e.
1 𝑇
SXX = X X.
𝑁
We now maximize the projected variance v𝑇 SXX v with respect to v. Clearly, this has to be a
constrained maximization to prevent ‖v2 ‖ → ∞. The appropriate constraint comes from the
normalization condition ‖v‖2 ≡ ‖v‖22 = v𝑇 v = 1. To enforce this constraint, we introduce a
Lagrange multiplier that we shall denote by 𝜆, and then make an unconstrained maximization
of
v𝑇 SXX v − 𝜆(v𝑇 v − 1).
By setting the gradient with respect to v equal to zero, we see that this quantity has a stationary
point when
SXX v = 𝜆v.
We note that v is an eigenvector of SXX .

If we left-multiply the above equation by v𝑇 and make use of v𝑇 v = 1, we see that the variance
is given by
v𝑇 SXX v = 𝜆,

and so the variance will be at a maximum when v is equal to the eigenvector corresponding to
the largest eigenvalue, 𝜆. This eigenvector is known as the first principal component.
We can define additional principal components in an incremental fashion by choosing each new
direction to be that which maximizes the projected variance amongst all possible directions that
are orthogonal to those already considered. If we consider the general case of a 𝐾-dimensional
projection space, the optimal linear projection for which the variance of the projected data is
maximized is now defined by the 𝐾 eigenvectors, v1 , . . . , vK , of the data covariance matrix
SXX that corresponds to the 𝐾 largest eigenvalues, 𝜆1 ≥ 𝜆2 ≥ · · · ≥ 𝜆𝐾 .
Back to SVD
The sample covariance matrix of centered data X is given by

1
SXX = X𝑇 X.
𝑁 −1
We rewrite X𝑇 X using the SVD decomposition of X as
X𝑇 X = (UDV𝑇 )𝑇 (UDV𝑇 )
= VD𝑇 U𝑇 UDV𝑇
= VD2 V𝑇
V𝑇 X𝑇 XV = D2
1 1
V𝑇 X𝑇 XV = D2
𝑁 −1 𝑁 −1
1
V𝑇 SXX V = D2
𝑁 −1
.
Considering only the 𝑘 𝑡ℎ right-singular vectors v𝑘 associated to the singular value 𝑑𝑘
1
vk 𝑇 SXX vk = 𝑑2 ,
𝑁 −1 𝑘
It turns out that if you have done the singular value decomposition then you already have
the Eigenvalue decomposition for X𝑇 X. Where - The eigenvectors of SXX are equivalent to
the right singular vectors, V, of X. - The eigenvalues, 𝜆𝑘 , of SXX , i.e. the variances of the
components, are equal to 𝑁 1−1 times the squared singular values, 𝑑𝑘 .
Moreover computing PCA with SVD do not require to form the matrix X𝑇 X, so computing the
SVD is now the standard way to calculate a principal components analysis from a data matrix,
unless only a handful of components are required.
PCA outputs
The SVD or the eigendecomposition of the data covariance matrix provides three main quanti-
ties:
1. Principal component directions or loadings are the eigenvectors of X𝑇 X. The V𝐾×𝑃
or the right-singular vectors of an SVD of X are called principal component directions of
X. They are generally computed using the SVD of X.

2. Principal components is the 𝑁 × 𝐾 matrix C which is obtained by projecting X onto the

principal components directions, i.e.
C𝑁 ×𝐾 = X𝑁 ×𝑃 V𝑃 ×𝐾 .
Since X = UDV𝑇 and V is orthogonal (V𝑇 V = I):
C𝑁 ×𝐾 = UDV𝑇𝑁 ×𝑃 V𝑃 ×𝐾 (6.5)
C𝑁 ×𝐾 = UD𝑇𝑁 ×𝐾 I𝐾×𝐾 (6.6)
C𝑁 ×𝐾 = UD𝑇𝑁 ×𝐾 (6.7)
(6.8)
Thus c𝑗 = Xv𝑗 = u𝑗 𝑑𝑗 , for 𝑗 = 1, . . . 𝐾. Hence u𝑗 is simply the projection of the row vectors of
X, i.e., the input predictor vectors, on the direction v𝑗 , scaled by 𝑑𝑗 .
⎡ ⎤
𝑥1,1 𝑣1,1 + . . . + 𝑥1,𝑃 𝑣1,𝑃
⎢ 𝑥2,1 𝑣1,1 + . . . + 𝑥2,𝑃 𝑣1,𝑃 ⎥
c1 = ⎢ ..
⎢ ⎥
⎥
⎣ . ⎦
𝑥𝑁,1 𝑣1,1 + . . . + 𝑥𝑁,𝑃 𝑣1,𝑃
3. The variance of each component is given by the eigen values 𝜆𝑘 , 𝑘 = 1, . . . 𝐾. It can be

obtained from the singular values:
1
𝑣𝑎𝑟(c𝑘 ) = (Xv𝑘 )2 (6.9)
𝑁 −1
1
= (u𝑘 𝑑𝑘 )2 (6.10)
𝑁 −1
1
= 𝑑2 (6.11)
𝑁 −1 𝑘
Determining the number of PCs
We must choose 𝐾 * ∈ [1, . . . , 𝐾], the number of required components. This can be done by
calculating the explained variance ratio of the 𝐾 * first components and by choosing 𝐾 * such
that the cumulative explained variance ratio is greater than some given threshold (e.g., ≈
90%). This is expressed as
∑︀𝐾 *
𝑗 𝑣𝑎𝑟(c𝑘 )
cumulative explained variance(c𝑘 ) = ∑︀𝐾 .
𝑗 𝑣𝑎𝑟(c𝑘 )
Interpretation and visualization
PCs
Plot the samples projeted on first the principal components as e.g. PC1 against PC2.
PC directions
Exploring the loadings associated with a component provides the contribution of each original
variable in the component.

Remark: The loadings (PC directions) are the coefficients of multiple regression of PC on origi-
nal variables:
c = Xv (6.12)
𝑇 𝑇
X c = X Xv (6.13)
(X𝑇 X)−1 X𝑇 c = v (6.14)
Another way to evaluate the contribution of the original variables in each PC can be obtained
by computing the correlation between the PCs and the original variables, i.e. columns of X,
denoted x𝑗 , for 𝑗 = 1, . . . , 𝑃 . For the 𝑘 𝑡ℎ PC, compute and plot the correlations with all original
variables
𝑐𝑜𝑟(c𝑘 , x𝑗 ), 𝑗 = 1 . . . 𝐾, 𝑗 = 1 . . . 𝐾.
These quantities are sometimes called the correlation loadings.
import numpy as np
np.random.seed(42)
# dataset
n_samples = 100
experience = np.random.normal(size=n_samples)
salary = 1500 + experience + np.random.normal(size=n_samples, scale=.5)
X = np.column_stack([experience, salary])
# PCA with scikit-learn

pca = PCA(n_components=2)
pca.fit(X)
print(pca.explained_variance_ratio_)
PC = pca.transform(X)
plt.subplot(121)
plt.scatter(X[:, 0], X[:, 1])
plt.xlabel("x1"); plt.ylabel("x2")
plt.subplot(122)
plt.scatter(PC[:, 0], PC[:, 1])
plt.xlabel("PC1 (var=%.2f)" % pca.explained_variance_ratio_[0])
plt.ylabel("PC2 (var=%.2f)" % pca.explained_variance_ratio_[1])
plt.axis('equal')
plt.tight_layout()
[0.93646607 0.06353393]

from time import time

import numpy as np
from matplotlib import offsetbox
from sklearn import (manifold, datasets, decomposition, ensemble,
discriminant_analysis, random_projection, neighbors)
print(__doc__)
digits = datasets.load_digits(n_class=6)
X = digits.data
y = digits.target
n_samples, n_features = X.shape
n_neighbors = 30
Automatically created module for IPython interactive environment

6.2.4 Eigen faces
Sources: Scikit learn Faces decompositions

Load data

from sklearn.datasets import fetch_olivetti_faces
from sklearn import decomposition
n_row, n_col = 2, 3
n_components = n_row * n_col
image_shape = (64, 64)
faces, _ = fetch_olivetti_faces(return_X_y=True, shuffle=True,

random_state=1)
n_samples, n_features = faces.shape
# Utils function
def plot_gallery(title, images, n_col=n_col, n_row=n_row, cmap=plt.cm.gray):
plt.figure(figsize=(2. * n_col, 2.26 * n_row))
plt.suptitle(title, size=16)
for i, comp in enumerate(images):
plt.subplot(n_row, n_col, i + 1)
vmax = max(comp.max(), -comp.min())
plt.imshow(comp.reshape(image_shape), cmap=cmap,
interpolation='nearest',
vmin=-vmax, vmax=vmax)
plt.xticks(())
plt.yticks(())
plt.subplots_adjust(0.01, 0.05, 0.99, 0.93, 0.04, 0.)
downloading Olivetti faces from https://ndownloader.figshare.com/files/5976027 to␣

˓→/home/ed203246/scikit_learn_data
Preprocessing
# global centering
faces_centered = faces - faces.mean(axis=0)
# local centering
faces_centered -= faces_centered.mean(axis=1).reshape(n_samples, -1)
First centered Olivetti faces
plot_gallery("First centered Olivetti faces", faces_centered[:n_components])

pca = decomposition.PCA(n_components=n_components)
pca.fit(faces_centered)
plot_gallery("PCA first %i loadings" % n_components, pca.components_[:n_
˓→components])

6.2.5 Exercises
Write a basic PCA class
Write a class BasicPCA with two methods:

• fit(X) that estimates the data mean, principal components directions V and the explained
variance of each component.
• transform(X) that projects the data onto the principal components.
Check that your BasicPCA gave similar results, compared to the results from sklearn.
Apply your Basic PCA on the iris dataset
The data set is available at: https://github.com/duchesnay/pystatsml/raw/master/datasets/

iris.csv
• Describe the data set. Should the dataset been standardized?
• Describe the structure of correlations among variables.
• Compute a PCA with the maximum number of components.
• Compute the cumulative explained variance ratio. Determine the number of components
𝐾 by your computed values.
• Print the 𝐾 principal components directions and correlations of the 𝐾 principal compo-
nents with the original variables. Interpret the contribution of the original variables into
the PC.

• Plot the samples projected into the 𝐾 first PCs.

• Color samples by their species.
Run scikit-learn examples
Load the notebook or python file at the end of each examples

• Faces dataset decompositions
• Faces recognition example using eigenfaces and SVMs
6.3 Manifold learning: non-linear dimension reduction
Sources:
• Scikit-learn documentation
• Wikipedia
Nonlinear dimensionality reduction or manifold learning cover unsupervised methods that
attempt to identify low-dimensional manifolds within the original 𝑃 -dimensional space that
represent high data density. Then those methods provide a mapping from the high-dimensional
space to the low-dimensional embedding.
6.3.1 Multi-dimensional Scaling (MDS)
Resources:
• http://www.stat.pitt.edu/sungkyu/course/2221Fall13/lec8_mds_combined.pdf
• https://en.wikipedia.org/wiki/Multidimensional_scaling
• Hastie, Tibshirani and Friedman (2009). The Elements of Statistical Learning: Data Mining,
Inference, and Prediction. New York: Springer, Second Edition.
The purpose of MDS is to find a low-dimensional projection of the data in which the pairwise
distances between data points is preserved, as closely as possible (in a least-squares sense).
• Let D be the (𝑁 × 𝑁 ) pairwise distance matrix where 𝑑𝑖𝑗 is a distance between points 𝑖
and 𝑗.
• The MDS concept can be extended to a wide variety of data types specified in terms of a
similarity matrix.
Given the dissimilarity (distance) matrix D𝑁 ×𝑁 = [𝑑𝑖𝑗 ], MDS attempts to find 𝐾-dimensional
projections of the 𝑁 points x1 , . . . , x𝑁 ∈ R𝐾 , concatenated in an X𝑁 ×𝐾 matrix, so that 𝑑𝑖𝑗 ≈
‖x𝑖 − x𝑗 ‖ are as close as possible. This can be obtained by the minimization of a loss function
called the stress function
∑︁
stress(X) = (𝑑𝑖𝑗 − ‖x𝑖 − x𝑗 ‖)2 .
𝑖̸=𝑗
This loss function is known as least-squares or Kruskal-Shepard scaling.
6.3. Manifold learning: non-linear dimension reduction 243

A modification of least-squares scaling is the Sammon mapping

∑︁ (𝑑𝑖𝑗 − ‖x𝑖 − x𝑗 ‖)2
stressSammon (X) = .
𝑑𝑖𝑗
𝑖̸=𝑗
The Sammon mapping performs better at preserving small distances compared to the least-
squares scaling.
Classical multidimensional scaling
Also known as principal coordinates analysis, PCoA.

• The distance matrix, D, is transformed to a similarity matrix, B, often using centered
inner products.
• The loss function becomes
∑︁ (︀ )︀2
stressclassical (X) = 𝑏𝑖𝑗 − ⟨x𝑖 , x𝑗 ⟩ .
𝑖̸=𝑗
• The stress function in classical MDS is sometimes called strain.

• The solution for the classical MDS problems can be found from the eigenvectors of the
similarity matrix.
• If the distances in D are Euclidean and double centered inner products are used, the
results are equivalent to PCA.
Example
The eurodist datset provides the road distances (in kilometers) between 21 cities in Europe.
Given this matrix of pairwise (non-Euclidean) distances D = [𝑑𝑖𝑗 ], MDS can be used to recover
the coordinates of the cities in some Euclidean referential whose orientation is arbitrary.
import pandas as pd
import numpy as np
# Pairwise distance between European cities

try:
url = '../datasets/eurodist.csv'
except:
url = 'https://github.com/duchesnay/pystatsml/raw/master/datasets/eurodist.csv
˓→'
print(df.iloc[:5, :5])
city = df["city"]
D = np.array(df.iloc[:, 1:]) # Distance matrix
# Arbitrary choice of K=2 components



from sklearn.manifold import MDS
mds = MDS(dissimilarity='precomputed', n_components=2, random_state=40, max_
˓→iter=3000, eps=1e-9)
X = mds.fit_transform(D)
Recover coordinates of the cities in Euclidean referential whose orientation is arbitrary:
from sklearn import metrics

Deuclidean = metrics.pairwise.pairwise_distances(X, metric='euclidean')
print(np.round(Deuclidean[:5, :5]))
Plot the results:
# Plot: apply some rotation and flip

theta = 80 * np.pi / 180.
rot = np.array([[np.cos(theta), -np.sin(theta)],
[np.sin(theta), np.cos(theta)]])
Xr = np.dot(X, rot)
# flip x
Xr[:, 0] *= -1
plt.scatter(Xr[:, 0], Xr[:, 1])
for i in range(len(city)):
plt.text(Xr[i, 0], Xr[i, 1], city[i])
plt.axis('equal')
Determining the number of components
We must choose 𝐾 * ∈ {1, . . . , 𝐾} the number of required components. Plotting the values of
the stress function, obtained using 𝑘 ≤ 𝑁 − 1 components. In general, start with 1, . . . 𝐾 ≤ 4.
Choose 𝐾 * where you can clearly distinguish an elbow in the stress curve.
Thus, in the plot below, we choose to retain information accounted for by the first two compo-
nents, since this is where the elbow is in the stress curve.
k_range = range(1, min(5, D.shape[0]-1))

stress = [MDS(dissimilarity='precomputed', n_components=k,
random_state=42, max_iter=300, eps=1e-9).fit(D).stress_ for k in k_
˓→range]
print(stress)
plt.plot(k_range, stress)
plt.xlabel("k")
plt.ylabel("stress")
6.3. Manifold learning: non-linear dimension reduction 245

Exercises
Apply MDS from sklearn on the iris dataset available at:

https://github.com/duchesnay/pystatsml/raw/master/datasets/iris.csv
• Center and scale the dataset.
• Compute Euclidean pairwise distances matrix.
• Select the number of components.
• Show that classical MDS on Euclidean pairwise distances matrix is equivalent to PCA.
Manifold learning
Dataset S curve:

from mpl_toolkits.mplot3d import Axes3D
from sklearn import manifold, datasets
X, color = datasets.make_s_curve(1000, random_state=42)
6.3.2 Isomap
Isomap is a nonlinear dimensionality reduction method that combines a procedure to compute

the distance matrix with MDS. The distances calculation is based on geodesic distances evalu-
ated on neighborhood graph:
1. Determine the neighbors of each point. All points in some fixed radius or K nearest neigh-
bors.
2. Construct a neighborhood graph. Each point is connected to other if it is a K nearest
neighbor. Edge length equal to Euclidean distance.
3. Compute shortest path between pairwise of points 𝑑𝑖𝑗 to build the distance matrix D.
4. Apply MDS on D.
isomap = manifold.Isomap(n_neighbors=10, n_components=2)

X_isomap = isomap.fit_transform(X)
6.3.3 t-SNE
Sources:
• Wikipedia
• scikit-learn
Principles
1. Construct a (Gaussian) probability distribution between pairs of object in input (high-
dimensional) space.

2. Construct a (student) ) probability distribution between pairs of object in embeded (low-

dimensional) space.
3. Minimize the Kullback–Leibler divergence (KL divergence) between the two distributions.
Features
• Isomap, LLE and variants are best suited to unfold a single continuous low dimensional
manifold
• t-SNE will focus on the local structure of the data and will tend to extract clustered local
groups of samples
tsne = manifold.TSNE(n_components=2, init='pca', random_state=0)

X_tsne = tsne.fit_transform(X)
fig = plt.figure(figsize=(15, 5))

plt.suptitle("Manifold Learning", fontsize=14)
ax = fig.add_subplot(131, projection='3d')
ax.scatter(X[:, 0], X[:, 1], X[:, 2], c=color, cmap=plt.cm.Spectral)
ax.view_init(4, -72)
plt.title('2D "S shape" manifold in 3D')
ax = fig.add_subplot(132)
plt.scatter(X_isomap[:, 0], X_isomap[:, 1], c=color, cmap=plt.cm.Spectral)
plt.title("Isomap")
plt.xlabel("First component")
plt.ylabel("Second component")
ax = fig.add_subplot(133)
plt.scatter(X_tsne[:, 0], X_tsne[:, 1], c=color, cmap=plt.cm.Spectral)
plt.title("t-SNE")
plt.xlabel("First component")
plt.ylabel("Second component")
plt.axis('tight')
6.3.4 Exercises
Run Manifold learning on handwritten digits: Locally Linear Embedding, Isomap with scikit-
learn
6.4 Clustering
Wikipedia: Cluster analysis or clustering is the task of grouping a set of objects in such a way
that objects in the same group (called a cluster) are more similar (in some sense or another)
to each other than to those in other groups (clusters). Clustering is one of the main task of
exploratory data mining, and a common technique for statistical data analysis, used in many
fields, including machine learning, pattern recognition, image analysis, information retrieval,
and bioinformatics.
6.4. Clustering 247

Sources: http://scikit-learn.org/stable/modules/clustering.html
6.4.1 K-means clustering
Source: C. M. Bishop Pattern Recognition and Machine Learning, Springer, 2006

Suppose we have a data set 𝑋 = {𝑥1 , · · · , 𝑥𝑁 } that consists of 𝑁 observations of a random
𝐷-dimensional Euclidean variable 𝑥. Our goal is to partition the data set into some number, 𝐾,
of clusters, where we shall suppose for the moment that the value of 𝐾 is given. Intuitively, we
might think of a cluster as comprising a group of data points whose inter-point distances are
small compared to the distances to points outside of the cluster. We can formalize this notion
by first introducing a set of 𝐷-dimensional vectors 𝜇𝑘 , where 𝑘 = 1, . . . , 𝐾, in which 𝜇𝑘 is a
prototype associated with the 𝑘 𝑡ℎ cluster. As we shall see shortly, we can think of the 𝜇𝑘 as
representing the centres of the clusters. Our goal is then to find an assignment of data points
to clusters, as well as a set of vectors {𝜇𝑘 }, such that the sum of the squares of the distances of
each data point to its closest prototype vector 𝜇𝑘 , is at a minimum.
It is convenient at this point to define some notation to describe the assignment of data points to
clusters. For each data point 𝑥𝑖 , we introduce a corresponding set of binary indicator variables
𝑟𝑖𝑘 ∈ {0, 1}, where 𝑘 = 1, . . . , 𝐾, that describes which of the 𝐾 clusters the data point 𝑥𝑖 is
assigned to, so that if data point 𝑥𝑖 is assigned to cluster 𝑘 then 𝑟𝑖𝑘 = 1, and 𝑟𝑖𝑗 = 0 for 𝑗 ̸= 𝑘.
This is known as the 1-of-𝐾 coding scheme. We can then define an objective function, denoted
inertia, as
𝑁 ∑︁
∑︁ 𝐾
𝐽(𝑟, 𝜇) = 𝑟𝑖𝑘 ‖𝑥𝑖 − 𝜇𝑘 ‖22
𝑖 𝑘
which represents the sum of the squares of the Euclidean distances of each data point to its
assigned vector 𝜇𝑘 . Our goal is to find values for the {𝑟𝑖𝑘 } and the {𝜇𝑘 } so as to minimize the
function 𝐽. We can do this through an iterative procedure in which each iteration involves two
successive steps corresponding to successive optimizations with respect to the 𝑟𝑖𝑘 and the 𝜇𝑘
. First we choose some initial values for the 𝜇𝑘 . Then in the first phase we minimize 𝐽 with
respect to the 𝑟𝑖𝑘 , keeping the 𝜇𝑘 fixed. In the second phase we minimize 𝐽 with respect to
the 𝜇𝑘 , keeping 𝑟𝑖𝑘 fixed. This two-stage optimization process is then repeated until conver-
gence. We shall see that these two stages of updating 𝑟𝑖𝑘 and 𝜇𝑘 correspond respectively to the
expectation (E) and maximization (M) steps of the expectation-maximisation (EM) algorithm,
and to emphasize this we shall use the terms E step and M step in the context of the 𝐾-means
algorithm.
Consider first the determination of the 𝑟𝑖𝑘 . Because 𝐽 in is a linear function of 𝑟𝑖𝑘 , this opti-
mization can be performed easily to give a closed form solution. The terms involving different
𝑖 are independent and so we can optimize for each 𝑖 separately by choosing 𝑟𝑖𝑘 to be 1 for
whichever value of 𝑘 gives the minimum value of ||𝑥𝑖 − 𝜇𝑘 ||2 . In other words, we simply assign
the 𝑖th data point to the closest cluster centre. More formally, this can be expressed as
{︃
1, if 𝑘 = arg min𝑗 ||𝑥𝑖 − 𝜇𝑗 ||2 .
𝑟𝑖𝑘 = (6.15)
0, otherwise.
Now consider the optimization of the 𝜇𝑘 with the 𝑟𝑖𝑘 held fixed. The objective function 𝐽 is a
quadratic function of 𝜇𝑘 , and it can be minimized by setting its derivative with respect to 𝜇𝑘 to

zero giving
∑︁
2 𝑟𝑖𝑘 (𝑥𝑖 − 𝜇𝑘 ) = 0
𝑖
which we can easily solve for 𝜇𝑘 to give

∑︀
𝑟𝑖𝑘 𝑥𝑖
𝜇𝑘 = ∑︀𝑖 .
𝑖 𝑟𝑖𝑘
The denominator in this expression is equal to the number of points assigned to cluster 𝑘, and so
this result has a simple interpretation, namely set 𝜇𝑘 equal to the mean of all of the data points
𝑥𝑖 assigned to cluster 𝑘. For this reason, the procedure is known as the 𝐾-means algorithm.
The two phases of re-assigning data points to clusters and re-computing the cluster means are
repeated in turn until there is no further change in the assignments (or until some maximum
number of iterations is exceeded). Because each phase reduces the value of the objective func-
tion 𝐽, convergence of the algorithm is assured. However, it may converge to a local rather than
global minimum of 𝐽.
from sklearn import cluster, datasets

import seaborn as sns # nice color
%matplotlib inline
iris = datasets.load_iris()
X = iris.data[:, :2] # use only 'sepal length and sepal width'
y_iris = iris.target
km2 = cluster.KMeans(n_clusters=2).fit(X)
plt.subplot(131)
plt.scatter(X[:, 0], X[:, 1], c=km2.labels_)
plt.title("K=2, J=%.2f" % km2.inertia_)
plt.subplot(132)
plt.scatter(X[:, 0], X[:, 1], c=km3.labels_)
plt.subplot(133)
plt.scatter(X[:, 0], X[:, 1], c=km4.labels_)#.astype(np.float))
Text(0.5, 1.0, 'K=4, J=28.16')
6.4. Clustering 249

Exercises
1. Analyse clusters
• Analyse the plot above visually. What would a good value of 𝐾 be?
• If you instead consider the inertia, the value of 𝐽, what would a good value of 𝐾 be?
• Explain why there is such difference.
• For 𝐾 = 2 why did 𝐾-means clustering not find the two “natural” clusters? See the
assumptions of 𝐾-means: See sklearn doc.
2. Re-implement the 𝐾-means clustering algorithm (homework)
Write a function kmeans(X, K) that return an integer vector of the samples’ labels.
6.4.2 Gaussian mixture models
The Gaussian mixture model (GMM) is a simple linear superposition of Gaussian components
over the data, aimed at providing a rich class of density models. We turn to a formulation of
Gaussian mixtures in terms of discrete latent variables: the 𝐾 hidden classes to be discovered.
Differences compared to 𝐾-means:
• Whereas the 𝐾-means algorithm performs a hard assignment of data points to clusters, in
which each data point is associated uniquely with one cluster, the GMM algorithm makes
a soft assignment based on posterior probabilities.
• Whereas the classic 𝐾-means is only based on Euclidean distances, classic GMM use a
Mahalanobis distances that can deal with non-spherical distributions. It should be noted
that Mahalanobis could be plugged within an improved version of 𝐾-Means clustering.
The Mahalanobis distance is unitless and scale-invariant, and takes into account the cor-
relations of the data set.

The Gaussian mixture distribution can be written as a linear superposition of 𝐾 Gaussians in

the form:
𝐾
∑︁
𝑝(𝑥) = 𝒩 (𝑥 | 𝜇𝑘 , Σ𝑘 )𝑝(𝑘),
𝑘=1
where:
• The 𝑝(𝑘) are ∑︀
the mixing coefficients also know as the class probability of class 𝑘, and they
sum to one: 𝐾 𝑘=1 𝑝(𝑘) = 1.
• 𝒩 (𝑥 | 𝜇𝑘 , Σ𝑘 ) = 𝑝(𝑥 | 𝑘) is the conditional distribution of 𝑥 given a particular class 𝑘. It is

the multivariate Gaussian distribution defined over a 𝑃 -dimensional vector 𝑥 of continu-
ous variables.
The goal is to maximize the log-likelihood of the GMM:
𝑁 𝑁
{︃ 𝐾 }︃ 𝑁
{︃ 𝐾 }︃
∏︁ ∏︁ ∑︁ ∑︁ ∑︁
ln 𝑝(𝑥𝑖 ) = ln 𝒩 (𝑥𝑖 | 𝜇𝑘 , Σ𝑘 )𝑝(𝑘) = ln 𝒩 (𝑥𝑖 | 𝜇𝑘 , Σ𝑘 )𝑝(𝑘) .
𝑖=1 𝑖=1 𝑘=1 𝑖=1 𝑘=1
To compute the classes parameters: 𝑝(𝑘), 𝜇𝑘 , Σ𝑘 we sum over all samples, by weighting each
sample 𝑖 by its responsibility or contribution
∑︀ to class 𝑘: 𝑝(𝑘 | 𝑥𝑖 ) such that for each point its
contribution to all classes sum to one 𝑘 𝑝(𝑘 | 𝑥𝑖 ) = 1. This contribution is the conditional
probability of class 𝑘 given 𝑥: 𝑝(𝑘 | 𝑥) (sometimes called the posterior). It can be computed
using Bayes’ rule:
𝑝(𝑥 | 𝑘)𝑝(𝑘)
𝑝(𝑘 | 𝑥) = (6.16)
𝑝(𝑥)
𝒩 (𝑥 | 𝜇𝑘 , Σ𝑘 )𝑝(𝑘)
= ∑︀𝐾 (6.17)
𝑘=1 𝒩 (𝑥 | 𝜇𝑘 , Σ𝑘 )𝑝(𝑘)
Since the class parameters, 𝑝(𝑘), 𝜇𝑘 and Σ𝑘 , depend on the responsibilities 𝑝(𝑘 | 𝑥) and the
responsibilities depend on class parameters, we need a two-step iterative algorithm: the
expectation-maximization (EM) algorithm. We discuss this algorithm next.
### The expectation-maximization (EM) algorithm for Gaussian mixtures
Given a Gaussian mixture model, the goal is to maximize the likelihood function with respect
to the parameters (comprised of the means and covariances of the components and the mixing
coefficients).
Initialize the means 𝜇𝑘 , covariances Σ𝑘 and mixing coefficients 𝑝(𝑘)
1. E step. For each sample 𝑖, evaluate the responsibilities for each class 𝑘 using the current
parameter values
𝒩 (𝑥𝑖 | 𝜇𝑘 , Σ𝑘 )𝑝(𝑘)
𝑝(𝑘 | 𝑥𝑖 ) = ∑︀𝐾
𝑘=1 𝒩 (𝑥𝑖 | 𝜇𝑘 , Σ𝑘 )𝑝(𝑘)
2. M step. For each class, re-estimate the parameters using the current responsibilities
6.4. Clustering 251

𝑁
1 ∑︁
𝜇new
𝑘 = 𝑝(𝑘 | 𝑥𝑖 )𝑥𝑖 (6.18)
𝑁𝑘
𝑖=1
𝑁
1 ∑︁
Σnew
𝑘 = 𝑝(𝑘 | 𝑥𝑖 )(𝑥𝑖 − 𝜇new new 𝑇
𝑘 )(𝑥𝑖 − 𝜇𝑘 ) (6.19)
𝑁𝑘
𝑖=1
𝑁𝑘
𝑝new (𝑘) = (6.20)
𝑁
3. Evaluate the log-likelihood
𝑁
{︃ 𝐾 }︃
∑︁ ∑︁
ln 𝒩 (𝑥|𝜇𝑘 , Σ𝑘 )𝑝(𝑘) ,
𝑖=1 𝑘=1
and check for convergence of either the parameters or the log-likelihood. If the convergence
criterion is not satisfied return to step 1.
import numpy as np
from sklearn import datasets
import sklearn
from sklearn.mixture import GaussianMixture
X = iris.data[:, :2] # 'sepal length (cm)''sepal width (cm)'
gmm2 = GaussianMixture(n_components=2, covariance_type='full').fit(X)

plt.subplot(131)
plt.scatter(X[:, 0], X[:, 1], c=[colors[lab] for lab in gmm2.predict(X)])#,␣
˓→color=colors)
for i in range(gmm2.covariances_.shape[0]):
pystatsml.plot_utils.plot_cov_ellipse(cov=gmm2.covariances_[i, :], pos=gmm2.
˓→means_[i, :],
facecolor='none', linewidth=2, edgecolor=colors[i])

plt.scatter(gmm2.means_[i, 0], gmm2.means_[i, 1], edgecolor=colors[i],
marker="o", s=100, facecolor="w", linewidth=2)
plt.title("K=2")
plt.subplot(132)
plt.scatter(X[:, 0], X[:, 1], c=[colors[lab] for lab in gmm3.predict(X)])


˓→means_[i, :],

plt.title("K=3")
plt.subplot(133)
plt.scatter(X[:, 0], X[:, 1], c=[colors[lab] for lab in gmm4.predict(X)]) # .
˓→astype(np.float))
˓→means_[i, :],

_ = plt.title("K=4")
Models of covariances: parmeter covariance_type see Sklearn doc. K-means is almost a GMM
with spherical covariance.
6.4.3 Model selection
Bayesian information criterion
In statistics, the Bayesian information criterion (BIC) is a criterion for model selection among
a finite set of models; the model with the lowest BIC is preferred. It is based, in part, on the
likelihood function and it is closely related to the Akaike information criterion (AIC).
X = iris.data
bic = list()
#print(X)
6.4. Clustering 253


ks = np.arange(1, 10)
for k in ks:
gmm = GaussianMixture(n_components=k, covariance_type='full')
gmm.fit(X)
bic.append(gmm.bic(X))
k_chosen = ks[np.argmin(bic)]
plt.plot(ks, bic)
plt.xlabel("k")
plt.ylabel("BIC")
print("Choose k=", k_chosen)
Choose k= 2

6.4.4 Hierarchical clustering
Hierarchical clustering is an approach to clustering that build hierarchies of clusters in two main
approaches:
• Agglomerative: A bottom-up strategy, where each observation starts in their own cluster,
and pairs of clusters are merged upwards in the hierarchy.
• Divisive: A top-down strategy, where all observations start out in the same cluster, and
then the clusters are split recursively downwards in the hierarchy.
In order to decide which clusters to merge or to split, a measure of dissimilarity between clusters
is introduced. More specific, this comprise a distance measure and a linkage criterion. The
distance measure is just what it sounds like, and the linkage criterion is essentially a function of
the distances between points, for instance the minimum distance between points in two clusters,
the maximum distance between points in two clusters, the average distance between points in
two clusters, etc. One particular linkage criterion, the Ward criterion, will be discussed next.
Ward clustering
Ward clustering belongs to the family of agglomerative hierarchical clustering algorithms. This
means that they are based on a “bottoms up” approach: each sample starts in its own cluster,
and pairs of clusters are merged as one moves up the hierarchy.
In Ward clustering, the criterion for choosing the pair of clusters to merge at each step is the
minimum variance criterion. Ward’s minimum variance criterion minimizes the total within-
cluster variance by each merge. To implement this method, at each step: find the pair of
clusters that leads to minimum increase in total within-cluster variance after merging. This
increase is a weighted squared distance between cluster centers.
The main advantage of agglomerative hierarchical clustering over 𝐾-means clustering is that
you can benefit from known neighborhood information, for example, neighboring pixels in an
image.
from sklearn import cluster, datasets

X = iris.data[:, :2] # 'sepal length (cm)''sepal width (cm)'
ward2 = cluster.AgglomerativeClustering(n_clusters=2, linkage='ward').fit(X)

plt.subplot(131)
plt.scatter(X[:, 0], X[:, 1], c=ward2.labels_)
plt.title("K=2")
plt.subplot(132)
plt.scatter(X[:, 0], X[:, 1], c=ward3.labels_)
6.4. Clustering 255


plt.title("K=3")
plt.subplot(133)
plt.scatter(X[:, 0], X[:, 1], c=ward4.labels_) # .astype(np.float))
plt.title("K=4")
Text(0.5, 1.0, 'K=4')
6.4.5 Exercises
Perform clustering of the iris dataset based on all variables using Gaussian mixture models. Use
PCA to visualize clusters.
6.5 Linear models for regression problems
Fig. 2: Linear regression

6.5.1 Ordinary least squares
Linear regression models the output, or target variable 𝑦 ∈ R as a linear combination of the 𝑃 -
dimensional input x ∈ R𝑃 . Let X be the 𝑁 × 𝑃 matrix with each row an input vector (with a 1
in the first position), and similarly let y be the 𝑁 -dimensional vector of outputs in the training
set, the linear model will predict the y given x using the parameter vector, or weight vector
w ∈ R𝑃 according to
y = Xw + 𝜀,
where 𝜀 ∈ R𝑁 are the residuals, or the errors of the prediction. The w is found by minimizing
an objective function, which is the loss function, 𝐿(w), i.e. the error measured on the data.
This error is the sum of squared errors (SSE) loss.
𝐿(w) = SSE(w) (6.21)

𝑁
∑︁
= (𝑦𝑖 − x𝑇𝑖 w)2 (6.22)
𝑖
= (y − X𝑇 w)𝑇 (y − X𝑇 w) (6.23)
𝑇
= ‖y − X w‖22 , (6.24)
Minimizing the SSE is the Ordinary Least Square OLS regression as objective function. which is
a simple ordinary least squares (OLS) minimization whose analytic solution is:
wOLS = (X𝑇 X)−1 X𝑇 y
The gradient of the loss:
𝐿(w, X, y) ∑︁
𝜕 =2 x𝑖 (x𝑖 · w − 𝑦𝑖 )
𝜕w
𝑖
6.5.2 Linear regression with scikit-learn
Scikit learn offer many models for supervised learning, and they all follow the same application
programming interface (API), namely:
model = Estimator()
model.fit(X, y)
predictions = model.predict(X)
%matplotlib inline
import numpy as np
import pandas as pd

import sklearn.linear_model as lm
6.5. Linear models for regression problems 257


import sklearn.metrics as metrics
np.set_printoptions(precision=2)
pd.set_option('precision', 2)
Linear regression of Advertising.csv dataset with TV and Radio advertising as input features
and Sales as target. The linear model that minimizes the MSE is a plan (2 input features)
defined as: Sales = 0.05 TV + .19 Radio + 3:
Fig. 3: Linear regression

6.5.3 Overfitting
In statistics and machine learning, overfitting occurs when a statistical model describes random
errors or noise instead of the underlying relationships. Overfitting generally occurs when a
model is excessively complex, such as having too many parameters relative to the number
of observations. A model that has been overfit will generally have poor predictive performance,
as it can exaggerate minor fluctuations in the data.
A learning algorithm is trained using some set of training samples. If the learning algorithm has
the capacity to overfit the training samples the performance on the training sample set will
improve while the performance on unseen test sample set will decline.
The overfitting phenomenon has three main explanations: - excessively complex models, - mul-
ticollinearity, and - high dimensionality.
Model complexity
Complex learners with too many parameters relative to the number of observations may overfit
the training dataset.
Multicollinearity
Predictors are highly correlated, meaning that one can be linearly predicted from the others.
In this situation the coefficient estimates of the multiple regression may change erratically in
response to small changes in the model or the data. Multicollinearity does not reduce the
predictive power or reliability of the model as a whole, at least not within the sample data
set; it only affects computations regarding individual predictors. That is, a multiple regression
model with correlated predictors can indicate how well the entire bundle of predictors predicts
the outcome variable, but it may not give valid results about any individual predictor, or about
which predictors are redundant with respect to others. In case of perfect multicollinearity the
predictor matrix is singular and therefore cannot be inverted. Under these circumstances, for a
general linear model y = Xw + 𝜀, the ordinary least-squares estimator, w𝑂𝐿𝑆 = (X𝑇 X)−1 X𝑇 y,
does not exist.
An example where correlated predictor may produce an unstable model follows: We want to
predict the business potential (pb) of some companies given their business volume (bv) and the
taxes (tx) they are paying. Here pb ~ 10% of bv. However, taxes = 20% of bv (tax and bv
are highly collinear), therefore there is an infinite number of linear combinations of tax and bv
that lead to the same prediction. Solutions with very large coefficients will produce excessively
large predictions.
bv = np.array([10, 20, 30, 40, 50]) # business volume

tax = .2 * bv # Tax
bp = .1 * bv + np.array([-.1, .2, .1, -.2, .1]) # business potential
X = np.column_stack([bv, tax])
beta_star = np.array([.1, 0]) # true solution
'''
Since tax and bv are correlated, there is an infinite number of linear␣
˓→combinations


leading to the same prediction.
'''
# 10 times the bv then subtract it 9 times using the tax variable:

beta_medium = np.array([.1 * 10, -.1 * 9 * (1/.2)])
# 100 times the bv then subtract it 99 times using the tax variable:
beta_large = np.array([.1 * 100, -.1 * 99 * (1/.2)])
print("L2 norm of coefficients: small:%.2f, medium:%.2f, large:%.2f." %

(np.sum(beta_star ** 2), np.sum(beta_medium ** 2), np.sum(beta_large ** 2)))
print("However all models provide the exact same predictions.")

assert np.all(np.dot(X, beta_star) == np.dot(X, beta_medium))
assert np.all(np.dot(X, beta_star) == np.dot(X, beta_large))
Multicollinearity between the predictors: business volumes and

tax produces unstable models with arbitrary large coefficients.
Dealing with multicollinearity:

• Regularisation by e.g. ℓ2 shrinkage: Introduce a bias in the solution by making (𝑋 𝑇 𝑋)−1
non-singular. See ℓ2 shrinkage.
• Feature selection: select a small number of features. See: Isabelle Guyon and André
Elisseeff An introduction to variable and feature selection The Journal of Machine Learning
Research, 2003.

• Feature selection: select a small number of features using ℓ1 shrinkage.

• Extract few independent (uncorrelated) features using e.g. principal components analysis
(PCA), partial least squares regression (PLS-R) or regression methods that cut the number
of predictors to a smaller set of uncorrelated components.
High dimensionality
High dimensions means a large number of input features. Linear predictor associate one pa-
rameter to each input feature, so a high-dimensional situation (𝑃 , number of features, is large)
with a relatively small number of samples 𝑁 (so-called large 𝑃 small 𝑁 situation) generally
lead to an overfit of the training data. Thus it is generally a bad idea to add many input features
into the learner. This phenomenon is called the curse of dimensionality.
One of the most important criteria to use when choosing a learning algorithm is based on the
relative size of 𝑃 and 𝑁 .
• Remenber that the “covariance” matrix X𝑇 X used in the linear model is a 𝑃 × 𝑃 matrix of
rank min(𝑁, 𝑃 ). Thus if 𝑃 > 𝑁 the equation system is overparameterized and admit an
infinity of solutions that might be specific to the learning dataset. See also ill-conditioned
or singular matrices.
• The sampling density of 𝑁 samples in an 𝑃 -dimensional space is proportional to 𝑁 1/𝑃 .
Thus a high-dimensional space becomes very sparse, leading to poor estimations of sam-
ples densities. To preserve a constant density, an exponential growth in the number of
observations is required. 50 points in 1D, would require 2 500 points in 2D and 125 000
in 3D!
• Another consequence of the sparse sampling in high dimensions is that all sample points
are close to an edge of the sample. Consider 𝑁 data points uniformly distributed in a
𝑃 -dimensional unit ball centered at the origin. Suppose we consider a nearest-neighbor
estimate at the origin. The median distance from the origin to the closest data point is
1/𝑁 1/𝑃
(︁ )︁
given by the expression: 𝑑(𝑃, 𝑁 ) = 1 − 21 .
A more complicated expression exists for the mean distance to the closest point. For N = 500,
P = 10 , 𝑑(𝑃, 𝑁 ) ≈ 0.52, more than halfway to the boundary. Hence most data points are
closer to the boundary of the sample space than to any other data point. The reason that
this presents a problem is that prediction is much more difficult near the edges of the training
sample. One must extrapolate from neighboring sample points rather than interpolate between
them. (Source: T Hastie, R Tibshirani, J Friedman. The Elements of Statistical Learning: Data
Mining, Inference, and Prediction.* Second Edition, 2009.)*
• Structural risk minimization provides a theoretical background of this phenomenon. (See
VC dimension.)
• See also bias–variance trade-off.

6.5.4 Regularization using penalization of coefficients
Regarding linear models, overfitting generally leads to excessively complex solutions (coeffi-
cient vectors), accounting for noise or spurious correlations within predictors. Regularization
aims to alleviate this phenomenon by constraining (biasing or reducing) the capacity of the
learning algorithm in order to promote simple solutions. Regularization penalizes “large” solu-
tions forcing the coefficients to be small, i.e. to shrink them toward zeros.
The objective function 𝐽(w) to minimize with respect to w is composed of a loss function 𝐿(w)
for goodness-of-fit and a penalty term Ω(w) (regularization to avoid overfitting). This is a
trade-off where the respective contribution of the loss and the penalty terms is controlled by
the regularization parameter 𝜆.
Therefore the loss function 𝐿(w) is combined with a penalty function Ω(w) leading to the
general form:
𝐽(w) = 𝐿(w) + 𝜆Ω(w).
The respective contribution of the loss and the penalty is controlled by the regularization
parameter 𝜆.
For regression problems the loss is the SSE given by:
𝑁
∑︁
𝐿(w) = 𝑆𝑆𝐸(w) = (𝑦𝑖 − x𝑇𝑖 w)2
𝑖
= ‖y − xw‖22
Popular penalties are:

• Ridge (also called ℓ2 ) penalty: ‖w‖22 . It shrinks coefficients toward 0.
• Lasso (also called ℓ1 ) penalty: ‖w‖1 . It performs feature selection by setting some coeffi-
cients to 0.
• ElasticNet (also called ℓ1 ℓ2 ) penalty: 𝛼 𝜌 ‖w‖1 + (1 − 𝜌) ‖w‖22 . It performs selection of
(︀ )︀
group of correlated features by setting some coefficients to 0.

The next figure shows the predicted performance (r-squared) on train and test sets with an in-
creasing number of input features. The number of predictive features is always 10% of the total
number of input features. Therefore, the signal to noise ratio (SNR) increases by increasing the
number of input features. The performances on the training set rapidly reach 100% (R2=1).
However, the performance on the test set decreases with the increase of the input dimension-
ality. The difference between the train and test performances (blue shaded region) depicts the
overfitting phenomena. Regularisation using penalties of the coefficient vector norm greatly
limits the overfitting phenomena.
With scikit-learn:
# Dataset with some correlation

X, y, coef = datasets.make_regression(n_samples=100, n_features=10, n_
˓→informative=5, random_state=0,
effective_rank=3, coef=True)

Fig. 4: Multicollinearity between the predictors


lr = lm.LinearRegression().fit(X, y)
l2 = lm.Ridge(alpha=10).fit(X, y) # lambda is alpha!
l1 = lm.Lasso(alpha=.1).fit(X, y) # lambda is alpha !
l1l2 = lm.ElasticNet(alpha=.1, l1_ratio=.9).fit(X, y)
pd.DataFrame(np.vstack((coef, lr.coef_, l2.coef_, l1.coef_, l1l2.coef_)),

index=['True', 'lr', 'l2', 'l1', 'l1l2'])
6.5.5 Ridge regression (ℓ2 -regularization)
Ridge regression impose a ℓ2 penalty on the coefficients, i.e. it penalizes with the Euclidean
norm of the coefficients while minimizing SSE. The objective function becomes:
𝑁
∑︁
Ridge(w) = (𝑦𝑖 − x𝑇𝑖 w)2 + 𝜆‖w‖22 (6.25)
𝑖
= ‖y − xw‖22 + 𝜆‖w‖22 . (6.26)
The w that minimises 𝐹𝑅𝑖𝑑𝑔𝑒 (w) can be found by the following derivation:
∇w Ridge(w) = 0 (6.27)
∇w (y − Xw) (y − Xw) + 𝜆w𝑇 w = 0
𝑇
(︀ )︀
(6.28)
∇w (y𝑇 y − 2w𝑇 X𝑇 y + w𝑇 X𝑇 Xw + 𝜆w𝑇 w) = 0
(︀ )︀
(6.29)
𝑇 𝑇
−2X y + 2X Xw + 2𝜆w = 0 (6.30)
−X𝑇 y + (X𝑇 X + 𝜆I)w = 0 (6.31)
𝑇 𝑇
(X X + 𝜆I)w = x y (6.32)
w = (X𝑇 X + 𝜆I)−1 x𝑇 y (6.33)
• The solution adds a positive constant to the diagonal of X𝑇 X before inversion. This makes
the problem nonsingular, even if X𝑇 X is not of full rank, and was the main motivation
behind ridge regression.
• Increasing 𝜆 shrinks the w coefficients toward 0.
• This approach penalizes the objective function by the Euclidian (:math:èll_2`) norm
of the coefficients such that solutions with large coefficients become unattractive.
The gradient of the loss:
𝐿(w, X, y) ∑︁
𝜕 = 2( x𝑖 (x𝑖 · w − 𝑦𝑖 ) + 𝜆w)
𝜕w
𝑖

6.5.6 Lasso regression (ℓ1 -regularization)
Lasso regression penalizes the coefficients by the ℓ1 norm. This constraint will reduce (bias)
the capacity of the learning algorithm. To add such a penalty forces the coefficients to be small,
i.e. it shrinks them toward zero. The objective function to minimize becomes:
𝑁
∑︁
Lasso(w) = (𝑦𝑖 − x𝑇𝑖 w)2 + 𝜆‖w‖1 . (6.34)
𝑖
This penalty forces some coefficients to be exactly zero, providing a feature selection property.
Sparsity of the ℓ1 norm
Occam’s razor
Occam’s razor (also written as Ockham’s razor, and lex parsimoniae in Latin, which means
law of parsimony) is a problem solving principle attributed to William of Ockham (1287-1347),
who was an English Franciscan friar and scholastic philosopher and theologian. The principle
can be interpreted as stating that among competing hypotheses, the one with the fewest
assumptions should be selected.
Principle of parsimony
The simplest of two competing theories is to be preferred. Definition of parsimony: Economy

of explanation in conformity with Occam’s razor.
Among possible models with similar loss, choose the simplest one:
• Choose the model with the smallest coefficient vector, i.e. smallest ℓ2 (‖w‖2 ) or ℓ1 (‖w‖1 )
norm of w, i.e. ℓ2 or ℓ1 penalty. See also bias-variance tradeoff.
• Choose the model that uses the smallest number of predictors. In other words, choose the
model that has many predictors with zero weights. Two approaches are available to obtain
this: (i) Perform a feature selection as a preprocessing prior to applying the learning
algorithm, or (ii) embed the feature selection procedure within the learning process.
Sparsity-induced penalty or embedded feature selection with the ℓ1 penalty
The penalty based on the ℓ1 norm promotes sparsity (scattered, or not dense): it forces many
coefficients to be exactly zero. This also makes the coefficient vector scattered.
The figure bellow illustrates the OLS loss under a constraint acting on the ℓ1 norm of the coef-
ficient vector. I.e., it illustrates the following optimization problem:
minimize ‖y − Xw‖22
w
subject to ‖w‖1 ≤ 1.

Fig. 5: Sparsity of L1 norm
Optimization issues
Section to be completed
• No more closed-form solution.
• Convex but not differentiable.
• Requires specific optimization algorithms, such as the fast iterative shrinkage-thresholding
algorithm (FISTA): Amir Beck and Marc Teboulle, A Fast Iterative Shrinkage-Thresholding
Algorithm for Linear Inverse Problems SIAM J. Imaging Sci., 2009.
The ridge penalty shrinks the coefficients toward zero. The figure illustrates: the OLS solution
on the left. The ℓ1 and ℓ2 penalties in the middle pane. The penalized OLS in the right pane.
The right pane shows how the penalties shrink the coefficients toward zero. The black points
are the minimum found in each case, and the white points represents the true solution used to
generate the data.

Fig. 6: ℓ1 and ℓ2 shrinkages
6.5.7 Elastic-net regression (ℓ1 -ℓ2 -regularization)
The Elastic-net estimator combines the ℓ1 and ℓ2 penalties, and results in the problem to
𝑁
∑︁
(𝑦𝑖 − x𝑇𝑖 w)2 + 𝛼 𝜌 ‖w‖1 + (1 − 𝜌) ‖w‖22 ,
(︀ )︀
Enet(w) = (6.35)
𝑖
where 𝛼 acts as a global penalty and 𝜌 as an ℓ1 /ℓ2 ratio.
Rational
• If there are groups of highly correlated variables, Lasso tends to arbitrarily select only
one from each group. These models are difficult to interpret because covariates that are
strongly associated with the outcome are not included in the predictive model. Conversely,
the elastic net encourages a grouping effect, where strongly correlated predictors tend to
be in or out of the model together.
• Studies on real world data and simulation studies show that the elastic net often outper-
forms the lasso, while enjoying a similar sparsity of representation.

6.5.8 Regression performance evaluation metrics: R-squared, MSE and MAE
Common regression metrics are:

• 𝑅2 : R-squared
• MSE: Mean Squared Error
• MAE: Mean Absolute Error
R-squared
The goodness of fit of a statistical model describes how well it fits a set of observations. Mea-
sures of goodness of fit typically summarize the discrepancy between observed values and the
values expected under the model in question. We will consider the explained variance also
known as the coefficient of determination, denoted 𝑅2 pronounced R-squared.
The total sum of squares, 𝑆𝑆tot is the sum of the sum of squares explained by the regression,
𝑆𝑆reg , plus the sum of squares of residuals unexplained by the regression, 𝑆𝑆res , also called the
SSE, i.e. such that
𝑆𝑆tot = 𝑆𝑆reg + 𝑆𝑆res
Fig. 7: title
The mean of 𝑦 is
1 ∑︁
𝑦¯ = 𝑦𝑖 .
𝑛
𝑖
The total sum of squares is the total squared sum of deviations from the mean of 𝑦, i.e.
∑︁
𝑆𝑆tot = (𝑦𝑖 − 𝑦¯)2
𝑖
The regression sum of squares, also called the explained sum of squares:
∑︁
𝑆𝑆reg = 𝑦𝑖 − 𝑦¯)2 ,
(ˆ
𝑖
where 𝑦ˆ𝑖 = 𝛽𝑥𝑖 + 𝛽0 is the estimated value of salary 𝑦ˆ𝑖 given a value of experience 𝑥𝑖 .

The sum of squares of the residuals (SSE, Sum Squared Error), also called the residual sum of
squares (RSS) is:
∑︁
𝑆𝑆res = (𝑦𝑖 − 𝑦ˆ𝑖 )2 .
𝑖
𝑅2 is the explained sum of squares of errors. It is the variance explain by the regression divided
by the total variance, i.e.
explained SS 𝑆𝑆reg 𝑆𝑆𝑟𝑒𝑠
𝑅2 = = =1− .
total SS 𝑆𝑆𝑡𝑜𝑡 𝑆𝑆𝑡𝑜𝑡
Test
ˆ 2 = 𝑆𝑆res /(𝑛 − 2) be an estimator of the variance of 𝜖. The 2 in the denominator stems
Let 𝜎
from the 2 estimated parameters: intercept and coefficient.
𝑆𝑆res
• Unexplained variance: ^2
𝜎
∼ 𝜒2𝑛−2
𝑆𝑆
• Explained variance: 𝜎^ 2reg ∼ 𝜒21 . The single degree of freedom comes from the difference
between 𝑆𝑆
^2
𝜎
tot
(∼ 𝜒2𝑛−1 ) and 𝑆𝑆
^2
𝜎
res
(∼ 𝜒2𝑛−2 ), i.e. (𝑛 − 1) − (𝑛 − 2) degree of freedom.
The Fisher statistics of the ratio of two variances:
Explained variance 𝑆𝑆reg /1
𝐹 = = ∼ 𝐹 (1, 𝑛 − 2)
Unexplained variance 𝑆𝑆res /(𝑛 − 2)
Using the 𝐹 -distribution, compute the probability of observing a value greater than 𝐹 under
𝐻0 , i.e.: 𝑃 (𝑥 > 𝐹 |𝐻0 ), i.e. the survival function (1 − Cumulative Distribution Function) at 𝑥 of
the given 𝐹 -distribution.

X, y = datasets.make_regression(random_state=0)
X_train, X_test, y_train, y_test = train_test_split(
X, y, test_size=0.2, random_state=1)
lr = lm.LinearRegression()
lr.fit(X_train, y_train)
yhat = lr.predict(X_test)
r2 = metrics.r2_score(y_test, yhat)
mse = metrics.mean_squared_error(y_test, yhat)
mae = metrics.mean_absolute_error(y_test, yhat)
print("r2: %.3f, mae: %.3f, mse: %.3f" % (r2, mae, mse))
In pure numpy:
res = y_test - lr.predict(X_test)
y_mu = np.mean(y_test)
ss_tot = np.sum((y_test - y_mu) ** 2)
ss_res = np.sum(res ** 2)

r2 = (1 - ss_res / ss_tot)
mse = np.mean(res ** 2)
mae = np.mean(np.abs(res))
print("r2: %.3f, mae: %.3f, mse: %.3f" % (r2, mae, mse))
6.6 Linear models for classification problems
Fig. 8: Linear (logistic) classification
Given a training set of 𝑁 samples, 𝐷 = {(𝑥1 , 𝑦1 ), . . . , (𝑥𝑁 , 𝑦𝑁 )} , where 𝑥𝑖 is a multidimen-

sional input vector with dimension 𝑃 and class label (target or response).
Multiclass Classification problems can be seen as several binary classification problems 𝑦𝑖 ∈
{0, 1} where the classifier aims to discriminate the sample of the current class (label 1) versus
the samples of other classes (label 0).
Therfore, for each class the classifier seek for a vector of parameters 𝑤 that performs a linear
combination of the input variables, 𝑥𝑇 𝑤. This step performs a projection or a rotation of input
sample into a good discriminative one-dimensional sub-space, that best discriminate sample of
current class vs sample of other classes.
This score (a.k.a decision function) is tranformed, using the nonlinear activation funtion 𝑓 (.), to
a “posterior probabilities” of class 1: 𝑝(𝑦 = 1|𝑥) = 𝑓 (𝑥𝑇 𝑤), where, 𝑝(𝑦 = 1|𝑥) = 1 − 𝑝(𝑦 = 0|𝑥).
The decision surfaces (orthogonal hyperplan to 𝑤) correspond to 𝑓 (𝑥) = constant, so that
𝑥𝑇 𝑤 = constant and hence the decision surfaces are linear functions of 𝑥, even if the function
𝑓 (.) is nonlinear.
A thresholding of the activation (shifted by the bias or intercept) provides the predicted class
label.

The vector of parameters, that defines the discriminative axis, minimizes an objective function
𝐽(𝑤) that is a sum of of loss function 𝐿(𝑤) and some penalties on the weights vector Ω(𝑤).
∑︁
min 𝐽 = 𝐿(𝑦𝑖 , 𝑓 (𝑥𝑖 𝑇 𝑤)) + Ω(𝑤),
𝑤
𝑖
6.6.1 Fisher’s linear discriminant with equal class covariance
This geometric method does not make any probabilistic assumptions, instead it relies on dis-
tances. It looks for the linear projection of the data points onto a vector, 𝑤, that maximizes
the between/within variance ratio, denoted 𝐹 (𝑤). Under a few assumptions, it will provide the
same results as linear discriminant analysis (LDA), explained below.
Suppose two classes of observations, 𝐶0 and 𝐶1 , have means 𝜇0 and 𝜇1 and the same total
within-class scatter (“covariance”) matrix,
∑︁ ∑︁
𝑆𝑊 = (𝑥𝑖 − 𝜇0 )(𝑥𝑖 − 𝜇0 )𝑇 + (𝑥𝑗 − 𝜇1 )(𝑥𝑗 − 𝜇1 )𝑇 (6.36)
𝑖∈𝐶0 𝑗∈𝐶1
= 𝑋𝑐 𝑇 𝑋𝑐 , (6.37)
where 𝑋𝑐 is the (𝑁 × 𝑃 ) matrix of data centered on their respective means:

[︂ ]︂
𝑋0 − 𝜇0
𝑋𝑐 = ,
𝑋1 − 𝜇1
where 𝑋0 and 𝑋1 are the (𝑁0 × 𝑃 ) and (𝑁1 × 𝑃 ) matrices of samples of classes 𝐶0 and 𝐶1 .
Let 𝑆𝐵 being the scatter “between-class” matrix, given by
𝑆𝐵 = (𝜇1 − 𝜇0 )(𝜇1 − 𝜇0 )𝑇 .
The linear combination of features 𝑤𝑇 𝑥 have means 𝑤𝑇 𝜇𝑖 for 𝑖 = 0, 1, and variance

𝑤𝑇 𝑋𝑐𝑇 𝑋𝑐 𝑤. Fisher defined the separation between these two distributions to be the ratio
of the variance between the classes to the variance within the classes:
2
𝜎between
𝐹Fisher (𝑤) = 2 (6.38)
𝜎within
(𝑤𝑇 𝜇1 − 𝑤𝑇 𝜇0 )2
= (6.39)
𝑤𝑇 𝑋𝑐𝑇 𝑋𝑐 𝑤
(𝑤𝑇 (𝜇1 − 𝜇0 ))2
= (6.40)
𝑤𝑇 (𝜇1 − 𝜇0 )(𝜇1 − 𝜇0 )𝑇 𝑤
= (6.41)
𝑤 𝑇 𝑆𝐵 𝑤
= 𝑇 . (6.42)
𝑤 𝑆𝑊 𝑤
6.6. Linear models for classification problems 271

The Fisher most discriminant projection
In the two-class case, the maximum separation occurs by a projection on the (𝜇1 − 𝜇0 ) using
the Mahalanobis metric 𝑆𝑊 −1 , so that
𝑤 ∝ 𝑆𝑊 −1 (𝜇1 − 𝜇0 ).
Demonstration
Differentiating 𝐹Fisher (𝑤) with respect to 𝑤 gives
∇𝑤 𝐹Fisher (𝑤) = 0
(︂ 𝑇 )︂
𝑤 𝑆𝐵 𝑤
∇𝑤 =0
𝑤 𝑇 𝑆𝑊 𝑤
(𝑤𝑇 𝑆𝑊 𝑤)(2𝑆𝐵 𝑤) − (𝑤𝑇 𝑆𝐵 𝑤)(2𝑆𝑊 𝑤) = 0
(𝑤𝑇 𝑆𝑊 𝑤)(𝑆𝐵 𝑤) = (𝑤𝑇 𝑆𝐵 𝑤)(𝑆𝑊 𝑤)
𝑤 𝑇 𝑆𝐵 𝑤
𝑆𝐵 𝑤 = (𝑆𝑊 𝑤)
𝑤 𝑇 𝑆𝑊 𝑤
𝑆𝐵 𝑤 = 𝜆(𝑆𝑊 𝑤)
𝑆𝑊 −1 𝑆𝐵 𝑤 = 𝜆𝑤.
Since we do not care about the magnitude of 𝑤, only its direction, we replaced the scalar factor
(𝑤𝑇 𝑆𝐵 𝑤)/(𝑤𝑇 𝑆𝑊 𝑤) by 𝜆.
In the multiple-class case, the solutions 𝑤 are determined by the eigenvectors of 𝑆𝑊 −1 𝑆𝐵 that
correspond to the 𝐾 − 1 largest eigenvalues.
However, in the two-class case (in which 𝑆𝐵 = (𝜇1 − 𝜇0 )(𝜇1 − 𝜇0 )𝑇 ) it is easy to show that
𝑤 = 𝑆𝑊 −1 (𝜇1 − 𝜇0 ) is the unique eigenvector of 𝑆𝑊 −1 𝑆𝐵 :
𝑆𝑊 −1 (𝜇1 − 𝜇0 )(𝜇1 − 𝜇0 )𝑇 𝑤 = 𝜆𝑤
𝑆𝑊 −1 (𝜇1 − 𝜇0 )(𝜇1 − 𝜇0 )𝑇 𝑆𝑊 −1 (𝜇1 − 𝜇0 ) = 𝜆𝑆𝑊 −1 (𝜇1 − 𝜇0 ),
where here 𝜆 = (𝜇1 − 𝜇0 )𝑇 𝑆𝑊 −1 (𝜇1 − 𝜇0 ). Which leads to the result
𝑤 ∝ 𝑆𝑊 −1 (𝜇1 − 𝜇0 ).
The separating hyperplane
The separating hyperplane is a 𝑃 − 1-dimensional hyper surface, orthogonal to the projection

vector, 𝑤. There is no single best way to find the origin of the plane along 𝑤, or equivalently
the classification threshold that determines whether a point should be classified as belonging
to 𝐶0 or to 𝐶1 . However, if the projected points have roughly the same distribution, then the
threshold can be chosen as the hyperplane exactly between the projections of the two means,
i.e. as
1
𝑇 = 𝑤 · (𝜇1 − 𝜇0 ).
2

Fig. 9: The Fisher most discriminant projection

%matplotlib inline
import numpy as np
import pandas as pd

from sklearn.datasets import make_classification
#np.set_printoptions(precision=2)
#pd.set_option('precision', 2)
6.6.2 Linear discriminant analysis (LDA)
Linear discriminant analysis (LDA) is a probabilistic generalization of Fisher’s linear discrimi-

nant. It uses Bayes’ rule to fix the threshold based on prior probabilities of classes.
1. First compute the class-conditional distributions of 𝑥 given class 𝐶𝑘 : 𝑝(𝑥|𝐶𝑘 ) =
𝒩 (𝑥|𝜇𝑘 , 𝑆𝑊 ). Where 𝒩 (𝑥|𝜇𝑘 , 𝑆𝑊 ) is the multivariate Gaussian distribution defined over
a P-dimensional vector 𝑥 of continuous variables, which is given by
1 1
𝒩 (𝑥|𝜇𝑘 , 𝑆𝑊 ) = exp{− (𝑥 − 𝜇𝑘 )𝑇 𝑆𝑊 −1 (𝑥 − 𝜇𝑘 )}
(2𝜋)𝑃/2 |𝑆 𝑊 |1/2 2
2. Estimate the prior probabilities of class 𝑘, 𝑝(𝐶𝑘 ) = 𝑁𝑘 /𝑁 .
3. Compute posterior probabilities (ie. the probability of a each class given a sample)
combining conditional with priors using Bayes’ rule:
𝑝(𝐶𝑘 )𝑝(𝑥|𝐶𝑘 )
𝑝(𝐶𝑘 |𝑥) =
𝑝(𝑥)
Where 𝑝(𝑥) is the marginal distribution obtained by suming of classes: As usual, the denom-
inator in Bayes’ theorem can be found in terms of the quantities appearing in the numerator,
because
∑︁
𝑝(𝑥) = 𝑝(𝑥|𝐶𝑘 )𝑝(𝐶𝑘 )
𝑘
4. Classify 𝑥 using the Maximum-a-Posteriori probability: 𝐶𝑘 = arg max𝐶𝑘 𝑝(𝐶𝑘 |𝑥)

LDA is a generative model since the class-conditional distributions cal be used to generate
samples of each classes.
LDA is useful to deal with imbalanced group sizes (eg.: 𝑁1 ≫ 𝑁0 ) since priors probabilities can
be used to explicitly re-balance the classification by setting 𝑝(𝐶0 ) = 𝑝(𝐶1 ) = 1/2 or whatever
seems relevant.
LDA can be generalised to the multiclass case with 𝐾 > 2.
With 𝑁1 = 𝑁0 , LDA lead to the same solution than Fisher’s linear discriminant.

Exercise
How many parameters are required to estimate to perform a LDA ?
from sklearn.discriminant_analysis import LinearDiscriminantAnalysis as LDA
# Dataset 2 two multivariate normal

mean0, mean1 = np.array([0, 0]), np.array([0, 2])
Cov = np.array([[1, .8],[.8, 1]])
np.random.seed(42)
X0 = np.random.multivariate_normal(mean0, Cov, n_samples)
X1 = np.random.multivariate_normal(mean1, Cov, n_samples)
X = np.vstack([X0, X1])
y = np.array([0] * X0.shape[0] + [1] * X1.shape[0])
# LDA with scikit-learn

lda = LDA()
proj = lda.fit(X, y).transform(X)
y_pred_lda = lda.predict(X)
errors = y_pred_lda != y
print("Nb errors=%i, error rate=%.2f" % (errors.sum(), errors.sum() / len(y_pred_
˓→lda)))
6.6.3 Logistic regression
Logistic regression is called a generalized linear models. ie.: it is a linear model with a link
function that maps the output of linear multiple regression to the posterior probability of class
1 𝑝(1|𝑥) using the logistic sigmoid function:
1
𝑝(1|𝑤, 𝑥𝑖 ) =
1 + exp(−𝑤 · 𝑥𝑖 )
def logistic(x): return 1 / (1 + np.exp(-x))
x = np.linspace(-6, 6, 100)
plt.plot(x, logistic(x))
plt.grid(True)
plt.title('Logistic (sigmoid)')
Logistic regression is a discriminative model since it focuses only on the posterior probability
of each class 𝑝(𝐶𝑘 |𝑥). It only requires to estimate the 𝑃 weights of the 𝑤 vector. Thus it should
be favoured over LDA with many input features. In small dimension and balanced situations it
would provide similar predictions than LDA.
However imbalanced group sizes cannot be explicitly controlled. It can be managed using a
reweighting of the input samples.

logreg = lm.LogisticRegression(penalty='none').fit(X, y)
# This class implements regularized logistic regression.
# C is the Inverse of regularization strength.
# Large value => no regularization.
logreg.fit(X, y)
y_pred_logreg = logreg.predict(X)
errors = y_pred_logreg != y
˓→logreg)))
print(logreg.coef_)
Exercise
Explore the Logistic Regression parameters and proposes a solution in cases of highly im-
balanced training dataset 𝑁1 ≫ 𝑁0 when we know that in reality both classes have the same
probability 𝑝(𝐶1 ) = 𝑝(𝐶0 ).
6.6.4 Losses
Negative log likelihood or cross-entropy
The Loss function for sample 𝑖 is the negative log of the probability:
{︃
− log(𝑝(1|𝑤, 𝑥𝑖 )) if 𝑦𝑖 = 1
𝐿(𝑤, 𝑥𝑖 , 𝑦𝑖 ) =
− log(1 − 𝑝(1|𝑤, 𝑥𝑖 ) if 𝑦𝑖 = 0
For the whole dataset 𝑋, 𝑦 = {𝑥𝑖 , 𝑦𝑖 } the loss function to minimize 𝐿(𝑤, 𝑋, 𝑦) is the negative
negative log likelihood (nll) that can be simplied using a 0/1 coding of the label in the case of
binary classification:
𝐿(𝑤, 𝑋, 𝑦) = − log ℒ(𝑤, 𝑋, 𝑦) (6.43)

= − log Π𝑖 {𝑝(1|𝑤, 𝑥𝑖 )𝑦𝑖 (1 − 𝑝(1|𝑤, 𝑥𝑖 )(1−𝑦𝑖 ) } (6.44)
∑︁
= {𝑦𝑖 log 𝑝(1|𝑤, 𝑥𝑖 ) + (1 − 𝑦𝑖 ) log(1 − 𝑝(1|𝑤, 𝑥𝑖 ))}, (6.45)
𝑖
This is known as the cross-entropy between the true label 𝑦 and the predicted probability 𝑝.
For the logistic regression case, we have:
∑︁
𝐿(𝑤, 𝑋, 𝑦) = {𝑦𝑖 𝑤 · 𝑥𝑖 − log(1 + exp(𝑤 · 𝑥𝑖 ))}
𝑖
This is solved by numerical method using the gradient of the loss:

𝐿(𝑤, 𝑋, 𝑦) ∑︁
𝜕 = 𝑥𝑖 (𝑦𝑖 − 𝑝(1|𝑤, 𝑥𝑖 ))
𝜕𝑤
𝑖
See also Scikit learn doc

Hinge loss or ℓ1 loss
TODO
6.6.5 Overfitting
VC dimension (for Vapnik–Chervonenkis dimension) is a measure of the capacity (complexity,

expressive power, richness, or flexibility) of a statistical classification algorithm, defined as the
cardinality of the largest set of points that the algorithm can shatter.
Theorem: Linear classifier in 𝑅𝑃 have VC dimension of 𝑃 + 1. Hence in dimension two (𝑃 = 2)
any random partition of 3 points can be learned.
Fig. 10: In 2D we can shatter any three non-collinear points
6.6.6 Regularization using penalization of coefficients
The penalties use in regression are also used in classification. The only difference is the loss
function generally the negative log likelihood (cross-entropy) or the hinge loss. We will explore:
• Ridge (also called ℓ2 ) penalty: ‖w‖22 . It shrinks coefficients toward 0.
• Lasso (also called ℓ1 ) penalty: ‖w‖1 . It performs feature selection by setting some coeffi-
cients to 0.
• ElasticNet (also called ℓ1 ℓ2 ) penalty: 𝛼 𝜌 ‖w‖1 + (1 − 𝜌) ‖w‖22 . It performs selection of
(︀ )︀
group of correlated features by setting some coefficients to 0.
# Dataset with some correlation

X, y = make_classification(n_samples=100, n_features=10,
n_informative=5, n_redundant=3,
n_classes=2, random_state=3, shuffle=False)
lr = lm.LogisticRegression(penalty='none').fit(X, y)
l2 = lm.LogisticRegression(penalty='l2', C=.1).fit(X, y) # lambda = 1 / C!
# use solver 'saga' to handle L1 penalty

l1 = lm.LogisticRegression(penalty='l1', C=.1, solver='saga').fit(X, y) # lambda␣
˓→= 1 / C!
l1l2 = lm.LogisticRegression(penalty='elasticnet', C=.1, l1_ratio=0.5, solver=

˓→'saga').fit(X, y) # lambda = 1 / C!
pd.DataFrame(np.vstack((lr.coef_, l2.coef_, l1.coef_, l1l2.coef_)),

index=['lr', 'l2', 'l1', 'l1l2'])

6.6.7 Ridge Fisher’s linear classification (ℓ2 -regularization)
When the matrix 𝑆𝑊 is not full rank or 𝑃 ≫ 𝑁 , the The Fisher most discriminant projection
estimate of the is not unique. This can be solved using a biased version of 𝑆𝑊 :
𝑆𝑊 𝑅𝑖𝑑𝑔𝑒 = 𝑆𝑊 + 𝜆𝐼
where 𝐼 is the 𝑃 × 𝑃 identity matrix. This leads to the regularized (ridge) estimator of the
Fisher’s linear discriminant analysis:
𝑤𝑅𝑖𝑑𝑔𝑒 ∝ (𝑆𝑊 + 𝜆𝐼)−1 (𝜇1 − 𝜇0 )
Fig. 11: The Ridge Fisher most discriminant projection
Increasing 𝜆 will:
• Shrinks the coefficients toward zero.
• The covariance will converge toward the diagonal matrix, reducing the contribution of
the pairwise covariances.
6.6.8 Ridge logistic regression (ℓ2 -regularization)
The objective function to be minimized is now the combination of the logistic loss (negative
log likelyhood) − log ℒ(𝑤) with a penalty of the L2 norm of the weights vector. In the two-class
case, using the 0/1 coding we obtain:
min Logistic ridge(𝑤) = − log ℒ(𝑤, 𝑋, 𝑦) + 𝜆 ‖𝑤‖2

𝑤
lrl2 = lm.LogisticRegression(penalty='l2', C=.1)
# This class implements regularized logistic regression. C is the Inverse of␣
˓→regularization strength.
lrl2.fit(X, y)
y_pred_l2 = lrl2.predict(X)


prob_pred_l2 = lrl2.predict_proba(X)
print("Probas of 5 first samples for class 0 and class 1:")

print(prob_pred_l2[:5, :])
print("Coef vector:")
print(lrl2.coef_)
# Retrieve proba from coef vector

probas = 1 / (1 + np.exp(- (np.dot(X, lrl2.coef_.T) + lrl2.intercept_))).ravel()
print("Diff", np.max(np.abs(prob_pred_l2[:, 1] - probas)))
errors = y_pred_l2 != y
print("Nb errors=%i, error rate=%.2f" % (errors.sum(), errors.sum() / len(y)))
6.6.9 Lasso logistic regression (ℓ1 -regularization)
The objective function to be minimized is now the combination of the logistic loss − log ℒ(𝑤)
with a penalty of the L1 norm of the weights vector. In the two-class case, using the 0/1 coding
we obtain:
min Logistic Lasso(𝑤) = − log ℒ(𝑤, 𝑋, 𝑦) + 𝜆 ‖𝑤‖1

𝑤
lrl1 = lm.LogisticRegression(penalty='l1', C=.1, solver='saga') # lambda = 1 / C!
# This class implements regularized logistic regression. C is the Inverse of␣

˓→regularization strength.
lrl1.fit(X, y)
y_pred_lrl1 = lrl1.predict(X)
errors = y_pred_lrl1 != y
˓→lrl1)))
print(lrl1.coef_)

6.6.10 Ridge linear Support Vector Machine (ℓ2 -regularization)
Support Vector Machine seek for separating hyperplane with maximum margin to enforce ro-
bustness against noise. Like logistic regression it is a discriminative method that only focuses
of predictions.
Here we present the non separable case of Maximum Margin Classifiers with ±1 coding (ie.:
𝑦𝑖 {−1, +1}). In the next figure the legend aply to samples of “dot” class.
Fig. 12: Linear lar margin classifiers
Linear SVM for classification (also called SVM-C or SVC) minimizes:
min Linear SVM(𝑤) = penalty(𝑤) + 𝐶 Hinge loss(𝑤)

∑︀𝑁
= ‖𝑤‖22 + 𝐶 𝑖 𝜉𝑖
with ∀𝑖 𝑦𝑖 (𝑤 · 𝑥𝑖 ) ≥ 1 − 𝜉𝑖
Here we introduced the slack variables: 𝜉𝑖 , with 𝜉𝑖 = 0 for points that are on or inside the
correct margin boundary and 𝜉𝑖 = |𝑦𝑖 − (𝑤 𝑐𝑑𝑜𝑡 · 𝑥𝑖 )| for other points. Thus:
1. If 𝑦𝑖 (𝑤 · 𝑥𝑖 ) ≥ 1 then the point lies outside the margin but on the correct side of the
decision boundary. In this case 𝜉𝑖 = 0. The constraint is thus not active for this point. It
does not contribute to the prediction.
2. If 1 > 𝑦𝑖 (𝑤 · 𝑥𝑖 ) ≥ 0 then the point lies inside the margin and on the correct side of the
decision boundary. In this case 0 < 𝜉𝑖 ≤ 1. The constraint is active for this point. It does
contribute to the prediction as a support vector.
3. If 0 < 𝑦𝑖 (𝑤 · 𝑥𝑖 )) then the point is on the wrong side of the decision boundary (missclassi-
fication). In this case 0 < 𝜉𝑖 > 1. The constraint is active for this point. It does contribute
to the prediction as a support vector.
This loss is called the hinge loss, defined as:
max(0, 1 − 𝑦𝑖 (𝑤 · 𝑥𝑖 ))
So linear SVM is closed to Ridge logistic regression, using the hinge loss instead of the logistic
loss. Both will provide very similar predictions.

from sklearn import svm
svmlin = svm.LinearSVC(C=.1)
# Remark: by default LinearSVC uses squared_hinge as loss
svmlin.fit(X, y)
y_pred_svmlin = svmlin.predict(X)
errors = y_pred_svmlin != y
˓→svmlin)))
print(svmlin.coef_)
6.6.11 Lasso linear Support Vector Machine (ℓ1 -regularization)
Linear SVM for classification (also called SVM-C or SVC) with l1-regularization
∑︀𝑁
min 𝐹Lasso linear SVM (𝑤) = ||𝑤||1 + 𝐶 𝑖 𝜉𝑖
with ∀𝑖 𝑦𝑖 (𝑤 · 𝑥𝑖 ) ≥ 1 − 𝜉𝑖
from sklearn import svm
svmlinl1 = svm.LinearSVC(penalty='l1', dual=False)

# Remark: by default LinearSVC uses squared_hinge as loss
svmlinl1.fit(X, y)
y_pred_svmlinl1 = svmlinl1.predict(X)
errors = y_pred_svmlinl1 != y
˓→svmlinl1)))
print(svmlinl1.coef_)
## Exercise
Compare predictions of Logistic regression (LR) and their SVM counterparts, ie.: L2 LR vs L2
SVM and L1 LR vs L1 SVM
• Compute the correlation between pairs of weights vectors.
• Compare the predictions of two classifiers using their decision function:
– Give the equation of the decision function for a linear classifier, assuming that their
is no intercept.
– Compute the correlation decision function.
– Plot the pairwise decision function of the classifiers.
• Conclude on the differences between Linear SVM and logistic regression.

6.6.12 Elastic-net classification (ℓ1 ℓ2 -regularization)
The objective function to be minimized is now the combination of the logistic loss log 𝐿(𝑤) or
the hinge loss with combination of L1 and L2 penalties. In the two-class case, using the 0/1
coding we obtain:
min Logistic enet(𝑤) = − log ℒ(𝑤, 𝑋, 𝑦) + 𝛼 𝜌 ‖𝑤‖1 + (1 − 𝜌) ‖𝑤‖22

(︀ )︀
(6.46)
min Hinge enet(𝑤) = Hinge loss(𝑤) + 𝛼 𝜌 ‖𝑤‖1 + (1 − 𝜌) ‖𝑤‖22
(︀ )︀
(6.47)
# Use SGD solver

enetlog = lm.SGDClassifier(loss="log", penalty="elasticnet",
alpha=0.1, l1_ratio=0.5, random_state=42)
enetlog.fit(X, y)
# Or saga solver:
# enetloglike = lm.LogisticRegression(penalty='elasticnet',
# C=.1, l1_ratio=0.5, solver='saga')
enethinge = lm.SGDClassifier(loss="hinge", penalty="elasticnet",

alpha=0.1, l1_ratio=0.5, random_state=42)
enethinge.fit(X, y)
print("Hinge loss and logistic loss provide almost the same predictions.")
print("Confusion matrix")
metrics.confusion_matrix(enetlog.predict(X), enethinge.predict(X))
print("Decision_function log x hinge losses:")

_ = plt.plot(enetlog.decision_function(X),
enethinge.decision_function(X), "o")
6.6.13 Classification performance evaluation metrics
source: https://en.wikipedia.org/wiki/Sensitivity_and_specificity
Imagine a study evaluating a new test that screens people for a disease. Each person taking the
test either has or does not have the disease. The test outcome can be positive (classifying the
person as having the disease) or negative (classifying the person as not having the disease). The
test results for each subject may or may not match the subject’s actual status. In that setting:
• True positive (TP): Sick people correctly identified as sick
• False positive (FP): Healthy people incorrectly identified as sick
• True negative (TN): Healthy people correctly identified as healthy
• False negative (FN): Sick people incorrectly identified as healthy
• Accuracy (ACC):
ACC = (TP + TN) / (TP + FP + FN + TN)

• Sensitivity (SEN) or recall of the positive class or true positive rate (TPR) or hit rate:
SEN = TP / P = TP / (TP+FN)
• Specificity (SPC) or recall of the negative class or true negative rate:
SPC = TN / N = TN / (TN+FP)
• Precision or positive predictive value (PPV):
PPV = TP / (TP + FP)
• Balanced accuracy (bACC):is a useful performance measure is the balanced accuracy
which avoids inflated performance estimates on imbalanced datasets (Brodersen, et
al. (2010). “The balanced accuracy and its posterior distribution”). It is defined as the
arithmetic mean of sensitivity and specificity, or the average accuracy obtained on either
class:
bACC = 1/2 * (SEN + SPC)
• F1 Score (or F-score) which is a weighted average of precision and recall are usefull to
deal with imballaced datasets
The four outcomes can be formulated in a 2×2 contingency table or confusion matrix https:
//en.wikipedia.org/wiki/Sensitivity_and_specificity
For more precision see: http://scikit-learn.org/stable/modules/model_evaluation.html

y_pred = [0, 1, 0, 0]
y_true = [0, 1, 0, 1]
metrics.accuracy_score(y_true, y_pred)
# The overall precision an recall

metrics.precision_score(y_true, y_pred)
metrics.recall_score(y_true, y_pred)
# Recalls on individual classes: SEN & SPC

recalls = metrics.recall_score(y_true, y_pred, average=None)
recalls[0] # is the recall of class 0: specificity
recalls[1] # is the recall of class 1: sensitivity
# Balanced accuracy
b_acc = recalls.mean()
# The overall precision an recall on each individual class

p, r, f, s = metrics.precision_recall_fscore_support(y_true, y_pred)

Area Under Curve (AUC) of Receiver operating characteristic (ROC)
Some classifier may have found a good discriminative projection 𝑤. However if the threshold
to decide the final predicted class is poorly adjusted, the performances will highlight an high
specificity and a low sensitivity or the contrary.
In this case it is recommended to use the AUC of a ROC analysis which basically provide a mea-
sure of overlap of the two classes when points are projected on the discriminative axis. For more
detail on ROC and AUC see:https://en.wikipedia.org/wiki/Receiver_operating_characteristic.
score_pred = np.array([.1 ,.2, .3, .4, .5, .6, .7, .8])

y_true = np.array([0, 0, 0, 0, 1, 1, 1, 1])
thres = .9
y_pred = (score_pred > thres).astype(int)
print("With a threshold of %.2f, the rule always predict 0. Predictions:" % thres)

print(y_pred)
metrics.accuracy_score(y_true, y_pred)
# The overall precision an recall on each individual class

r = metrics.recall_score(y_true, y_pred, average=None)
print("Recalls on individual classes are:", r, "ie, 100% of specificity, 0% of␣
˓→sensitivity")
# However AUC=1 indicating a perfect separation of the two classes

auc = metrics.roc_auc_score(y_true, score_pred)
print("But the AUC of %.2f demonstrate a good classes separation." % auc)
6.6.14 Imbalanced classes
Learning with discriminative (logistic regression, SVM) methods is generally based on minimiz-
ing the misclassification of training samples, which may be unsuitable for imbalanced datasets
where the recognition might be biased in favor of the most numerous class. This problem
can be addressed with a generative approach, which typically requires more parameters to be
determined leading to reduced performances in high dimension.
Dealing with imbalanced class may be addressed by three main ways (see Japkowicz and
Stephen (2002) for a review), resampling, reweighting and one class learning.
In sampling strategies, either the minority class is oversampled or majority class is undersam-
pled or some combination of the two is deployed. Undersampling (Zhang and Mani, 2003) the
majority class would lead to a poor usage of the left-out samples. Sometime one cannot afford
such strategy since we are also facing a small sample size problem even for the majority class.
Informed oversampling, which goes beyond a trivial duplication of minority class samples, re-
quires the estimation of class conditional distributions in order to generate synthetic samples.
Here generative models are required. An alternative, proposed in (Chawla et al., 2002) generate
samples along the line segments joining any/all of the k minority class nearest neighbors. Such
procedure blindly generalizes the minority area without regard to the majority class, which may
be particularly problematic with high-dimensional and potentially skewed class distribution.
Reweighting, also called cost-sensitive learning, works at an algorithmic level by adjusting
the costs of the various classes to counter the class imbalance. Such reweighting can be im-

plemented within SVM (Chang and Lin, 2001) or logistic regression (Friedman et al., 2010)
classifiers. Most classifiers of Scikit learn offer such reweighting possibilities.
The class_weight parameter can be positioned into the "balanced" mode which uses the values
of 𝑦 to automatically adjust weights inversely proportional to class frequencies in the input data
as 𝑁/(2𝑁𝑘 ).
# dataset
X, y = make_classification(n_samples=500,
n_features=5,
n_informative=2,
n_redundant=0,
n_repeated=0,
n_classes=2,
random_state=1,
shuffle=False)
print(*["#samples of class %i = %i;" % (lev, np.sum(y == lev)) for lev in np.

˓→unique(y)])
print('# No Reweighting balanced dataset')

lr_inter = lm.LogisticRegression(C=1)
lr_inter.fit(X, y)
p, r, f, s = metrics.precision_recall_fscore_support(y, lr_inter.predict(X))
print("SPC: %.3f; SEN: %.3f" % tuple(r))
print('# => The predictions are balanced in sensitivity and specificity\n')
# Create imbalanced dataset, by subsampling sample of class 0: keep only 10% of

# class 0's samples and all class 1's samples.
n0 = int(np.rint(np.sum(y == 0) / 20))
subsample_idx = np.concatenate((np.where(y == 0)[0][:n0], np.where(y == 1)[0]))
Ximb = X[subsample_idx, :]
yimb = y[subsample_idx]
print(*["#samples of class %i = %i;" % (lev, np.sum(yimb == lev)) for lev in
np.unique(yimb)])
print('# No Reweighting on imbalanced dataset')

lr_inter = linear_model.LogisticRegression(C=1)
lr_inter.fit(Ximb, yimb)
p, r, f, s = metrics.precision_recall_fscore_support(yimb, lr_inter.predict(Ximb))
print('# => Sensitivity >> specificity\n')
print('# Reweighting on imbalanced dataset')

lr_inter_reweight = linear_model.LogisticRegression(C=1, class_weight="balanced")
lr_inter_reweight.fit(Ximb, yimb)
p, r, f, s = metrics.precision_recall_fscore_support(yimb,
lr_inter_reweight.
˓→predict(Ximb))

print('# => The predictions are balanced in sensitivity and specificity\n')

6.6.15 Confidence interval cross-validation
Confidence interval CI classification accuracy measured by cross-validation:
6.6.16 Significance of classification metrics
P-value of classification accuracy: Compare the number of correct classifications (=accuracy

×𝑁 ) to the null hypothesis of Binomial distribution of parameters 𝑝 (typically 50% of chance
level) and 𝑁 (Number of observations). Is 60% accuracy a significant prediction rate among 50
observations? Since this is an exact, two-sided test of the null hypothesis, the p-value can be
divided by two since we test that the accuracy is superior to the chance level.
P-value of ROC-AUC: ROC-AUC measures the ranking of the two classes. Therefore non-
parametric test can be used to asses the significance of the classes’s separation. Mason and
Graham (RMetS, 2002) show that the ROC area is equivalent to the Mann–Whitney U-statistic.
Mann–Whitney U test (also called the Mann–Whitney–Wilcoxon, Wilcoxon rank-sum test or
Wilcoxon–Mann–Whitney test) is a nonparametric
import numpy as np
N_test = 50
X, y = make_classification(n_samples=200, random_state=42, shuffle=False, class_
˓→sep=0.80)
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=N_test,␣

˓→random_state=42)
lr = lm.LogisticRegression().fit(X_train, y_train)
y_pred = lr.predict(X_test)


proba_pred = lr.predict_proba(X_test)[:, 1]
acc = metrics.accuracy_score(y_test, y_pred)

bacc = metrics.balanced_accuracy_score(y_test, y_pred)
auc = metrics.roc_auc_score(y_test, proba_pred)
print("ACC=%.2f, bACC=%.2f, AUC=%.2f," % (acc, bacc, auc))
import scipy.stats
#acc, N = 0.65, 70
acc_pval = scipy.stats.binom_test(x=int(acc * N_test), n=N_test, p=0.5) / 2
auc_pval = scipy.stats.mannwhitneyu(proba_pred[y_test==0], proba_pred[y_test==1]).
˓→pvalue
def is_significant(pval): return True if pval < 0.05 else False
print("ACC=%.2f (pval=%.3f, significance=%r), AUC=%.2f (pval=%.3f, significance=

˓→%r)" %\
(acc, acc_pval, is_significant(acc_pval), auc, auc_pval, is_significant(auc_

˓→pval)))
6.6.17 Exercise
Fisher linear discriminant rule
Write a class FisherLinearDiscriminant that implements the Fisher’s linear discriminant anal-
ysis. This class must be compliant with the scikit-learn API by providing two methods: - fit(X,
y) which fits the model and returns the object itself; - predict(X) which returns a vector of the
predicted values. Apply the object on the dataset presented for the LDA.
6.7 Non-linear models
Here we focuse on non-linear models for classification. Nevertheless, each classification model
has its regression counterpart.
# get_ipython().run_line_magic('matplotlib', 'inline')
import numpy as np
import pandas as pd
from sklearn.svm import SVC

from sklearn.preprocessing import StandardScaler
6.7. Non-linear models 287


np.set_printoptions(precision=2)
# pd.set_option('precision', 2)
6.7.1 Support Vector Machines (SVM)
SVM are based kernel methods require only a user-specified kernel function 𝐾(𝑥𝑖 , 𝑥𝑗 ), i.e., a
similarity function over pairs of data points (𝑥𝑖 , 𝑥𝑗 ) into kernel (dual) space on which learning
algorithms operate linearly, i.e. every operation on points is a linear combination of 𝐾(𝑥𝑖 , 𝑥𝑗 ).
Outline of the SVM algorithm:
1. Map points 𝑥 into kernel space using a kernel function: 𝑥 → 𝐾(𝑥, .).
2. Learning algorithms operates linearly by dot product into high-kernel space 𝐾(., 𝑥𝑖 ) ·
𝐾(., 𝑥𝑗 ).
• Using the kernel trick (Mercer’s Theorem) replaces dot product in high dimensional
space by a simpler operation such that 𝐾(., 𝑥𝑖 ) · 𝐾(., 𝑥𝑗 ) = 𝐾(𝑥𝑖 , 𝑥𝑗 ). Thus we only
need to compute a similarity measure for each pairs of point and store in a 𝑁 × 𝑁
Gram matrix.
• Finally, The learning process consist of estimating the $alpha_i$ of the decision func-
tion that maximises the hinge loss (of 𝑓 (𝑥)) plus some penalty when applied on all
training points.
(︃ 𝑁 )︃
∑︁
𝑓 (𝑥) = sign 𝛼𝑖 𝑦𝑖 𝐾(𝑥𝑖 , 𝑥) .
𝑖
3. Predict a new point $x$ using the decision function.

Gaussian kernel (RBF, Radial Basis Function):
One of the most commonly used kernel is the Radial Basis Function (RBF) Kernel. For a pair of
points 𝑥𝑖 , 𝑥𝑗 the RBF kernel is defined as:
‖𝑥𝑖 − 𝑥𝑗 ‖2
(︂ )︂
𝐾(𝑥𝑖 , 𝑥𝑗 ) = exp − (6.48)
2𝜎 2
= exp −𝛾 ‖𝑥𝑖 − 𝑥𝑗 ‖2
(︀ )︀
(6.49)
Where 𝜎 (or 𝛾) defines the kernel width parameter. Basically, we consider a Gaussian function
centered on each training sample 𝑥𝑖 . it has a ready interpretation as a similarity measure as it
decreases with squared Euclidean distance between the two feature vectors.
Non linear SVM also exists for regression problems.
dataset

X, y = datasets.load_breast_cancer(return_X_y=True)
X_train, X_test, y_train, y_test = \
train_test_split(X, y, test_size=0.5, stratify=y, random_state=42)
Preprocessing: unequal variance of input features, requires scaling for svm.
ax = sns.displot(x=X_train.std(axis=0), kind="kde", bw_adjust=.2, cut=0,

fill=True, height=3, aspect=1.5,)
_ = ax.set_xlabels("Std-dev").tight_layout()
scaler = StandardScaler()
X_train = scaler.fit_transform(X_train)
X_test = scaler.transform(X_test)

Fit-predict Probalility is a logistic of the decision_function
svm = SVC(kernel='rbf', probability=True).fit(X_train, y_train)

y_pred = svm.predict(X_test)
y_score = svm.decision_function(X_test)
y_prob = svm.predict_proba(X_test)[:, 1]
ax = sns.relplot(x=y_score, y=y_prob, hue=y_pred, height=2, aspect=1.5)

_ = ax.set_axis_labels("decision function", "Probability").tight_layout()
print("bAcc: %.2f, AUC: %.2f (AUC with proba: %.2f)" % (

metrics.balanced_accuracy_score(y_true=y_test, y_pred=y_pred),
metrics.roc_auc_score(y_true=y_test, y_score=y_score),
metrics.roc_auc_score(y_true=y_test, y_score=y_prob)))
# Usefull internals: indices of support vectors within original X

np.all(X_train[svm.support_, :] == svm.support_vectors_)
bAcc: 0.96, AUC: 0.99 (AUC with proba: 0.99)
np.True_

6.7.2 Random forest
Decision tree
A tree can be “learned” by splitting the training dataset into subsets based on an features value
test. Each internal node represents a “test” on an feature resulting on the split of the current
sample. At each step the algorithm selects the feature and a cutoff value that maximises a given
metric. Different metrics exist for regression tree (target is continuous) or classification tree
(the target is qualitative). This process is repeated on each derived subset in a recursive manner
called recursive partitioning. The recursion is completed when the subset at a node has all the
same value of the target variable, or when splitting no longer adds value to the predictions.
This general principle is implemented by many recursive partitioning tree algorithms.
Decision trees are simple to understand and interpret however they tend to overfit the data.
However decision trees tend to overfit the training set. Leo Breiman propose random forest to
deal with this issue.
A single decision tree is usually overfits the data it is learning from because it learn from only
one pathway of decisions. Predictions from a single decision tree usually don’t make accurate
predictions on new data.
Forest
A random forest is a meta estimator that fits a number of decision tree learners on various
sub-samples of the dataset and use averaging to improve the predictive accuracy and control
over-fitting. Random forest models reduce the risk of overfitting by introducing randomness by:
• building multiple trees (n_estimators)
• drawing observations with replacement (i.e., a bootstrapped sample)
• splitting nodes on the best split among a random subset of the features selected at every
node
from sklearn.ensemble import RandomForestClassifier
forest = RandomForestClassifier(n_estimators = 100)

forest.fit(X_train, y_train)

y_pred = forest.predict(X_test)
y_prob = forest.predict_proba(X_test)[:, 1]
print("bAcc: %.2f, AUC: %.2f " % (

bAcc: 0.95, AUC: 0.98
Extra Trees (Low Variance)

Extra Trees is like Random Forest, in that it builds multiple trees and splits nodes using random
subsets of features, but with two key differences: it does not bootstrap observations (meaning
it samples without replacement), and nodes are split on random splits, not best splits. So, in
summary, ExtraTrees: builds multiple trees with bootstrap = False by default, which means it
samples without replacement nodes are split based on random splits among a random subset of
the features selected at every node In Extra Trees, randomness doesn’t come from bootstrapping
of data, but rather comes from the random splits of all observations. ExtraTrees is named for
(Extremely Randomized Trees).
6.7.3 Gradient boosting
Gradient boosting is a meta estimator that fits a sequence of weak learners. Each learner
aims to reduce the residuals (errors) produced by the previous learner. The two main hyper-
parameters are:
• The learning rate (lr) controls over-fitting: decreasing the lr limits the capacity of a
learner to overfit the residuals, ie, it slows down the learning speed and thus increases the
regularisation.
• The sub-sampling fraction controls the fraction of samples to be used for fitting the
learners. Values smaller than 1 leads to Stochastic Gradient Boosting. It thus controls
for over-fitting reducing variance and incresing bias.
from sklearn.ensemble import GradientBoostingClassifier


gb = GradientBoostingClassifier(n_estimators=100, learning_rate=0.1,
subsample=0.5, random_state=0)
gb.fit(X_train, y_train)
y_pred = gb.predict(X_test)
y_prob = gb.predict_proba(X_test)[:, 1]
print("bAcc: %.2f, AUC: %.2f " % (

bAcc: 0.94, AUC: 0.99
6.8 Resampling methods
import numpy as np
import pandas as pd

from sklearn.model_selection import train_test_split, KFold, PredefinedSplit
from sklearn.model_selection import cross_val_score, GridSearchCV

X, y = datasets.make_regression(n_samples=100, n_features=100,
n_informative=10, random_state=42)
6.8. Resampling methods 293

6.8.1 Train, validation and test sets
Machine learning algorithms overfit taining data. Predictive performances MUST be evaluated
on independant hold-out dataset.
1. Training dataset: Dataset used to fit the model (set the model parameters like weights).
The training error can be easily calculated by applying the statistical learning method to
the observations used in its training. But because of overfitting, the training error rate
can dramatically underestimate the error that would be obtained on new samples.
2. Validation dataset: Dataset used to provide an unbiased evaluation of a model fit on
the training dataset while tuning model hyperparameters, ie. model selection. The
validation error is the average error that results from a learning method to predict the
response on a new (validation) samples that is, on samples that were not used in training
the method.
3. Test dataset: Dataset used to provide an unbiased evaluation of a final model fitted on
the training dataset. It is only used once a model is completely trained (using the train
and validation sets).

What is the Difference Between Test and Validation Datasets? by [Jason Brownlee](https://
machinelearningmastery.com/difference-test-validation-datasets/)
Thus the original dataset is generally split in a training, validation and a test data sets. Large
training+validation set (80%) small test set (20%) might provide a poor estimation of the pre-
dictive performances (same argument stands for train vs validation samples). On the contrary,
large test set and small training set might produce a poorly estimated learner. This is why,
on situation where we cannot afford such split, cross-validation scheme can be use for model
selection or/and for model evaluation.
If sample size is limited, train/validation/test split may not be possible. Cross Validation (CV)
(see below) can be used to replace:
• Outer (train/test) split of model evaluation.
• Inner train/validation split of model selection (more frequent situation).
• Inner and outer splits, leading to two nested CV.
6.8.2 Split dataset in train/test sets for model evaluation
X_train, X_test, y_train, y_test =\

train_test_split(X, y, test_size=0.25, shuffle=True, random_state=42)
mod = lm.Ridge(alpha=10)
mod.fit(X_train, y_train)
y_pred_test = mod.predict(X_test)
print("Test R2: %.2f" % metrics.r2_score(y_test, y_pred_test))
Test R2: 0.74
6.8.3 Train/validation/test splits: model selection and model evaluation
The Grid search procedure (GridSearchCV) performs a model selection of the best hyper-
parameters 𝛼 over a grid of possible values. Train set is “splitted (inner split) into
train/validation sets.
Model selection with grid search procedure:
1. Fit the learner (ie. estimate parameters Ω𝑘 ) on training set: X𝑡𝑟𝑎𝑖𝑛 , y𝑡𝑟𝑎𝑖𝑛 → 𝑓𝛼𝑘 ,Ω𝑘 (.)
2. Evaluate the model on the validation set and keep the hyper-parameter(s) that minimises
the error measure 𝛼* = arg min 𝐿(𝑓𝛼𝑘 ,Ω𝑘 (X𝑣𝑎𝑙 ), y𝑣𝑎𝑙 )
3. Refit the learner on all training + validation data, X𝑡𝑟𝑎𝑖𝑛∪𝑣𝑎𝑙 , y𝑡𝑟𝑎𝑖𝑛∪𝑣𝑎𝑙 , using the best
hyper parameters (𝛼* ): → 𝑓𝛼* ,Ω* (.)
Model evaluation: on the test set: 𝐿(𝑓𝛼* ,Ω* (X𝑡𝑒𝑠𝑡 ), y𝑡𝑒𝑠𝑡 )
train_idx, validation_idx = train_test_split(np.arange(X_train.shape[0]),

test_size=0.25, shuffle=True,


random_state=42)
split_inner = PredefinedSplit(test_fold=validation_idx)
print("Train set size: %i" % X_train[train_idx].shape[0])
print("Validation set size: %i" % X_train[validation_idx].shape[0])
print("Test set size: %i" % X_test.shape[0])
lm_cv = GridSearchCV(lm.Ridge(), {'alpha': 10. ** np.arange(-3, 3)},

cv=split_inner, n_jobs=5)
# Fit, indluding model selection with internal Train/validation split

lm_cv.fit(X_train, y_train)
# Predict
y_pred_test = lm_cv.predict(X_test)
print("Test R2: %.2f" % metrics.r2_score(y_test, y_pred_test))
Train set size: 56

Validation set size: 19
Test set size: 25
˓→sklearn/model_selection/_search.py:1103: UserWarning: One or more of the test␣
˓→scores are non-finite: [nan nan nan nan nan nan]
warnings.warn(
Test R2: 0.80
6.8.4 Cross-Validation (CV)
If sample size is limited, train/validation/test split may not be possible. Cross Validation (CV)
can be used to replace train/validation split and/or train+validation / test split.
Cross-Validation scheme randomly divides the set of observations into K groups, or folds, of
approximately equal size. The first fold is treated as a validation set, and the method 𝑓 () is
fitted on the remaining union of K - 1 folds: (𝑓 (𝑋 −𝐾 , 𝑦 −𝐾 )). The measure of performance
(the score function 𝒮), either a error measure or an correct prediction measure is an average
of a loss error or correct prediction measure, noted ℒ, between a true target value and the
predicted target value. The score function is evaluated of the on the observations in the held-
out fold. For each sample i we consider the model estimated 𝑓 (𝑋 −𝑘(𝑖) , 𝑦 −𝑘(𝑖) on the data set
without the group k that contains i noted -k(i). This procedure is repeated K times; each time,
a different group of observations is treated as a test set. Then we compare the predicted value
(𝑓−𝑘(𝑖) (𝑥𝑖 ) = 𝑦ˆ𝑖 ) with true value 𝑦𝑖 using a Error or Loss function ℒ(𝑦, 𝑦ˆ).
For 10-fold we can either average over 10 values (Macro measure) or concatenate the 10 ex-
periments and compute the micro measures.
Two strategies [micro vs macro estimates](https://stats.stackexchange.com/questions/34611/
meanscores-vs-scoreconcatenation-in-cross-validation):
• Micro measure: average(individual scores): compute a score 𝒮 for each sample and
average over all samples. It is simillar to average score(concatenation): an averaged
score computed over all concatenated samples.

• Macro measure mean(CV scores) (the most commonly used method): compute a score
𝒮 on each each fold k and average accross folds:
These two measures (an average of average vs. a global average) are generaly similar. They
may differ slightly is folds are of different sizes. This validation scheme is known as the K-Fold
CV. Typical choices of K are 5 or 10, [Kohavi 1995]. The extreme case where K = N is known
as leave-one-out cross-validation, LOO-CV.
CV for regression
Usually the error function ℒ() is the r-squared score. However other function (MAE, MSE) can
be used.
CV with explicit loop:
from sklearn.model_selection import KFold
estimator = lm.Ridge(alpha=10)
cv = KFold(n_splits=5, shuffle=True, random_state=42)

r2_train, r2_test = list(), list()
for train, test in cv.split(X):

estimator.fit(X[train, :], y[train])
r2_train.append(metrics.r2_score(y[train], estimator.predict(X[train, :])))
r2_test.append(metrics.r2_score(y[test], estimator.predict(X[test, :])))
print("Train r2:%.2f" % np.mean(r2_train))

print("Test r2:%.2f" % np.mean(r2_test))
Train r2:0.99
Test r2:0.67
Scikit-learn provides user-friendly function to perform CV:

cross_val_score(): single metric
from sklearn.model_selection import cross_val_score
scores = cross_val_score(estimator=estimator, X=X, y=y, cv=5)

print("Test r2:%.2f" % scores.mean())
cv = KFold(n_splits=5, shuffle=True, random_state=42)

scores = cross_val_score(estimator=estimator, X=X, y=y, cv=cv)
Test r2:0.73
Test r2:0.67
cross_validate(): multi metric, + time, etc.

from sklearn.model_selection import cross_validate
scores = cross_validate(estimator=mod, X=X, y=y, cv=cv,

scoring=['r2', 'neg_mean_absolute_error'])
print("Test R2:%.2f; MAE:%.2f" % (scores['test_r2'].mean(),

-scores['test_neg_mean_absolute_error'].mean()))
Test R2:0.67; MAE:55.27
CV for classification: stratifiy for the target label
With classification problems it is essential to sample folds where each set contains approximately
the same percentage of samples of each target class as the complete set. This is called strati-
fication. In this case, we will use StratifiedKFold with is a variation of k-fold which returns
stratified folds. Usually the error function 𝐿() are, at least, the sensitivity and the specificity.
However other function could be used.
CV with explicit loop:
from sklearn.model_selection import StratifiedKFold
X, y = datasets.make_classification(n_samples=100, n_features=100, shuffle=True,

n_informative=10, random_state=42)
mod = lm.LogisticRegression(C=1, solver='lbfgs')
cv = StratifiedKFold(n_splits=5)
# Lists to store scores by folds (for macro measure only)

bacc, auc = [], []
for train, test in cv.split(X, y):

mod.fit(X[train, :], y[train])
bacc.append(metrics.roc_auc_score(y[test], mod.decision_function(X[test, :])))
auc.append(metrics.balanced_accuracy_score(y[test], mod.predict(X[test, :])))
print("Test AUC:%.2f; bACC:%.2f" % (np.mean(bacc), np.mean(auc)))
Test AUC:0.86; bACC:0.79
cross_val_score(): single metric
scores = cross_val_score(estimator=mod, X=X, y=y, cv=5)
print("Test ACC:%.2f" % scores.mean())
Test ACC:0.79
Provide your own CV and score

def balanced_acc(estimator, X, y, **kwargs):

"""Balanced acuracy scorer."""
return metrics.recall_score(y, estimator.predict(X), average=None).mean()
scores = cross_val_score(estimator=mod, X=X, y=y, cv=cv,

scoring=balanced_acc)
print("Test bACC:%.2f" % scores.mean())
Test bACC:0.79
cross_validate(): multi metric, + time, etc.
scores = cross_validate(estimator=mod, X=X, y=y, cv=cv,

scoring=['balanced_accuracy', 'roc_auc'])
print("Test AUC:%.2f; bACC:%.2f" % (scores['test_roc_auc'].mean(),

scores['test_balanced_accuracy'].mean()))
Test AUC:0.86; bACC:0.79
6.8.5 Cross-validation for model selection
Combine CV and grid search: Re-split (inner split) train set into CV folds train/validation folds
and build a GridSearchCV out of it:
# Outer split:
X_train, X_test, y_train, y_test =\
train_test_split(X, y, test_size=0.25, shuffle=True, random_state=42)
cv_inner = StratifiedKFold(n_splits=5, shuffle=True, random_state=42)
# Cross-validation for model selection

lm_cv = GridSearchCV(lm.LogisticRegression(), {'C': 10. ** np.arange(-3, 3)},
cv=cv_inner, n_jobs=5)
# Fit, indluding model selection with internal CV

lm_cv.fit(X_train, y_train)
# Predict
y_pred_test = lm_cv.predict(X_test)
print("Test bACC: %.2f" % metrics.balanced_accuracy_score(y_test, y_pred_test))
Test bACC: 0.75

6.8.6 Cross-validation for both model (outer) evaluation and model (inner) selection
cv_outer = StratifiedKFold(n_splits=5, shuffle=True, random_state=42)

cv_inner = StratifiedKFold(n_splits=5, shuffle=True, random_state=42)
# Cross-validation for model (inner) selection

lm_cv = GridSearchCV(lm.Ridge(), {'alpha': 10. ** np.arange(-3, 3)},
cv=cv_inner, n_jobs=5)
# Cross-validation for model (outer) evaluation

scores = cross_validate(estimator=mod, X=X, y=y, cv=cv_outer,
scoring=['balanced_accuracy', 'roc_auc'])
print("Test AUC:%.2f; bACC:%.2f, Time: %.2fs" % (scores['test_roc_auc'].mean(),

scores['test_balanced_accuracy'].mean(),
scores['fit_time'].sum()))
Test AUC:0.85; bACC:0.74, Time: 0.01s
6.8.7 Models with built-in cross-validation
Let sklearn select the best parameters over a default grid.

Classification
print("== Logistic Ridge (L2 penalty) ==")

mod_cv = lm.LogisticRegressionCV(class_weight='balanced', scoring='balanced_
˓→accuracy',
n_jobs=-1, cv=5)
scores = cross_val_score(estimator=mod_cv, X=X, y=y, cv=5)
print("Test ACC:%.2f" % scores.mean())
== Logistic Ridge (L2 penalty) ==

Test ACC:0.79
Regression
X, y, coef = datasets.make_regression(n_samples=50, n_features=100, noise=10,

n_informative=2, random_state=42, coef=True)
print("== Ridge (L2 penalty) ==")

model = lm.RidgeCV(cv=3)
scores = cross_val_score(estimator=model, X=X, y=y, cv=5)
print("== Lasso (L1 penalty) ==")

model = lm.LassoCV(n_jobs=-1, cv=3)


print("== ElasticNet (L1 penalty) ==")
model = lm.ElasticNetCV(l1_ratio=[.1, .5, .9], n_jobs=-1, cv=3)
== Ridge (L2 penalty) ==

Test r2:0.16
== Lasso (L1 penalty) ==
Test r2:0.74
== ElasticNet (L1 penalty) ==
Test r2:0.58
6.8.8 Random Permutations: sample the null distribution
A permutation test is a type of non-parametric randomization test in which the null distribution
of a test statistic is estimated by randomly permuting the observations.
Permutation tests are highly attractive because they make no assumptions other than that the
observations are independent and identically distributed under the null hypothesis.
1. Compute a observed statistic 𝑡𝑜𝑏𝑠 on the data.
2. Use randomization to compute the distribution of 𝑡 under the null hypothesis: Perform 𝑁
random permutation of the data. For each sample of permuted data, 𝑖 the data compute
the statistic 𝑡𝑖 . This procedure provides the distribution of t under the null hypothesis 𝐻0 :
𝑃 (𝑡|𝐻0 )
3. Compute the p-value = 𝑃 (𝑡 > 𝑡𝑜𝑏𝑠 |𝐻0 ) |{𝑡𝑖 > 𝑡𝑜𝑏𝑠 }|, where 𝑡′𝑖 𝑠𝑖𝑛𝑐𝑙𝑢𝑑𝑒 : 𝑚𝑎𝑡ℎ : ‘𝑡𝑜𝑏𝑠 .
Example Ridge regression
Sample the distributions of r-squared and coefficients of ridge regression under the null hypoth-
esis. Simulated dataset:
# Regression dataset where first 2 features are predictives

np.random.seed(0)
n_features = 5
n_features_info = 2
n_samples = 100
X = np.random.randn(100, 5)
beta = np.zeros(n_features)
beta[:n_features_info] = 1
Xbeta = np.dot(X, beta)
eps = np.random.randn(n_samples)
y = Xbeta + eps

6.8.9 Random permutations
# Fit model on all data (!! risk of overfit)

model = lm.RidgeCV()
model.fit(X, y)
print("Coefficients on all data:")
print(model.coef_)
# Random permutation loop

nperm = 1000 # !! Should be at least 1000 (to assess a p-value at 1%)
scores_names = ["r2"]
scores_perm = np.zeros((nperm + 1, len(scores_names)))
coefs_perm = np.zeros((nperm + 1, X.shape[1]))
scores_perm[0, :] = metrics.r2_score(y, model.predict(X))

coefs_perm[0, :] = model.coef_
orig_all = np.arange(X.shape[0])
for perm_i in range(1, nperm + 1):
model.fit(X, np.random.permutation(y))
y_pred = model.predict(X).ravel()
scores_perm[perm_i, :] = metrics.r2_score(y, y_pred)
coefs_perm[perm_i, :] = model.coef_
# One-tailed empirical p-value

pval_pred_perm = np.sum(scores_perm >= scores_perm[0]) / scores_perm.shape[0]
pval_coef_perm = np.sum(coefs_perm >= coefs_perm[0, :], axis=0) / coefs_perm.
˓→shape[0]
print("R2 p-value: %.3f" % pval_pred_perm)

print("Coeficients p-values:", np.round(pval_coef_perm, 3))
Coefficients on all data:

[ 1.02 1.06 0.21 -0.02 -0.05]
R2 p-value: 0.001
Coeficients p-values: [0. 0. 0.1 0.57 0.63]
Compute p-values corrected for multiple comparisons using FWER max-T (Westfall and Young,
1993) procedure.
pval_coef_perm_tmax = np.array([np.sum(coefs_perm.max(axis=1) >= coefs_perm[0, j])

for j in range(coefs_perm.shape[1])]) / coefs_
˓→perm.shape[0]
print("P-values with FWER (Westfall and Young) correction")

print(pval_coef_perm_tmax)
P-values with FWER (Westfall and Young) correction

[0. 0. 0.41 0.98 0.99]
Plot distribution of third coefficient under null-hypothesis Coeffitients 0 and 1 are significantly
different from 0.

def hist_pvalue(perms, ax, name):

"""Plot statistic distribution as histogram.
Paramters
---------
perms: 1d array, statistics under the null hypothesis.
perms[0] is the true statistic .
"""
# Re-weight to obtain distribution
pval = np.sum(perms >= perms[0]) / perms.shape[0]
weights = np.ones(perms.shape[0]) / perms.shape[0]
ax.hist([perms[perms >= perms[0]], perms], histtype='stepfilled',
bins=100, label="p-val<%.3f" % pval,
weights=[weights[perms >= perms[0]], weights])
ax.axvline(x=perms[0], color="k", linewidth=2)#, label="observed statistic")
ax.set_ylabel(name)
ax.legend()
return ax
n_coef = coefs_perm.shape[1]
fig, axes = plt.subplots(n_coef, 1, figsize=(12, 9))
for i in range(n_coef):
hist_pvalue( coefs_perm[:, i], axes[i], str(i))
_ = axes[-1].set_xlabel("Coefficient distribution under null hypothesis")

Exercise
Given the logistic regression presented above and its validation given a 5 folds CV.
1. Compute the p-value associated with the prediction accuracy measured with 5CV using a
permutation test.
2. Compute the p-value associated with the prediction accuracy using a parametric test.
6.8.10 Bootstrapping
Bootstrapping is a statistical technique which consists in generating sample (called bootstrap

samples) from an initial dataset of size N by randomly drawing with replacement N observa-
tions. It provides sub-samples with the same distribution than the original dataset. It aims
to:
1. Assess the variability (standard error, [confidence intervals.](https://
sebastianraschka.com/blog/2016/model-evaluation-selection-part2.html#
the-bootstrap-method-and-empirical-confidence-intervals)) of performances scores
or estimated parameters (see Efron et al. 1986).
2. Regularize model by fitting several models on bootstrap samples and averaging their pre-
dictions (see Baging and random-forest).
A great advantage of bootstrap is its simplicity. It is a straightforward way to derive estimates of
standard errors and confidence intervals for complex estimators of complex parameters of the
distribution, such as percentile points, proportions, odds ratio, and correlation coefficients.
1. Perform 𝐵 sampling, with replacement, of the dataset.
2. For each sample 𝑖 fit the model and compute the scores.
3. Assess standard errors and confidence intervals of scores using the scores obtained on the
𝐵 resampled dataset. Or, average models predictions.
References:
[Efron B, Tibshirani R. Bootstrap methods for standard errors, confidence intervals, and other
measures of statistical accuracy. Stat Sci 1986;1:54–75](https://projecteuclid.org/download/
pdf_1/euclid.ss/1177013815)
# Bootstrap loop
nboot = 100 # !! Should be at least 1000
scores_names = ["r2"]
scores_boot = np.zeros((nboot, len(scores_names)))
coefs_boot = np.zeros((nboot, X.shape[1]))
orig_all = np.arange(X.shape[0])
for boot_i in range(nboot):
boot_tr = np.random.choice(orig_all, size=len(orig_all), replace=True)
boot_te = np.setdiff1d(orig_all, boot_tr, assume_unique=False)
Xtr, ytr = X[boot_tr, :], y[boot_tr]
Xte, yte = X[boot_te, :], y[boot_te]
model.fit(Xtr, ytr)
y_pred = model.predict(Xte).ravel()


scores_boot[boot_i, :] = metrics.r2_score(yte, y_pred)
coefs_boot[boot_i, :] = model.coef_
Compute Mean, SE, CI Coeffitients 0 and 1 are significantly different from 0.
scores_boot = pd.DataFrame(scores_boot, columns=scores_names)

scores_stat = scores_boot.describe(percentiles=[.975, .5, .025])
print("r-squared: Mean=%.2f, SE=%.2f, CI=(%.2f %.2f)" % tuple(scores_stat.

˓→loc[["mean", "std", "2.5%", "97.5%"], "r2"]))
coefs_boot = pd.DataFrame(coefs_boot)
coefs_stat = coefs_boot.describe(percentiles=[.975, .5, .025])
print("Coefficients distribution")
print(coefs_stat)
r-squared: Mean=0.59, SE=0.09, CI=(0.40 0.73)

Coefficients distribution
0 1 2 3 4
count 100.000000 100.000000 100.000000 100.000000 100.000000
mean 1.017598 1.053832 0.212464 -0.018828 -0.045851
std 0.091508 0.105196 0.097532 0.097343 0.110555
min 0.631917 0.819190 -0.002689 -0.231580 -0.270810
2.5% 0.857418 0.883319 0.032672 -0.195018 -0.233241
50% 1.027161 1.038053 0.216531 -0.010023 -0.063331
97.5% 1.174707 1.289990 0.392701 0.150340 0.141587
max 1.204006 1.449672 0.432764 0.220711 0.290928
Plot coefficient distribution
df = pd.DataFrame(coefs_boot)
staked = pd.melt(df, var_name="Variable", value_name="Coef. distribution")
sns.set_theme(style="whitegrid")
ax = sns.violinplot(x="Variable", y="Coef. distribution", data=staked)
_ = ax.axhline(0, ls='--', lw=2, color="black")

6.8.11 Parallel computation with joblib
Dataset
import numpy as np
from sklearn.model_selection import StratifiedKFold
X, y = datasets.make_classification(n_samples=20, n_features=5, n_informative=2,␣
˓→random_state=42)
cv = StratifiedKFold(n_splits=5)
Use cross_validate function
estimator = lm.LogisticRegression(C=1, solver='lbfgs')

cv_results = cross_validate(estimator, X, y, cv=cv, n_jobs=5)
print(np.mean(cv_results['test_score']), cv_results['test_score'])
0.8 [0.5 0.5 1. 1. 1. ]
Sequential computation

If we want have full control of the operations performed within each fold (retrieve the models
parameters, etc.). We would like to parallelize the folowing sequetial code:
# In[22]:

y_test_pred_seq = np.zeros(len(y)) # Store predictions in the original order
coefs_seq = list()
for train, test in cv.split(X, y):
X_train, X_test, y_train, y_test = X[train, :], X[test, :], y[train], y[test]
estimator.fit(X_train, y_train)
y_test_pred_seq[test] = estimator.predict(X_test)
coefs_seq.append(estimator.coef_)
test_accs = [metrics.accuracy_score(y[test], y_test_pred_seq[test]) for train,␣

˓→test in cv.split(X, y)]
print(np.mean(test_accs), test_accs)
coefs_cv = np.array(coefs_seq)
print(coefs_cv)
print(coefs_cv.mean(axis=0))
print("Std Err of the coef")
print(coefs_cv.std(axis=0) / np.sqrt(coefs_cv.shape[0]))
0.8 [0.5, 0.5, 1.0, 1.0, 1.0]

[[[-0.88 0.63 1.19 -0.31 -0.38]]
[[-0.75 0.62 1.1 0.2 -0.4 ]]
[[-0.96 0.51 1.12 0.08 -0.26]]
[[-0.86 0.52 1.07 -0.11 -0.29]]
[[-0.9 0.51 1.09 -0.25 -0.28]]]

[[-0.87 0.56 1.11 -0.08 -0.32]]
Std Err of the coef
[[0.03 0.02 0.02 0.09 0.03]]
6.8.12 Parallel computation with joblib
from joblib import Parallel, delayed

from sklearn.base import is_classifier, clone
def _split_fit_predict(estimator, X, y, train, test):

X_train, X_test, y_train, y_test = X[train, :], X[test, :], y[train], y[test]
estimator.fit(X_train, y_train)
return [estimator.predict(X_test), estimator.coef_]


parallel = Parallel(n_jobs=5)
cv_ret = parallel(
delayed(_split_fit_predict)(
clone(estimator), X, y, train, test)
for train, test in cv.split(X, y))
y_test_pred_cv, coefs_cv = zip(*cv_ret)
# Retrieve predictions in the original order

y_test_pred = np.zeros(len(y))
for i, (train, test) in enumerate(cv.split(X, y)):
y_test_pred[test] = y_test_pred_cv[i]
test_accs = [metrics.accuracy_score(y[test], y_test_pred[test]) for train, test␣

˓→in cv.split(X, y)]
print(np.mean(test_accs), test_accs)
0.8 [0.5, 0.5, 1.0, 1.0, 1.0]
Test same predictions and same coeficients
assert np.all(y_test_pred == y_test_pred_seq)

assert np.allclose(np.array(coefs_cv).squeeze(), np.array(coefs_seq).squeeze())
6.9 Ensemble learning: bagging, boosting and stacking
These methods are Ensemble learning techniques. These models are machine learning
paradigms where multiple models (often called “weak learners”) are trained to solve the same
problem and combined to get better results. The main hypothesis is that when weak models
are correctly combined we can obtain more accurate and/or robust models.
6.9.1 Single weak learner
In machine learning, no matter if we are facing a classification or a regression problem, the

choice of the model is extremely important to have any chance to obtain good results. This
choice can depend on many variables of the problem: quantity of data, dimensionality of the
space, distribution hypothesis. . .
A low bias and a low variance, although they most often vary in opposite directions, are the
two most fundamental features expected for a model. Indeed, to be able to “solve” a problem,
we want our model to have enough degrees of freedom to resolve the underlying complexity
of the data we are working with, but we also want it to have not too much degrees of freedom
to avoid high variance and be more robust. This is the well known bias-variance tradeoff.
Illustration of the bias-variance tradeoff.

Fig. 13: towardsdatascience blog
In ensemble learning theory, we call weak learners (or base models) models that can be used
as building blocks for designing more complex models by combining several of them. Most
of the time, these basics models perform not so well by themselves either because they have
a high bias (low degree of freedom models, for example) or because they have too much
variance to be robust (high degree of freedom models, for example). Then, the idea of ensem-
ble methods is to combining several of them together in order to create a strong learner (or
ensemble model) that achieves better performances.
Usually, ensemble models are used in order to :
• decrease the variance for bagging (Bootstrap Aggregating) technique
• reduce bias for the boosting technique
• improving the predictive force for stacking technique.
To understand these techniques, first, we will explore what is boostrapping and its different
hypothesis.
6.9.2 Bagging
In parallel methods we fit the different considered learners independently from each others
and, so, it is possible to train them concurrently. The most famous such approach is “bagging”
(standing for “bootstrap aggregating”) that aims at producing an ensemble model that is more
robust than the individual models composing it.
When training a model, no matter if we are dealing with a classification or a regression problem,
we obtain a function that takes an input, returns an output and that is defined with respect to
the training dataset.
6.9. Ensemble learning: bagging, boosting and stacking 309

The idea of bagging is then simple: we want to fit several independent models and “average”
their predictions in order to obtain a model with a lower variance. However, we can’t, in
practice, fit fully independent models because it would require too much data. So, we rely on
the good “approximate properties” of bootstrap samples (representativity and independence)
to fit models that are almost independent.
First, we create multiple bootstrap samples so that each new bootstrap sample will act as
another (almost) independent dataset drawn from true distribution. Then, we can fit a weak
learner for each of these samples and finally aggregate them such that we kind of “aver-
age” their outputs and, so, obtain an ensemble model with less variance that its components.
Roughly speaking, as the bootstrap samples are approximatively independent and identically
distributed (i.i.d.), so are the learned base models. Then, “averaging” weak learners outputs
do not change the expected answer but reduce its variance.
So, assuming that we have L bootstrap samples (approximations of L independent datasets) of
size B denoted
Fig. 14: Medium Science Blog
Each {. . . .} is a bootstrap sample of B observation

we can fit L almost independent weak learners (one on each dataset)
and then aggregate them into some kind of averaging process in order to get an ensemble model
with a lower variance. For example, we can define our strong model such that
There are several possible ways to aggregate the multiple models fitted in parallel. - For a
regression problem, the outputs of individual models can literally be averaged to obtain the
output of the ensemble model. - For classification problem the class outputted by each model
can be seen as a vote and the class that receives the majority of the votes is returned by
the ensemble model (this is called hard-voting). Still for a classification problem, we can
also consider the probabilities of each classes returned by all the models, average these
probabilities and keep the class with the highest average probability (this is called soft-
voting). –> Averages or votes can either be simple or weighted if any relevant weights can be
used.
Finally, we can mention that one of the big advantages of bagging is that it can be parallelised.
As the different models are fitted independently from each others, intensive parallelisation tech-
niques can be used if required.

Bagging consists in fitting several base models on different bootstrap samples and build an
ensemble model that “average” the results of these weak learners.
Question : - Can you name an algorithms based on Bagging technique , Hint : leaf
###### Examples
Here, we are trying some example of stacking
• Bagged Decision Trees for Classification
import pandas
from sklearn import model_selection
from sklearn.ensemble import BaggingClassifier
names = ['preg', 'plas', 'pres', 'skin', 'test', 'mass', 'pedi', 'age', 'class']
dataframe = pandas.read_csv("https://raw.githubusercontent.com/jbrownlee/Datasets/
˓→master/pima-indians-diabetes.data.csv",names=names)
array = dataframe.values
x = array[:,0:8]
y = array[:,8]
max_features = 3
kfold = model_selection.KFold(n_splits=10, random_state=2020)

rf = DecisionTreeClassifier(max_features=max_features)
num_trees = 100
model = BaggingClassifier(base_estimator=rf, n_estimators=num_trees, random_

˓→state=2020)
results = model_selection.cross_val_score(model, x, y, cv=kfold)

print("Accuracy: %0.2f (+/- %0.2f)" % (results.mean(), results.std()))
• Random Forest Classification

import pandas
from sklearn import model_selection
names = ['preg', 'plas', 'pres', 'skin', 'test', 'mass', 'pedi', 'age', 'class']
dataframe = pandas.read_csv("https://raw.githubusercontent.com/jbrownlee/Datasets/
˓→master/pima-indians-diabetes.data.csv",names=names)
array = dataframe.values
x = array[:,0:8]
y = array[:,8]

rf = DecisionTreeClassifier()
num_trees = 100
max_features = 3

model = RandomForestClassifier(n_estimators=num_trees, max_features=max_features)
results = model_selection.cross_val_score(model, x, y, cv=kfold)
print("Accuracy: %0.2f (+/- %0.2f)" % (results.mean(), results.std()))
Both of these algorithms will print, Accuracy: 0.77 (+/- 0.07). They are equivalent.
6.9.3 Boosting
In sequential methods the different combined weak models are no longer fitted indepen-
dently from each others. The idea is to fit models iteratively such that the training of model at
a given step depends on the models fitted at the previous steps. “Boosting” is the most famous
of these approaches and it produces an ensemble model that is in general less biased than the
weak learners that compose it.
Boosting methods work in the same spirit as bagging methods: we build a family of models
that are aggregated to obtain a strong learner that performs better.
However, unlike bagging that mainly aims at reducing variance, boosting is a technique
that consists in fitting sequentially multiple weak learners in a very adaptative way: each
model in the sequence is fitted giving more importance to observations in the dataset that
were badly handled by the previous models in the sequence. Intuitively, each new model
focus its efforts on the most difficult observations to fit up to now, so that we obtain, at the
end of the process, a strong learner with lower bias (even if we can notice that boosting can
also have the effect of reducing variance).
–> Boosting, like bagging, can be used for regression as well as for classification problems.
Being mainly focused at reducing bias, the base models that are often considered for boosting
are* *models with low variance but high bias. For example, if we want to use trees as our
base models, we will choose most of the time shallow decision trees with only a few depths.**
Another important reason that motivates the use of low variance but high bias models as weak
learners for boosting is that these models are in general less computationally expensive to fit
(few degrees of freedom when parametrised). Indeed, as computations to fit the different mod-

els can’t be done in parallel (unlike bagging), it could become too expensive to fit sequentially
several complex models.
Once the weak learners have been chosen, we still need to define how they will be sequentially
fitted and how they will be aggregated. We will discuss these questions in the two follow-
ing subsections, describing more especially two important boosting algorithms: adaboost and
gradient boosting.
In a nutshell, these two meta-algorithms differ on how they create and aggregate the weak
learners during the sequential process. Adaptive boosting updates the weights attached to
each of the training dataset observations whereas gradient boosting updates the value of
these observations. This main difference comes from the way both methods try to solve the
optimisation problem of finding the best model that can be written as a weighted sum of weak
learners.
Boosting consists in, iteratively, fitting a weak learner, aggregate it to the ensemble model and
“update” the training dataset to better take into account the strengths and weakness of the
current ensemble model when fitting the next base model.
1/ Adaptative boosting
In adaptative boosting (often called “adaboost”), we try to define our ensemble model as a
weighted sum of L weak learners
Finding the best ensemble model with this form is a difficult optimisation problem. Then,
instead of trying to solve it in one single shot (finding all the coefficients and weak learners
that give the best overall additive model), we make use of an iterative optimisation process
that is much more tractable, even if it can lead to a sub-optimal solution. More especially,
we add the weak learners one by one, looking at each iteration for the best possible pair

(coefficient, weak learner) to add to the current ensemble model. In other words, we define
recurrently the (s_l)’s such that
Fig. 20: towardsdatascience Blog
where c_l and w_l are chosen such that s_l is the model that fit the best the training data and,
so, that is the best possible improvement over s_(l-1). We can then denote
Fig. 21: towardsdatascience Blog
where E(.) is the fitting error of the given model and e(.,.) is the loss/error function. Thus,
instead of optimising “globally” over all the L models in the sum, we approximate the optimum
by optimising “locally” building and adding the weak learners to the strong model one by one.
More especially, when considering a binary classification, we can show that the adaboost algo-
rithm can be re-written into a process that proceeds as follow. First, it updates the observations
weights in the dataset and train a new weak learner with a special focus given to the obser-
vations misclassified by the current ensemble model. Second, it adds the weak learner to the
weighted sum according to an update coefficient that expresse the performances of this weak
model: the better a weak learner performs, the more it contributes to the strong learner.
So, assume that we are facing a binary classification problem, with N observations in our
dataset and we want to use adaboost algorithm with a given family of weak models. At the
very beginning of the algorithm (first model of the sequence), all the observations have
the same weights 1/N. Then, we repeat L times (for the L learners in the sequence) the
following steps:
fit the best possible weak model with the current observations weights
compute the value of the update coefficient that is some kind of scalar evaluation metric of the
weak learner that indicates how much this weak learner should be taken into account into the
ensemble model
update the strong learner by adding the new weak learner multiplied by its update coefficient
compute new observations weights that expresse which observations we would like to focus
on at the next iteration (weights of observations wrongly predicted by the aggregated model
increase and weights of the correctly predicted observations decrease)
Repeating these steps, we have then build sequentially our L models and aggregate them into
a simple linear combination weighted by coefficients expressing the performance of each
learner.
Notice that there exists variants of the initial adaboost algorithm such that LogitBoost (classifi-
cation) or L2Boost (regression) that mainly differ by their choice of loss function.
Adaboost updates weights of the observations at each iteration. Weights of well classified obser-
vations decrease relatively to weights of misclassified observations. Models that perform better
have higher weights in the final ensemble model.

2/ Gradient boosting
In gradient boosting, the ensemble model we try to build is also a weighted sum of weak
learners
Just as we mentioned for adaboost, finding the optimal model under this form is too difficult
and an iterative approach is required. The main difference with adaptative boosting is in
the definition of the sequential optimisation process. Indeed, gradient boosting casts the
problem into a gradient descent one: at each iteration we fit a weak learner to the opposite
of the gradient of the current fitting error with respect to the current ensemble model.
Let’s try to clarify this last point. First, theoretical gradient descent process over the ensemble
model can be written
where E(.) is the fitting error of the given model, c_l is a coefficient corresponding to the step
size and
This entity is the opposite of the gradient of the fitting error with respect to the ensemble
model at step l-1. This opposite of the gradient is a function that can, in practice, only be
evaluated for observations in the training dataset (for which we know inputs and outputs):
these evaluations are called pseudo-residuals attached to each observations. Moreover, even if

we know for the observations the values of these pseudo-residuals, we don’t want to add to
our ensemble model any kind of function: we only want to add a new instance of weak model.
So, the natural thing to do is to fit a weak learner to the pseudo-residuals computed for each
observation. Finally, the coefficient c_l is computed following a one dimensional optimisation
process (line-search to obtain the best step size c_l).
So, assume that we want to use gradient boosting technique with a given family of weak models.
At the very beginning of the algorithm (first model of the sequence), the pseudo-residuals are
set equal to the observation values. Then, we repeat L times (for the L models of the sequence)
the following steps:
fit the best possible weak model to pseudo-residuals (approximate the opposite of the gradient
with respect to the current strong learner)
compute the value of the optimal step size that defines by how much we update the ensemble
model in the direction of the new weak learner
update the ensemble model by adding the new weak learner multiplied by the step size (make
a step of gradient descent)
compute new pseudo-residuals that indicate, for each observation, in which direction we would
like to update next the ensemble model predictions
Repeating these steps, we have then build sequentially our L models and aggregate them fol-
lowing a gradient descent approach. Notice that, while adaptative boosting tries to solve at
each iteration exactly the “local” optimisation problem (find the best weak learner and its
coefficient to add to the strong model), gradient boosting uses instead a gradient descent
approach and can more easily be adapted to large number of loss functions. Thus, gradi-
ent boosting can be considered as a generalization of adaboost to arbitrary differentiable
loss functions.
Note There is an algorithm which gained huge popularity after a Kaggle’s competitions. It
is XGBoost (Extreme Gradient Boosting) . This is a gradient boosting algorithm which has
more flexibility (varying number of terminal nodes and left weights) parameters to avoid
sub-learners correlations. Having these important qualities, XGBOOST is one of the most
used algorithm in data science. LIGHTGBM is a recent implementation of this algorithm. It
was published by Microsoft and it gives us the same scores (if parameters are equivalents) but
it runs quicker than a classic XGBOOST.
Gradient boosting updates values of the observations at each iteration. Weak learners are
trained to fit the pseudo-residuals that indicate in which direction to correct the current en-
semble model predictions to lower the error.
Examples
Here, we are trying an example of Boosting and compare it to a Bagging. Both of algorithms
take the same weak learners to build the macro-model
• Adaboost Classifier


from sklearn.ensemble import AdaBoostClassifier

from sklearn.datasets import load_breast_cancer
import pandas as pd
import numpy as np
from sklearn.metrics import confusion_matrix
from sklearn.preprocessing import LabelEncoder
from sklearn.metrics import accuracy_score
from sklearn.metrics import f1_score
breast_cancer = load_breast_cancer()
x = pd.DataFrame(breast_cancer.data, columns=breast_cancer.feature_names)
y = pd.Categorical.from_codes(breast_cancer.target, breast_cancer.target_names)
# Transforming string Target to an int
encoder = LabelEncoder()
binary_encoded_y = pd.Series(encoder.fit_transform(y))
#Train Test Split

train_x, test_x, train_y, test_y = train_test_split(x, binary_encoded_y, random_
˓→state=1)
clf_boosting = AdaBoostClassifier(
DecisionTreeClassifier(max_depth=1),
n_estimators=200
)
clf_boosting.fit(train_x, train_y)
predictions = clf_boosting.predict(test_x)
print("For Boosting : F1 Score {}, Accuracy {}".format(round(f1_score(test_y,
˓→predictions),2),round(accuracy_score(test_y,predictions),2)))
• Random Forest as a bagging classifier

import pandas as pd
import numpy as np

#Train Test Split

˓→state=1)
clf_bagging = RandomForestClassifier(n_estimators=200, max_depth=1)

clf_bagging.fit(train_x, train_y)
predictions = clf_bagging.predict(test_x)
print("For Bagging : F1 Score {}, Accuracy {}".format(round(f1_score(test_y,
˓→predictions),2),round(accuracy_score(test_y,predictions),2)))
Comparaison
Metric Bagging Boosting

Accuracy 0.91 0.97
F1-Score 0.88 0.95
6.9.4 Overview of stacking
Stacking mainly differ from bagging and boosting on two points : - First stacking often con-
siders heterogeneous weak learners (different learning algorithms are combined) whereas
bagging and boosting consider mainly homogeneous weak learners. - Second, stacking learns
to combine the base models using a meta-model whereas bagging and boosting combine weak
learners following deterministic algorithms.
As we already mentioned, the idea of stacking is to learn several different weak learners and
combine them by training a meta-model to output predictions based on the multiple predic-
tions returned by these weak models. So, we need to define two things in order to build our
stacking model: the L learners we want to fit and the meta-model that combines them.
For example, for a classification problem, we can choose as weak learners a KNN classifier, a
logistic regression and a SVM, and decide to learn a neural network as meta-model. Then, the
neural network will take as inputs the outputs of our three weak learners and will learn to
return final predictions based on it.
So, assume that we want to fit a stacking ensemble composed of L weak learners. Then we have
to follow the steps thereafter:
• split the training data in two folds
• choose L weak learners and fit them to data of the first fold
• for each of the L weak learners, make predictions for observations in the second fold
• fit the meta-model on the second fold, using predictions made by the weak learners
as inputs
In the previous steps, we split the dataset in two folds because predictions on data that have
been used for the training of the weak learners are not relevant for the training of the meta-
model.
Stacking consists in training a meta-model to produce outputs based on the outputs returned
by some lower layer weak learners.

A possible extension of stacking is multi-level stacking. It consists in doing stacking with

multiple layers. As an example,
Multi-level stacking considers several layers of stacking: some meta-models are trained on out-
puts returned by lower layer meta-models and so on. Here we have represented a 3-layers
stacking model.
Examples
Here, we are trying an example of Stacking and compare it to a Bagging & a Boosting. We note
that, many other applications (datasets) would show more difference between these techniques.


import pandas as pd
import numpy as np
from sklearn.linear_model import LogisticRegression

#Train Test Split

˓→state=2020)
boosting_clf_ada_boost= AdaBoostClassifier(
DecisionTreeClassifier(max_depth=1),
n_estimators=3
)
bagging_clf_rf = RandomForestClassifier(n_estimators=200, max_depth=1,random_
˓→state=2020)
clf_rf = RandomForestClassifier(n_estimators=200, max_depth=1,random_state=2020)

clf_ada_boost = AdaBoostClassifier(
DecisionTreeClassifier(max_depth=1,random_state=2020),
n_estimators=3
)
clf_logistic_reg = LogisticRegression(solver='liblinear',random_state=2020)
#Customizing and Exception message

class NumberOfClassifierException(Exception):
pass
#Creating a stacking class

class Stacking():
'''
This is a test class for stacking !


Please fill Free to change it to fit your needs
We suppose that at least the First N-1 Classifiers have
a predict_proba function.
'''
def __init__(self,classifiers):
if(len(classifiers) < 2):
raise numberOfClassifierException("You must fit your classifier with␣
˓→2 classifiers at least");
else:
self._classifiers = classifiers
def fit(self,data_x,data_y):
stacked_data_x = data_x.copy()
for classfier in self._classifiers[:-1]:
classfier.fit(data_x,data_y)
stacked_data_x = np.column_stack((stacked_data_x,classfier.predict_
˓→proba(data_x)))
last_classifier = self._classifiers[-1]
last_classifier.fit(stacked_data_x,data_y)
def predict(self,data_x):
stacked_data_x = data_x.copy()
for classfier in self._classifiers[:-1]:
prob_predictions = classfier.predict_proba(data_x)
stacked_data_x = np.column_stack((stacked_data_x,prob_predictions))
last_classifier = self._classifiers[-1]
return last_classifier.predict(stacked_data_x)
bagging_clf_rf.fit(train_x, train_y)
boosting_clf_ada_boost.fit(train_x, train_y)
classifers_list = [clf_rf,clf_ada_boost,clf_logistic_reg]
clf_stacking = Stacking(classifers_list)
clf_stacking.fit(train_x,train_y)
predictions_bagging = bagging_clf_rf.predict(test_x)
predictions_boosting = boosting_clf_ada_boost.predict(test_x)
predictions_stacking = clf_stacking.predict(test_x)


print("For Bagging : F1 Score {}, Accuracy {}".format(round(f1_score(test_y,
˓→predictions_bagging),2),round(accuracy_score(test_y,predictions_bagging),2)))
print("For Boosting : F1 Score {}, Accuracy {}".format(round(f1_score(test_y,

˓→predictions_boosting),2),round(accuracy_score(test_y,predictions_boosting),2)))
print("For Stacking : F1 Score {}, Accuracy {}".format(round(f1_score(test_y,

˓→predictions_stacking),2),round(accuracy_score(test_y,predictions_stacking),2)))
Comparaison
Metric Bagging Boosting Stacking

Accuracy 0.90 0.94 0.98
F1-Score 0.88 0.93 0.98
6.10 Lab: Faces recognition using various learning models
This lab is inspired by a scikit-learn lab: Faces recognition example using eigenfaces and SVMs
It uses scikit-learan and pytorch models using skorch (slides).
• skorch provides scikit-learn compatible neural network library that wraps PyTorch.
• skorch abstracts away the training loop, making a lot of boilerplate code obsolete. A
simple net.fit(X, y) is enough.
Note that more sofisticated models can be used, see for a overview.
Models:
• Eigenfaces unsupervized exploratory analysis.
• LogisticRegression with L2 regularization (includes model selection with 5CV`_
• SVM-RBF (includes model selection with 5CV.
• MLP using sklearn using sklearn (includes model selection with 5CV)
• MLP using skorch classifier
• Basic Convnet (ResNet18) using skorch.
• Pretrained ResNet18 using skorch.
Pipelines:
• Univariate feature filtering (Anova) with Logistic-L2
• PCA with LogisticRegression with L2 regularization
import numpy as np
from time import time
import pandas as pd
6.10. Lab: Faces recognition using various learning models 323


from sklearn.model_selection import GridSearchCV
from sklearn.metrics import classification_report
# Preprocesing
from sklearn import preprocessing
from sklearn.pipeline import make_pipeline
from sklearn.pipeline import Pipeline
from sklearn.feature_selection import SelectKBest, f_classif
# Dataset
from sklearn.datasets import fetch_lfw_people
# Models
import sklearn.manifold as manifold
import sklearn.svm as svm
from sklearn.neural_network import MLPClassifier
# from sklearn.ensemble import RandomForestClassifier
# from sklearn.ensemble import GradientBoostingClassifier
# Pytorch Models
import torch
import torchvision
import torch.nn as nn
import torch.nn.functional as F
from skorch import NeuralNetClassifier
import skorch
# Use [skorch](https://github.com/skorch-dev/skorch). Install:

# `conda install -c conda-forge skorch`
device = torch.device('cuda' if torch.cuda.is_available() else 'cpu')
6.10.1 Utils
def plot_gallery(images, titles, h, w, n_row=3, n_col=4):

"""Plot a gallery of portraits."""
plt.figure(figsize=(1.8 * n_col, 2.4 * n_row))
plt.subplots_adjust(bottom=0, left=.01, right=.99, top=.90, hspace=.35)
for i in range(min(images.shape[0], n_row * n_col)):
plt.subplot(n_row, n_col, i + 1)
plt.imshow(images[i].reshape((h, w)), cmap=plt.cm.gray)
plt.title(titles[i], size=12)
plt.xticks(())
plt.yticks(())

def title(y_pred, y_test, target_names, i):

"""Plot the result of the prediction on a portion of the test set."""
pred_name = target_names[y_pred[i]].rsplit(' ', 1)[-1]
true_name = target_names[y_test[i]].rsplit(' ', 1)[-1]
return 'predicted: %s\ntrue: %s' % (pred_name, true_name)
def label_proportion(x, decimals=2):

"""Labels's proportions."""
unique, counts = np.unique(x, return_counts=True)
return dict(zip(unique, np.round(counts / len(x), decimals)))
6.10.2 Download the data
lfw_people = fetch_lfw_people(min_faces_per_person=70, resize=0.4)
# introspect the images arrays to find the shapes (for plotting)

n_samples, h, w = lfw_people.images.shape
# for machine learning we use the 2 data directly (as relative pixel
# positions info is ignored by this model)
X = lfw_people.data
n_features = X.shape[1]
# the label to predict is the id of the person

y = lfw_people.target
target_names = lfw_people.target_names
n_classes = target_names.shape[0]
print("Total dataset size:")

print("n_samples: %d" % n_samples)
print("n_features: %d" % n_features)
print("n_classes: %d" % n_classes)
Total dataset size:

n_samples: 1288
n_features: 1850
n_classes: 7

6.10.3 Split into a training and testing set in stratified way
X_train, X_test, y_train, y_test = train_test_split(

X, y, test_size=0.25, random_state=1, stratify=y)
print({target_names[lab]: prop for lab, prop in

label_proportion(y_train).items()})
{np.str_('Ariel Sharon'): np.float64(0.06), np.str_('Colin Powell'): np.float64(0.

˓→18), np.str_('Donald Rumsfeld'): np.float64(0.09), np.str_('George W Bush'): np.
˓→float64(0.41), np.str_('Gerhard Schroeder'): np.float64(0.08), np.str_('Hugo␣
˓→Chavez'): np.float64(0.05), np.str_('Tony Blair'): np.float64(0.11)}
Plot mean faces and 4 samples of each individual
single_faces = [X_train[y_train == lab][:5] for lab in np.unique(y_train)]

single_faces = np.vstack(single_faces).reshape((5 * n_classes, h, w))
mean_faces = [X_train[y_train == lab].mean(axis=0) for lab in

np.unique(y_train)]
mean_faces = np.vstack(mean_faces).reshape((n_classes, h, w))
single_faces[::5, :, :] = mean_faces
titles = [n for name in target_names for n in [name] * 5]
plot_gallery(single_faces, titles, h, w, n_row=n_classes, n_col=5)


6.10.4 Eigenfaces
Compute a PCA (eigenfaces) on the face dataset (treated as unlabeled dataset): unsupervised
feature extraction / dimensionality reduction
n_components = 150
print("Extracting the top %d eigenfaces from %d faces"

% (n_components, X_train.shape[0]))
t0 = time()
pca = PCA(n_components=n_components, svd_solver='randomized',
whiten=True).fit(X_train)
print("done in %0.3fs" % (time() - t0))
eigenfaces = pca.components_.reshape((n_components, h, w))
print("Explained variance", pca.explained_variance_ratio_[:2])
Extracting the top 150 eigenfaces from 966 faces

done in 0.066s
Explained variance [0.21 0.14]
T-SNE
tsne = manifold.TSNE(n_components=2, init='pca', random_state=0)

X_tsne = tsne.fit_transform(X_train)
print("Projecting the input data on the eigenfaces orthonormal basis")

X_train_pca = pca.transform(X_train)
X_test_pca = pca.transform(X_test)
df = pd.DataFrame(dict(lab=y_train,
PC1=X_train_pca[:, 0],
PC2=X_train_pca[:, 1],
TSNE1=X_tsne[:, 0],
TSNE2=X_tsne[:, 1]))
sns.relplot(x="PC1", y="PC2", hue="lab", data=df)
sns.relplot(x="TSNE1", y="TSNE2", hue="lab", data=df)


Projecting the input data on the eigenfaces orthonormal basis
<seaborn.axisgrid.FacetGrid object at 0x723a8c164dd0>
Plot eigenfaces:
eigenface_titles = ["eigenface %d" % i for i in range(eigenfaces.shape[0])]

plot_gallery(eigenfaces, eigenface_titles, h, w)

6.10.5 LogisticRegression with L2 penalty (with CV-based model selection)
Our goal is to obtain a good balanced accuracy, ie, the macro average (macro avg) of classes’
reccalls. In this perspective, the good practices are:
• Scale input features using either StandardScaler() or MinMaxScaler() “It doesn’t harm”.
• Re-balance classes’ contributions class_weight=’balanced’
• Do not include an intercept (fit_intercept=False) in the model. This should reduce the
global accuracy weighted avg. But rememember that we decided to maximize the balanced
accuracy.
lrl2_cv = make_pipeline(
preprocessing.StandardScaler(),
# preprocessing.MinMaxScaler(), # Would have done the job either
GridSearchCV(lm.LogisticRegression(max_iter=1000, class_weight='balanced',


fit_intercept=False),
{'C': 10. ** np.arange(-3, 3)},
cv=5, n_jobs=5))
t0 = time()
lrl2_cv.fit(X=X_train, y=y_train)
print("Best params found by grid search:")
print(lrl2_cv.steps[-1][1].best_params_)
y_pred = lrl2_cv.predict(X_test)
print(classification_report(y_test, y_pred, target_names=target_names))
print(confusion_matrix(y_test, y_pred, labels=range(n_classes)))
done in 4.743s
Best params found by grid search:
{'C': np.float64(1.0)}
precision recall f1-score support
Ariel Sharon 0.63 0.89 0.74 19

Colin Powell 0.88 0.83 0.85 59
Donald Rumsfeld 0.71 0.80 0.75 30
George W Bush 0.92 0.82 0.87 133
Gerhard Schroeder 0.70 0.78 0.74 27
Hugo Chavez 0.62 0.56 0.59 18
Tony Blair 0.72 0.81 0.76 36
accuracy 0.80 322

macro avg 0.74 0.78 0.76 322
weighted avg 0.82 0.80 0.81 322
[[ 17 0 1 0 0 1 0]
[ 2 49 2 4 0 0 2]
[ 4 0 24 1 0 0 1]
[ 4 5 5 109 3 4 3]
[ 0 0 1 0 21 1 4]
[ 0 2 0 3 2 10 1]
[ 0 0 1 2 4 0 29]]
Coeficients
coefs = lrl2_cv.steps[-1][1].best_estimator_.coef_
coefs = coefs.reshape(-1, h, w)
plot_gallery(coefs, target_names, h, w)

6.10.6 SVM (with CV-based model selection)
Remarks: - RBF generally requires “large” C (>1) - Poly generally requires “small” C (<1)
svm_cv = make_pipeline(
# preprocessing.StandardScaler(),
preprocessing.MinMaxScaler(),
GridSearchCV(svm.SVC(class_weight='balanced'),
{'kernel': ['poly', 'rbf'], 'C': 10. ** np.arange(-2, 3)},
# {'kernel': ['rbf'], 'C': 10. ** np.arange(-1, 4)},
cv=5, n_jobs=5))
t0 = time()
svm_cv.fit(X_train, y_train)


print(svm_cv.steps[-1][1].best_params_)
y_pred = svm_cv.predict(X_test)
done in 10.633s
{'C': np.float64(0.1), 'kernel': 'poly'}
Ariel Sharon 0.64 0.84 0.73 19

Colin Powell 0.83 0.88 0.85 59
George W Bush 0.91 0.89 0.90 133
Hugo Chavez 0.82 0.50 0.62 18
Tony Blair 0.80 0.78 0.79 36
accuracy 0.82 322

macro avg 0.78 0.77 0.76 322
weighted avg 0.83 0.82 0.82 322
6.10.7 MLP with sklearn and CV-based model selection
Default parameters: - alpha, default=0.0001 L2 penalty (regularization term) parameter. -

batch_size=min(200, n_samples) - learning_rate_init = 0.001 (the important one since we
uses adam) - solver default=’adam’
• sgd: momentum=0.9
• adam: beta_1, beta_2 default=0.9, 0.999 Exponential decay rates for the first and second
moment.
• L2 penalty (regularization term) parameter, alpha default=0.0001
• tol, default=1e-4
mlp_param_grid = {"hidden_layer_sizes":
# Configurations with 1 hidden layer:
[(100, ), (50, ), (25, ), (10, ), (5, ),
# Configurations with 2 hidden layers:
(100, 50, ), (50, 25, ), (25, 10, ), (10, 5, ),
# Configurations with 3 hidden layers:
(100, 50, 25, ), (50, 25, 10, ), (25, 10, 5, )],
"activation": ["relu"], "solver": ["adam"], 'alpha': [0.0001]}
mlp_cv = make_pipeline(
# preprocessing.StandardScaler(),
preprocessing.MinMaxScaler(),
GridSearchCV(estimator=MLPClassifier(random_state=1, max_iter=400),


param_grid=mlp_param_grid,
cv=5, n_jobs=5))
t0 = time()
mlp_cv.fit(X_train, y_train)
print(mlp_cv.steps[-1][1].best_params_)
y_pred = mlp_cv.predict(X_test)
˓→sklearn/neural_network/_multilayer_perceptron.py:690: ConvergenceWarning:␣
˓→Stochastic Optimizer: Maximum iterations (400) reached and the optimization hasn
˓→'t converged yet.
warnings.warn(
done in 156.248s
{'activation': 'relu', 'alpha': 0.0001, 'hidden_layer_sizes': (100,), 'solver':
˓→'adam'}
Ariel Sharon 0.74 0.89 0.81 19

Colin Powell 0.84 0.86 0.85 59
George W Bush 0.89 0.89 0.89 133
Hugo Chavez 1.00 0.44 0.62 18
Tony Blair 0.75 0.83 0.79 36
accuracy 0.83 322

macro avg 0.82 0.78 0.78 322
weighted avg 0.84 0.83 0.83 322
6.10.8 MLP with pytorch and no model selection
class SimpleMLPClassifierPytorch(nn.Module):
"""Simple (one hidden layer) MLP Classifier with Pytorch."""
def __init__(self):
super(SimpleMLPClassifierPytorch, self).__init__()
self.dense0 = nn.Linear(1850, 100)

self.nonlin = nn.ReLU()
self.output = nn.Linear(100, 7)
self.softmax = nn.Softmax(dim=-1)


def forward(self, X, **kwargs):
X = self.nonlin(self.dense0(X))
X = self.softmax(self.output(X))
return X
mlp = NeuralNetClassifier( # Match the parameters with sklearn

SimpleMLPClassifierPytorch,
criterion=torch.nn.NLLLoss,
max_epochs=100,
batch_size=200,
optimizer=torch.optim.Adam,
# optimizer=torch.optim.SGD,
optimizer__lr=0.001,
optimizer__betas=(0.9, 0.999),
optimizer__eps=1e-4,
optimizer__weight_decay=0.0001, # L2 regularization
# Shuffle training data on each epoch
iterator_train__shuffle=True,
device=device,
verbose=0)
scaler = preprocessing.MinMaxScaler()
X_train_s = scaler.fit_transform(X_train)
X_test_s = scaler.transform(X_test)
t0 = time()
mlp.fit(X_train_s, y_train)
y_pred = mlp.predict(X_test_s)
done in 1.548s
Ariel Sharon 0.88 0.74 0.80 19

Colin Powell 0.79 0.88 0.83 59
George W Bush 0.87 0.89 0.88 133
Hugo Chavez 0.88 0.39 0.54 18
Tony Blair 0.76 0.81 0.78 36
accuracy 0.80 322

macro avg 0.78 0.71 0.73 322
weighted avg 0.80 0.80 0.79 322

6.10.9 Univariate feature filtering (Anova) with Logistic-L2
anova_l2lr = Pipeline([
('standardscaler', preprocessing.StandardScaler()),
('anova', SelectKBest(f_classif)),
('l2lr', lm.LogisticRegression(max_iter=1000, class_weight='balanced',
fit_intercept=False))
])
param_grid = {'anova__k': [50, 100, 500, 1000, 1500, X_train.shape[1]],

'l2lr__C': 10. ** np.arange(-3, 3)}
anova_l2lr_cv = GridSearchCV(anova_l2lr, cv=5, param_grid=param_grid,
n_jobs=5)
t0 = time()
anova_l2lr_cv.fit(X=X_train, y=y_train)

print(anova_l2lr_cv.best_params_)
y_pred = anova_l2lr_cv.predict(X_test)
˓→numpy/ma/core.py:2881: RuntimeWarning: invalid value encountered in cast
_data = np.array(data, dtype=dtype, copy=copy,

done in 17.566s
{'anova__k': 1850, 'l2lr__C': np.float64(1.0)}
Ariel Sharon 0.63 0.89 0.74 19

Colin Powell 0.88 0.83 0.85 59
George W Bush 0.92 0.82 0.87 133
Hugo Chavez 0.62 0.56 0.59 18
Tony Blair 0.72 0.81 0.76 36
accuracy 0.80 322

macro avg 0.74 0.78 0.76 322
weighted avg 0.82 0.80 0.81 322

6.10.10 PCA with LogisticRegression with L2 regularization
pca_lrl2_cv = make_pipeline(
PCA(n_components=150, svd_solver='randomized', whiten=True),
GridSearchCV(lm.LogisticRegression(max_iter=1000, class_weight='balanced',
fit_intercept=False),
{'C': 10. ** np.arange(-3, 3)},
cv=5, n_jobs=5))
t0 = time()
pca_lrl2_cv.fit(X=X_train, y=y_train)

print(pca_lrl2_cv.steps[-1][1].best_params_)
y_pred = pca_lrl2_cv.predict(X_test)
print(confusion_matrix(y_test, y_pred, labels=range(n_classes)))
done in 0.520s
{'C': np.float64(1.0)}
Ariel Sharon 0.59 0.89 0.71 19

Colin Powell 0.81 0.80 0.80 59
George W Bush 0.88 0.72 0.79 133
Hugo Chavez 0.53 0.50 0.51 18
Tony Blair 0.65 0.78 0.71 36
accuracy 0.74 322

macro avg 0.67 0.73 0.69 322
weighted avg 0.76 0.74 0.74 322
[[17 0 1 0 0 1 0]
[ 3 47 3 5 0 0 1]
[ 2 1 21 2 0 2 2]
[ 7 6 8 96 7 5 4]
[ 0 0 1 1 19 0 6]
[ 0 2 0 3 2 9 2]
[ 0 2 0 2 4 0 28]]

6.10.11 Basic ConvNet
Note that to simplify, do not use pipeline (scaler + CNN) here. But it would have been simple
to do so, since pytorch is warpped in skorch object that is compatible with sklearn.
Sources:
• ConvNet on MNIST
• NeuralNetClassifier
class Cnn(nn.Module):
"""Basic ConvNet Conv(1, 32, 64) -> FC(100, 7) -> softmax."""
def __init__(self, dropout=0.5, fc_size=4928, n_outputs=7, debug=False):

super(Cnn, self).__init__()
self.conv1 = nn.Conv2d(1, 32, kernel_size=3)
self.conv2 = nn.Conv2d(32, 64, kernel_size=3)
self.conv2_drop = nn.Dropout2d(p=dropout)
self.fc1 = nn.Linear(fc_size, 100)
self.fc2 = nn.Linear(100, n_outputs)
self.fc1_drop = nn.Dropout(p=dropout)
self.debug = debug
def forward(self, x):

x = torch.relu(F.max_pool2d(self.conv1(x), 2))
x = torch.relu(F.max_pool2d(self.conv2_drop(self.conv2(x)), 2))
# flatten over channel, height and width = 1600

x = x.view(-1, x.size(1) * x.size(2) * x.size(3))
if self.debug: # trick to get the size of the first FC

print("### DEBUG: Shape of last convnet=", x.shape,
". FC size=", np.prod(x.shape[1:]))
x = torch.relu(self.fc1_drop(self.fc1(x)))
x = torch.softmax(self.fc2(x), dim=-1)
return x
torch.manual_seed(0)
cnn = NeuralNetClassifier(
Cnn,
max_epochs=100,
lr=0.001,
device=device,
train_split=skorch.dataset.ValidSplit(cv=5, stratified=True),
verbose=0)
X_train_s = scaler.fit_transform(X_train).reshape(-1, 1, h, w)


X_test_s = scaler.transform(X_test).reshape(-1, 1, h, w)
t0 = time()
cnn.fit(X_train_s, y_train)
y_pred = cnn.predict(X_test_s)
done in 89.416s
Ariel Sharon 0.70 0.74 0.72 19

Colin Powell 0.90 0.92 0.91 59
George W Bush 0.85 0.95 0.90 133
Hugo Chavez 0.89 0.44 0.59 18
Tony Blair 0.88 0.81 0.84 36
accuracy 0.85 322

macro avg 0.83 0.76 0.79 322
weighted avg 0.85 0.85 0.84 322
6.10.12 ConvNet with Resnet18
class Resnet18(nn.Module):
"""ResNet 18, pretrained, with one input chanel and 7 outputs."""
def __init__(self, in_channels=1, n_outputs=7):

super(Resnet18, self).__init__()
# self.model = torchvision.models.resnet18()
self.model = torchvision.models.resnet18(pretrained=True)
# original definition of the first layer on the renset class

# self.conv1 = nn.Conv2d(3, 64, kernel_size=7, stride=2, padding=3,
# bias=False)
# one channel input (greyscale):
self.model.conv1 = nn.Conv2d(in_channels, 64, kernel_size=7, stride=2,
padding=3, bias=False)
# Last layer
num_ftrs = self.model.fc.in_features
self.model.fc = nn.Linear(num_ftrs, n_outputs)

return self.model(x)

torch.manual_seed(0)
resnet = NeuralNetClassifier(
Resnet18,
# `CrossEntropyLoss` combines `LogSoftmax and `NLLLoss`
criterion=nn.CrossEntropyLoss,
max_epochs=50,
batch_size=128, # default value
# optimizer=torch.optim.SGD,
optimizer__lr=0.001,
optimizer__betas=(0.9, 0.999),
optimizer__eps=1e-4,
optimizer__weight_decay=0.0001, # L2 regularization
# Shuffle training data on each epoch
# iterator_train__shuffle=True,
train_split=skorch.dataset.ValidSplit(cv=5, stratified=True),
device=device,
verbose=0)
X_train_s = scaler.fit_transform(X_train).reshape(-1, 1, h, w)
X_test_s = scaler.transform(X_test).reshape(-1, 1, h, w)
t0 = time()
resnet.fit(X_train_s, y_train)
# Continue training a model (warm re-start):

# resnet.partial_fit(X_train_s, y_train)
y_pred = resnet.predict(X_test_s)
epochs = np.arange(len(resnet.history[:, 'train_loss'])) + 1

plt.plot(epochs, resnet.history[:, 'train_loss'], '-b', label='train_loss')
plt.plot(epochs, resnet.history[:, 'valid_loss'], '-r', label='valid_loss')
plt.plot(epochs, resnet.history[:, 'valid_acc'], '--r', label='valid_acc')
plt.legend()
plt.show()

˓→torchvision/models/_utils.py:208: UserWarning: The parameter 'pretrained' is␣
˓→deprecated since 0.13 and may be removed in the future, please use 'weights'␣
˓→instead.
warnings.warn(
˓→torchvision/models/_utils.py:223: UserWarning: Arguments other than a weight␣
˓→enum or `None` for 'weights' are deprecated since 0.13 and may be removed in␣
˓→the future. The current behavior is equivalent to passing `weights=ResNet18_
˓→Weights.IMAGENET1K_V1`. You can also use `weights=ResNet18_Weights.DEFAULT` to␣
˓→get the most up-to-date weights.
warnings.warn(msg)
done in 412.077s
Ariel Sharon 0.88 0.74 0.80 19

Colin Powell 0.86 0.93 0.89 59
George W Bush 0.85 0.97 0.91 133
Hugo Chavez 1.00 0.50 0.67 18
Tony Blair 0.94 0.83 0.88 36
accuracy 0.86 322

macro avg 0.88 0.77 0.81 322


weighted avg 0.86 0.86 0.85 322


CHAPTER
SEVEN
DEEP LEARNING: INTRODUCTION
7.1 Backpropagation
7.1.1 Course outline:
1. Backpropagation and chaine rule

2. Lab: with numpy and pytorch
%matplotlib inline
7.1.2 Backpropagation and chaine rule
We will set up a two layer network source pytorch tuto :
Y = max(XW(1) , 0)W(2)
A fully-connected ReLU network with one hidden layer and no biases, trained to predict y from
x using Euclidean error.
Chaine rule
Forward pass with local partial derivatives of ouput given inputs:
𝑥 → 𝑧 (1) = 𝑥𝑇 𝑤(1) → ℎ(1) = max(𝑧 (1) , 0) → 𝑧 (2) = ℎ(1)𝑇 𝑤(2) → 𝐿(𝑧 (2) , 𝑦) = (𝑧 (2) − 𝑦)2
𝑤(1) ↗ 𝑤(2) ↗
𝜕𝑧 (1) 𝜕ℎ(1) 1 if 𝑧 (1) >0 𝜕𝑧
(2) 𝜕𝐿
=𝑥 = {else 0 = ℎ(1) = 2(𝑧 (2) − 𝑦)
𝜕𝑤(1) 𝜕𝑧 (1) 𝜕𝑤(2) 𝜕𝑧 (2)
𝜕𝑧 (1) 𝜕𝑧 (2)
= 𝑤(1) = 𝑤(2)
𝜕𝑥 𝜕ℎ(1)
Backward: compute gradient of the loss given each parameters vectors applying chaine rule
from the loss downstream to the parameters:
For 𝑤(2) :
345
𝜕𝐿 𝜕𝐿 𝜕𝑧 (2)
= (7.1)
𝜕𝑤(2) 𝜕𝑧 (2) 𝜕𝑤(2)
=2(𝑧 (2) − 𝑦)ℎ(1) (7.2)
For 𝑤(1) :
𝜕𝐿 𝜕𝐿 𝜕𝑧 (2) 𝜕ℎ(1) 𝜕𝑧 (1)

= (7.3)
𝜕𝑤(1) 𝜕𝑧 (2) 𝜕ℎ(1) 𝜕𝑧 (1) 𝜕𝑤(1)
if 𝑧 (1) >0
=2(𝑧 (2) − 𝑦)𝑤(2) {1else 0 𝑥 (7.4)
Recap: Vector derivatives
Given a function 𝑧 = 𝑥‘𝑤 with 𝑧 the output, 𝑥 the input and 𝑤 the coeficients.
• Scalar to Scalar: 𝑥 ∈ R, 𝑧 ∈ R, 𝑤 ∈ R
Regular derivative:
𝜕𝑧
=𝑥∈R
𝜕𝑤
If 𝑤 changes by a small amount, how much will 𝑧 change?
• Vector to Scalar: 𝑥 ∈ R𝑁 , 𝑧 ∈ R, 𝑤 ∈ R𝑁
𝜕𝑧
Derivative is Gradient of partial derivative: 𝜕𝑤 ∈ R𝑁
⎡ 𝜕𝑧 ⎤
𝜕𝑤1
⎢ .. ⎥
⎢ . ⎥
𝜕𝑧 ⎢ 𝜕𝑧 ⎥
= ∇𝑤 𝑧 = ⎢
⎢ 𝜕𝑤𝑖
⎥ (7.5)
𝜕𝑤 ⎢ ..
⎥
⎥
⎣ . ⎦
𝜕𝑧
𝜕𝑤𝑁
For each element 𝑤𝑖 of 𝑤, if it changes by a small amount then how much will y change?
• Vector to Vector: 𝑤 ∈ R𝑁 , 𝑧 ∈ R𝑀
Derivative is Jacobian of partial derivative:
TO COMPLETE
𝜕𝑧
𝜕𝑤 ∈ R𝑁 ×𝑀
346 Chapter 7. Deep Learning: Introduction

Backpropagation summary
Backpropagation algorithm in a graph: 1. Forward pass, for each node compute local partial
derivatives of ouput given inputs 2. Backward pass: apply chain rule from the end to each
parameters - Update parameter with gradient descent using the current upstream gradient and
the current local gradient - Compute upstream gradient for the backward nodes
Think locally and remember that at each node: - For the loss the gradient is the error - At each
step, the upstream gradient is obtained by multiplying the upstream gradient (an error) with
the current parameters (vector of matrix). - At each step, the current local gradient equal the
input, therfore the current update is the current upstream gradient time the input.
import numpy as np
import sklearn.model_selection
7.1.3 Lab: with numpy and pytorch
Load iris data set
Goal: Predict Y = [petal_length, petal_width] = f(X = [sepal_length, sepal_width])

• Plot data with seaborn
• Remove setosa samples
• Recode ‘versicolor’:1, ‘virginica’:2
• Scale X and Y
• Split data in train/test 50%/50%
iris = sns.load_dataset("iris")
#g = sns.pairplot(iris, hue="species")
df = iris[iris.species != "setosa"]
g = sns.pairplot(df, hue="species")
df['species_n'] = iris.species.map({'versicolor':1, 'virginica':2})
# Y = 'petal_length', 'petal_width'; X = 'sepal_length', 'sepal_width')

X_iris = np.asarray(df.loc[:, ['sepal_length', 'sepal_width']], dtype=np.float32)
Y_iris = np.asarray(df.loc[:, ['petal_length', 'petal_width']], dtype=np.float32)
label_iris = np.asarray(df.species_n, dtype=int)
# Scale
scalerx, scalery = StandardScaler(), StandardScaler()
X_iris = scalerx.fit_transform(X_iris)
Y_iris = StandardScaler().fit_transform(Y_iris)
# Split train test

X_iris_tr, X_iris_val, Y_iris_tr, Y_iris_val, label_iris_tr, label_iris_val = \
7.1. Backpropagation 347


sklearn.model_selection.train_test_split(X_iris, Y_iris, label_iris, train_
˓→size=0.5, stratify=label_iris)
Backpropagation with numpy
This implementation uses numpy to manually compute the forward pass, loss, and backward
pass.
# X=X_iris_tr; Y=Y_iris_tr; X_val=X_iris_val; Y_val=Y_iris_val
def two_layer_regression_numpy_train(X, Y, X_val, Y_val, lr, nite):

# N is batch size; D_in is input dimension;
# H is hidden dimension; D_out is output dimension.
# N, D_in, H, D_out = 64, 1000, 100, 10
N, D_in, H, D_out = X.shape[0], X.shape[1], 100, Y.shape[1]
W1 = np.random.randn(D_in, H)
W2 = np.random.randn(H, D_out)
losses_tr, losses_val = list(), list()
learning_rate = lr
for t in range(nite):
# Forward pass: compute predicted y
z1 = X.dot(W1)
h1 = np.maximum(z1, 0)
Y_pred = h1.dot(W2)
# Compute and print loss

loss = np.square(Y_pred - Y).sum()
# Backprop to compute gradients of w1 and w2 with respect to loss

grad_y_pred = 2.0 * (Y_pred - Y)
grad_w2 = h1.T.dot(grad_y_pred)
grad_h1 = grad_y_pred.dot(W2.T)
grad_z1 = grad_h1.copy()
grad_z1[z1 < 0] = 0
grad_w1 = X.T.dot(grad_z1)
# Update weights
W1 -= learning_rate * grad_w1
# Forward pass for validation set: compute predicted y

z1 = X_val.dot(W1)
h1 = np.maximum(z1, 0)
y_pred_val = h1.dot(W2)
loss_val = np.square(y_pred_val - Y_val).sum()

losses_tr.append(loss)
losses_val.append(loss_val)
if t % 10 == 0:
print(t, loss, loss_val)
return W1, W2, losses_tr, losses_val
W1, W2, losses_tr, losses_val = two_layer_regression_numpy_train(X=X_iris_tr, Y=Y_

˓→iris_tr, X_val=X_iris_val, Y_val=Y_iris_val,
lr=1e-4, nite=50)
plt.plot(np.arange(len(losses_tr)), losses_tr, "-b", np.arange(len(losses_val)),␣
˓→losses_val, "-r")
Backpropagation with PyTorch Tensors
source
Numpy is a great framework, but it cannot utilize GPUs to accelerate its numerical compu-
tations. For modern deep neural networks, GPUs often provide speedups of 50x or greater,
so unfortunately numpy won’t be enough for modern deep learning. Here we introduce the
most fundamental PyTorch concept: the Tensor. A PyTorch Tensor is conceptually identical to a
numpy array: a Tensor is an n-dimensional array, and PyTorch provides many functions for op-
erating on these Tensors. Behind the scenes, Tensors can keep track of a computational graph
and gradients, but they’re also useful as a generic tool for scientific computing. Also unlike
numpy, PyTorch Tensors can utilize GPUs to accelerate their numeric computations. To run a
PyTorch Tensor on GPU, you simply need to cast it to a new datatype. Here we use PyTorch
Tensors to fit a two-layer network to random data. Like the numpy example above we need to
manually implement the forward and backward passes through the network:
import torch
def two_layer_regression_tensor_train(X, Y, X_val, Y_val, lr, nite):
dtype = torch.float
device = torch.device("cpu")
# device = torch.device("cuda:0") # Uncomment this to run on GPU

# Create random input and output data

X = torch.from_numpy(X)
Y = torch.from_numpy(Y)
X_val = torch.from_numpy(X_val)


Y_val = torch.from_numpy(Y_val)
# Randomly initialize weights

W1 = torch.randn(D_in, H, device=device, dtype=dtype)
W2 = torch.randn(H, D_out, device=device, dtype=dtype)
learning_rate = lr
# Forward pass: compute predicted y
z1 = X.mm(W1)
h1 = z1.clamp(min=0)
y_pred = h1.mm(W2)
# Compute and print loss

loss = (y_pred - Y).pow(2).sum().item()
# Backprop to compute gradients of w1 and w2 with respect to loss

grad_y_pred = 2.0 * (y_pred - Y)
grad_w2 = h1.t().mm(grad_y_pred)
grad_h1 = grad_y_pred.mm(W2.t())
grad_z1 = grad_h1.clone()
grad_z1[z1 < 0] = 0
grad_w1 = X.t().mm(grad_z1)
# Update weights using gradient descent

# Forward pass for validation set: compute predicted y

z1 = X_val.mm(W1)
h1 = z1.clamp(min=0)
y_pred_val = h1.mm(W2)
loss_val = (y_pred_val - Y_val).pow(2).sum().item()
losses_tr.append(loss)
losses_val.append(loss_val)
if t % 10 == 0:
print(t, loss, loss_val)
W1, W2, losses_tr, losses_val = two_layer_regression_tensor_train(X=X_iris_tr,␣

˓→Y=Y_iris_tr, X_val=X_iris_val, Y_val=Y_iris_val,
lr=1e-4, nite=50)



˓→ losses_val, "-r")
Backpropagation with PyTorch: Tensors and autograd
source
A fully-connected ReLU network with one hidden layer and no biases, trained to predict y
from x by minimizing squared Euclidean distance. This implementation computes the forward
pass using operations on PyTorch Tensors, and uses PyTorch autograd to compute gradients.
A PyTorch Tensor represents a node in a computational graph. If x is a Tensor that has x.
requires_grad=True then x.grad is another Tensor holding the gradient of x with respect to
some scalar value.
import torch

# del X, Y, X_val, Y_val
def two_layer_regression_autograd_train(X, Y, X_val, Y_val, lr, nite):
dtype = torch.float
device = torch.device("cpu")
# device = torch.device("cuda:0") # Uncomment this to run on GPU

# Setting requires_grad=False indicates that we do not need to compute␣

˓→gradients
# with respect to these Tensors during the backward pass.

# Create random Tensors for weights.

# Setting requires_grad=True indicates that we want to compute gradients with
# respect to these Tensors during the backward pass.
W1 = torch.randn(D_in, H, device=device, dtype=dtype, requires_grad=True)
W2 = torch.randn(H, D_out, device=device, dtype=dtype, requires_grad=True)
learning_rate = lr
# Forward pass: compute predicted y using operations on Tensors; these
# are exactly the same operations we used to compute the forward pass␣
˓→using


# Tensors, but we do not need to keep references to intermediate values␣
˓→ since
# we are not implementing the backward pass by hand.
y_pred = X.mm(W1).clamp(min=0).mm(W2)
# Compute and print loss using operations on Tensors.

# Now loss is a Tensor of shape (1,)
# loss.item() gets the scalar value held in the loss.
loss = (y_pred - Y).pow(2).sum()
# Use autograd to compute the backward pass. This call will compute the
# gradient of loss with respect to all Tensors with requires_grad=True.
# After this call w1.grad and w2.grad will be Tensors holding the gradient
# of the loss with respect to w1 and w2 respectively.
loss.backward()
# Manually update weights using gradient descent. Wrap in torch.no_grad()

# because weights have requires_grad=True, but we don't need to track this
# in autograd.
# An alternative way is to operate on weight.data and weight.grad.data.
# Recall that tensor.data gives a tensor that shares the storage with
# tensor, but doesn't track history.
# You can also use torch.optim.SGD to achieve this.
with torch.no_grad():
W1 -= learning_rate * W1.grad
W2 -= learning_rate * W2.grad
# Manually zero the gradients after updating weights

W1.grad.zero_()
W2.grad.zero_()
y_pred = X_val.mm(W1).clamp(min=0).mm(W2)
# Compute and print loss using operations on Tensors.

# Now loss is a Tensor of shape (1,)
# loss.item() gets the scalar value held in the loss.
loss_val = (y_pred - Y).pow(2).sum()
if t % 10 == 0:
print(t, loss.item(), loss_val.item())
losses_tr.append(loss.item())
losses_val.append(loss_val.item())
W1, W2, losses_tr, losses_val = two_layer_regression_autograd_train(X=X_iris_tr,␣

lr=1e-4, nite=50)


Backpropagation with PyTorch: nn
source
This implementation uses the nn package from PyTorch to build the network. PyTorch autograd
makes it easy to define computational graphs and take gradients, but raw autograd can be a bit
too low-level for defining complex neural networks; this is where the nn package can help. The
nn package defines a set of Modules, which you can think of as a neural network layer that has
produces output from input and may have some trainable weights.
import torch

# del X, Y, X_val, Y_val
def two_layer_regression_nn_train(X, Y, X_val, Y_val, lr, nite):

# Use the nn package to define our model as a sequence of layers. nn.

˓→ Sequential
# is a Module which contains other Modules, and applies them in sequence to
# produce its output. Each Linear Module computes output from input using a
# linear function, and holds internal Tensors for its weight and bias.
model = torch.nn.Sequential(
torch.nn.Linear(D_in, H),
torch.nn.ReLU(),
torch.nn.Linear(H, D_out),
)
# The nn package also contains definitions of popular loss functions; in this

# case we will use Mean Squared Error (MSE) as our loss function.
loss_fn = torch.nn.MSELoss(reduction='sum')
learning_rate = lr
# Forward pass: compute predicted y by passing x to the model. Module␣


˓→ objects
# override the __call__ operator so you can call them like functions. When
# doing so you pass a Tensor of input data to the Module and it produces
# a Tensor of output data.
y_pred = model(X)
# Compute and print loss. We pass Tensors containing the predicted and␣
˓→ true
# values of y, and the loss function returns a Tensor containing the
# loss.
loss = loss_fn(y_pred, Y)
# Zero the gradients before running the backward pass.

model.zero_grad()
# Backward pass: compute gradient of the loss with respect to all the␣
˓→learnable
# parameters of the model. Internally, the parameters of each Module are␣
˓→stored
# in Tensors with requires_grad=True, so this call will compute gradients␣

˓→for
# all learnable parameters in the model.

loss.backward()
# Update the weights using gradient descent. Each parameter is a Tensor,␣

˓→ so
# we can access its gradients like we did before.
for param in model.parameters():
param -= learning_rate * param.grad
y_pred = model(X_val)
loss_val = (y_pred - Y_val).pow(2).sum()
if t % 10 == 0:
return model, losses_tr, losses_val
model, losses_tr, losses_val = two_layer_regression_nn_train(X=X_iris_tr, Y=Y_

˓→iris_tr, X_val=X_iris_val, Y_val=Y_iris_val,
lr=1e-4, nite=50)


Backpropagation with PyTorch optim
This implementation uses the nn package from PyTorch to build the network. Rather than man-
ually updating the weights of the model as we have been doing, we use the optim package to
define an Optimizer that will update the weights for us. The optim package defines many op-
timization algorithms that are commonly used for deep learning, including SGD+momentum,
RMSProp, Adam, etc.
import torch
def two_layer_regression_nn_optim_train(X, Y, X_val, Y_val, lr, nite):

# Use the nn package to define our model and loss function.

model = torch.nn.Sequential(
torch.nn.Linear(D_in, H),
torch.nn.ReLU(),
torch.nn.Linear(H, D_out),
)
loss_fn = torch.nn.MSELoss(reduction='sum')
# Use the optim package to define an Optimizer that will update the weights of
# the model for us. Here we will use Adam; the optim package contains many␣
˓→other
# optimization algoriths. The first argument to the Adam constructor tells the
# optimizer which Tensors it should update.
learning_rate = lr
optimizer = torch.optim.Adam(model.parameters(), lr=learning_rate)
# Forward pass: compute predicted y by passing x to the model.
y_pred = model(X)
# Compute and print loss.

loss = loss_fn(y_pred, Y)
# Before the backward pass, use the optimizer object to zero all of the
# gradients for the variables it will update (which are the learnable
# weights of the model). This is because by default, gradients are
# accumulated in buffers( i.e, not overwritten) whenever .backward()


# is called. Checkout docs of torch.autograd.backward for more details.
optimizer.zero_grad()
# Backward pass: compute gradient of the loss with respect to model

# parameters
loss.backward()
# Calling the step function on an Optimizer makes an update to its

# parameters
optimizer.step()
y_pred = model(X_val)
loss_val = loss_fn(y_pred, Y_val)
if t % 10 == 0:
return model, losses_tr, losses_val
model, losses_tr, losses_val = two_layer_regression_nn_optim_train(X=X_iris_tr,␣

lr=1e-3, nite=50)
7.2 Multilayer Perceptron (MLP)
7.2.1 Course outline:
1. Recall of linear classifier

2. MLP with scikit-learn
3. MLP with pytorch
4. Test several MLP architectures
5. Limits of MLP
Sources:
Deep learning
• cs231n.stanford.edu
Pytorch
• WWW tutorials

• github tutorials
• github examples
MNIST and pytorch:
• MNIST nextjournal.com/gkoehler/pytorch-mnist
• MNIST github/pytorch/examples
• MNIST kaggle
%matplotlib inline
import os
import numpy as np
import torch
import torch.optim as optim
from torch.optim import lr_scheduler
import torchvision
from torchvision import transforms
from torchvision import datasets
from torchvision import models
#
from pathlib import Path
# Device configuration
device = torch.device('cuda:0' if torch.cuda.is_available() else 'cpu')
device = 'cpu' # Force CPU
print(device)
Hyperparameters
7.2.2 Dataset: MNIST Handwritten Digit Recognition

WD = os.path.join(Path.home(), "data", "pystatml", "dl_mnist_pytorch")
os.chdir(WD)
print("Working dir is:", os.getcwd())
os.makedirs("data", exist_ok=True)
os.makedirs("models", exist_ok=True)
def load_mnist(batch_size_train, batch_size_test):
train_loader = torch.utils.data.DataLoader(
datasets.MNIST('data', train=True, download=True,
transform=transforms.Compose([
transforms.ToTensor(),
7.2. Multilayer Perceptron (MLP) 357


transforms.Normalize((0.1307,), (0.3081,)) # Mean and␣
˓→ Std of the MNIST dataset
])),
batch_size=batch_size_train, shuffle=True)
val_loader = torch.utils.data.DataLoader(
datasets.MNIST('data', train=False, transform=transforms.Compose([
transforms.Normalize((0.1307,), (0.3081,)) # Mean and Std of the␣
˓→MNIST dataset
])),
batch_size=batch_size_test, shuffle=True)
return train_loader, val_loader
train_loader, val_loader = load_mnist(64, 10000)
dataloaders = dict(train=train_loader, val=val_loader)
# Info about the dataset

D_in = np.prod(dataloaders["train"].dataset.data.shape[1:])
D_out = len(dataloaders["train"].dataset.targets.unique())
print("Datasets shapes:", {x: dataloaders[x].dataset.data.shape for x in ['train',
˓→ 'val']})
print("N input features:", D_in, "Output classes:", D_out)
Now let’s take a look at some mini-batches examples.
batch_idx, (example_data, example_targets) = next(enumerate(train_loader))

print("Train batch:", example_data.shape, example_targets.shape)
batch_idx, (example_data, example_targets) = next(enumerate(val_loader))
print("Val batch:", example_data.shape, example_targets.shape)
So one test data batch is a tensor of shape: . This means we have 1000 examples of 28x28 pixels
in grayscale (i.e. no rgb channels, hence the one). We can plot some of them using matplotlib.
def show_data_label_prediction(data, y_true, y_pred=None, shape=(2, 3)):

y_pred = [None] * len(y_true) if y_pred is None else y_pred
fig = plt.figure()
for i in range(np.prod(shape)):
plt.subplot(*shape, i+1)
plt.tight_layout()
plt.imshow(data[i][0], cmap='gray', interpolation='none')
plt.title("True: {} Pred: {}".format(y_true[i], y_pred[i]))
plt.xticks([])
plt.yticks([])
show_data_label_prediction(data=example_data, y_true=example_targets, y_pred=None,

˓→ shape=(2, 3))

7.2.3 Recall of linear classifier
Binary logistic regression
1 neuron as output layer
𝑓 (𝑥) = 𝜎(𝑥𝑇 𝑤)
Softmax Classifier (Multinomial Logistic Regression)
• Input 𝑥: a vector of dimension (0) (layer 0).

• Ouput 𝑓 (𝑥) a vector of (1) (layer 1) possible labels
The model as (1) neurons as output layer
𝑓 (𝑥) = softmax(𝑥𝑇 𝑊 + 𝑏)
Where 𝑊 is a (0) × (1) of coefficients and 𝑏 is a (1)-dimentional vector of bias.

MNIST classfification using multinomial logistic
source: Logistic regression MNIST
Here we fit a multinomial logistic regression with L2 penalty on a subset of the MNIST digits
classification task.
source: scikit-learn.org
X_train = train_loader.dataset.data.numpy()
#print(X_train.shape)
X_train = X_train.reshape((X_train.shape[0], -1))
y_train = train_loader.dataset.targets.numpy()
X_test = val_loader.dataset.data.numpy()
X_test = X_test.reshape((X_test.shape[0], -1))
y_test = val_loader.dataset.targets.numpy()
print(X_train.shape, y_train.shape)

import numpy as np
#from sklearn.datasets import fetch_openml

#from sklearn.model_selection import train_test_split
from sklearn.utils import check_random_state
scaler = StandardScaler()
X_train = scaler.fit_transform(X_train)
X_test = scaler.transform(X_test)


# Turn up tolerance for faster convergence
clf = LogisticRegression(C=50., multi_class='multinomial', solver='sag', tol=0.1)
clf.fit(X_train, y_train)
#sparsity = np.mean(clf.coef_ == 0) * 100
score = clf.score(X_test, y_test)
print("Test score with penalty: %.4f" % score)
coef = clf.coef_.copy()
scale = np.abs(coef).max()
for i in range(10):
l1_plot = plt.subplot(2, 5, i + 1)
l1_plot.imshow(coef[i].reshape(28, 28), interpolation='nearest',
cmap=plt.cm.RdBu, vmin=-scale, vmax=scale)
l1_plot.set_xticks(())
l1_plot.set_yticks(())
l1_plot.set_xlabel('Class %i' % i)
plt.suptitle('Classification vector for...')
plt.show()
7.2.4 Model: Two Layer MLP
MLP with Scikit-learn
from sklearn.neural_network import MLPClassifier
mlp = MLPClassifier(hidden_layer_sizes=(100, ), max_iter=5, alpha=1e-4,

solver='sgd', verbose=10, tol=1e-4, random_state=1,
learning_rate_init=0.01, batch_size=64)
mlp.fit(X_train, y_train)
print("Training set score: %f" % mlp.score(X_train, y_train))
print("Test set score: %f" % mlp.score(X_test, y_test))
print("Coef shape=", len(mlp.coefs_))
fig, axes = plt.subplots(4, 4)

# use global min / max to ensure all weights are shown on the same scale
vmin, vmax = mlp.coefs_[0].min(), mlp.coefs_[0].max()
for coef, ax in zip(mlp.coefs_[0].T, axes.ravel()):
ax.matshow(coef.reshape(28, 28), cmap=plt.cm.gray, vmin=.5 * vmin,
vmax=.5 * vmax)
ax.set_xticks(())
ax.set_yticks(())
plt.show()

MLP with pytorch
class TwoLayerMLP(nn.Module):
def __init__(self, d_in, d_hidden, d_out):

super(TwoLayerMLP, self).__init__()
self.d_in = d_in
self.linear1 = nn.Linear(d_in, d_hidden)

self.linear2 = nn.Linear(d_hidden, d_out)
def forward(self, X):

X = X.view(-1, self.d_in)
X = self.linear1(X)
return F.log_softmax(self.linear2(X), dim=1)
Train the Model
• First we want to make sure our network is in training mode.

• Iterate over epochs
• Alternate train and validation dataset
• Iterate over all training/val data once per epoch. Loading the individual batches is han-
dled by the DataLoader.
• Set the gradients to zero using optimizer.zero_grad() since PyTorch by default accumu-
lates gradients.
• Forward pass:
– model(inputs): Produce the output of our network.
– torch.max(outputs, 1): softmax predictions.
– criterion(outputs, labels): loss between the output and the ground truth label.
• In training mode, backward pass backward(): collect a new set of gradients which we
propagate back into each of the network’s parameters using optimizer.step().
• We’ll also keep track of the progress with some printouts. In order to create a nice training
curve later on we also create two lists for saving training and testing losses. On the x-axis
we want to display the number of training examples the network has seen during training.
• Save model state: Neural network modules as well as optimizers have the ability
to save and load their internal state using .state_dict(). With this we can con-
tinue training from previously saved state dicts if needed - we’d just need to call .
load_state_dict(state_dict).
# %load train_val_model.py
import numpy as np


import torch
import time
import copy
def train_val_model(model, criterion, optimizer, dataloaders, num_epochs=25,

scheduler=None, log_interval=None):
since = time.time()
best_model_wts = copy.deepcopy(model.state_dict())
best_acc = 0.0
# Store losses and accuracies accross epochs

losses, accuracies = dict(train=[], val=[]), dict(train=[], val=[])
for epoch in range(num_epochs):

if log_interval is not None and epoch % log_interval == 0:
print('Epoch {}/{}'.format(epoch, num_epochs - 1))
print('-' * 10)
# Each epoch has a training and validation phase

for phase in ['train', 'val']:
if phase == 'train':
model.train() # Set model to training mode
else:
model.eval() # Set model to evaluate mode
running_loss = 0.0
running_corrects = 0
# Iterate over data.

nsamples = 0
for inputs, labels in dataloaders[phase]:
inputs = inputs.to(device)
labels = labels.to(device)
nsamples += inputs.shape[0]
# zero the parameter gradients

# forward
# track history if only in train
with torch.set_grad_enabled(phase == 'train'):
outputs = model(inputs)
_, preds = torch.max(outputs, 1)
loss = criterion(outputs, labels)
# backward + optimize only if in training phase



loss.backward()
optimizer.step()
# statistics
running_loss += loss.item() * inputs.size(0)
running_corrects += torch.sum(preds == labels.data)
if scheduler is not None and phase == 'train':

scheduler.step()
#nsamples = dataloaders[phase].dataset.data.shape[0]
epoch_loss = running_loss / nsamples
epoch_acc = running_corrects.double() / nsamples
losses[phase].append(epoch_loss)
accuracies[phase].append(epoch_acc)
print('{} Loss: {:.4f} Acc: {:.2f}%'.format(
phase, epoch_loss, 100 * epoch_acc))
# deep copy the model

if phase == 'val' and epoch_acc > best_acc:
best_acc = epoch_acc
print()
time_elapsed = time.time() - since

print('Training complete in {:.0f}m {:.0f}s'.format(
time_elapsed // 60, time_elapsed % 60))
print('Best val Acc: {:.2f}%'.format(100 * best_acc))
# load best model weights

model.load_state_dict(best_model_wts)
return model, losses, accuracies
Run one epoch and save the model
model = TwoLayerMLP(D_in, 50, D_out).to(device)

print(next(model.parameters()).is_cuda)
optimizer = optim.SGD(model.parameters(), lr=0.01, momentum=0.5)
criterion = nn.NLLLoss()
# Explore the model

for parameter in model.parameters():
print(parameter.shape)
print("Total number of parameters =", np.sum([np.prod(parameter.shape) for␣



˓→ parameter in model.parameters()]))
model, losses, accuracies = train_val_model(model, criterion, optimizer,␣

˓→dataloaders,
num_epochs=1, log_interval=1)
print(next(model.parameters()).is_cuda)
torch.save(model.state_dict(), 'models/mod-%s.pth' % model.__class__.__name__)
Use the model to make new predictions. Consider the device, ie, load data on device
example_data.to(device) from prediction, then move back to cpu example_data.cpu().
batch_idx, (example_data, example_targets) = next(enumerate(val_loader))

example_data = example_data.to(device)
output = model(example_data).cpu()
example_data = example_data.cpu()
# print(output.is_cuda)
# Softmax predictions
preds = output.argmax(dim=1)
print("Output shape=", output.shape, "label shape=", preds.shape)

print("Accuracy = {:.2f}%".format((example_targets == preds).sum().item() * 100. /
˓→ len(example_targets)))
show_data_label_prediction(data=example_data, y_true=example_targets, y_
˓→pred=preds, shape=(3, 4))
Plot missclassified samples
errors = example_targets != preds

#print(errors, np.where(errors))
print("Nb errors = {}, (Error rate = {:.2f}%)".format(errors.sum(), 100 * errors.
˓→sum().item() / len(errors)))
err_idx = np.where(errors)[0]
show_data_label_prediction(data=example_data[err_idx], y_true=example_targets[err_
˓→idx],
y_pred=preds[err_idx], shape=(3, 4))

Continue training from checkpoints: reload the model and run 10 more epochs
model = TwoLayerMLP(D_in, 50, D_out)

model.load_state_dict(torch.load('models/mod-%s.pth' % model.__class__.__name__))
model.to(device)


˓→dataloaders,
_ = plt.plot(losses['train'], '-b', losses['val'], '--r')
7.2.5 Test several MLP architectures
• Define a MultiLayerMLP([D_in, 512, 256, 128, 64, D_out]) class that take the size of
the layers as parameters of the constructor.
• Add some non-linearity with relu acivation function
class MLP(nn.Module):
def __init__(self, d_layer):

super(MLP, self).__init__()
self.d_layer = d_layer
layer_list = [nn.Linear(d_layer[l], d_layer[l+1]) for l in range(len(d_
˓→layer) - 1)]
self.linears = nn.ModuleList(layer_list)
def forward(self, X):

X = X.view(-1, self.d_layer[0])
# relu(Wl x) for all hidden layer
for layer in self.linears[:-1]:
X = F.relu(layer(X))
# softmax(Wl x) for output layer
return F.log_softmax(self.linears[-1](X), dim=1)
model = MLP([D_in, 512, 256, 128, 64, D_out]).to(device)


˓→dataloaders,

7.2.6 Reduce the size of training dataset
Reduce the size of the training dataset by considering only 10 minibatche for size16.
train_size = 10 * 16
# Stratified sub-sampling
targets = train_loader.dataset.targets.numpy()
nclasses = len(set(targets))
indices = np.concatenate([np.random.choice(np.where(targets == lab)[0], int(train_

˓→size / nclasses),replace=False)
for lab in set(targets)])

np.random.shuffle(indices)
train_loader = torch.utils.data.DataLoader(train_loader.dataset, batch_size=16,

sampler=torch.utils.data.SubsetRandomSampler(indices))
# Check train subsampling

train_labels = np.concatenate([labels.numpy() for inputs, labels in train_loader])
print("Train size=", len(train_labels), " Train label count=", {lab:np.sum(train_
˓→labels == lab) for lab in set(train_labels)})
print("Batch sizes=", [inputs.size(0) for inputs, labels in train_loader])
# Put together train and val


print("Datasets shape", {x: dataloaders[x].dataset.data.shape for x in ['train',
˓→'val']})
print("N input features", D_in, "N output", D_out)


˓→dataloaders,
Use an opimizer with an adaptative learning rate: Adam

optimizer = torch.optim.Adam(model.parameters(), lr=0.001)


˓→dataloaders,
7.2.7 Run MLP on CIFAR-10 dataset
The CIFAR-10 dataset consists of 60000 32x32 colour images in 10 classes, with 6000 images
per class. There are 50000 training images and 10000 test images.
The dataset is divided into five training batches and one test batch, each with 10000 images.
The test batch contains exactly 1000 randomly-selected images from each class. The training
batches contain the remaining images in random order, but some training batches may contain
more images from one class than another. Between them, the training batches contain exactly
5000 images from each class.
Here are the classes in the dataset, as well as 10 random images from each: - airplane
- automobile
- bird
- cat
- deer
- dog
- frog
- horse
- ship
- truck
Load CIFAR-10 dataset

WD = os.path.join(Path.home(), "data", "pystatml", "dl_cifar10_pytorch")
os.chdir(WD)
import numpy as np
import torch
import torchvision
import torchvision.transforms as transforms

# Hyper-parameters
num_epochs = 5
learning_rate = 0.001
# Image preprocessing modules

transform = transforms.Compose([
transforms.Pad(4),
transforms.RandomHorizontalFlip(),
transforms.RandomCrop(32),
transforms.ToTensor()])
# CIFAR-10 dataset
train_dataset = torchvision.datasets.CIFAR10(root='data/',
train=True,
transform=transform,
download=True)
val_dataset = torchvision.datasets.CIFAR10(root='data/',
train=False,
transform=transforms.ToTensor())
# Data loader
train_loader = torch.utils.data.DataLoader(dataset=train_dataset,
batch_size=100,
shuffle=True)
val_loader = torch.utils.data.DataLoader(dataset=val_dataset,
batch_size=100,
shuffle=False)


D_out = len(set(dataloaders["train"].dataset.targets))
print("Datasets shape:", {x: dataloaders[x].dataset.data.shape for x in ['train',
˓→'val']})
print("N input features:", D_in, "N output:", D_out)




˓→ dataloaders,


CHAPTER
EIGHT
DEEP LEARNING FOR COMPUTER VISION
8.1 Convolutional neural network
8.1.1 Outline
2. Architecures
3. Train and test functions
4. CNN models
5. MNIST
6. CIFAR-10
Sources:
Deep learning - cs231n.stanford.edu
CNN - Stanford cs231n
Pytorch - WWW tutorials - github tutorials - github examples
MNIST and pytorch: - MNIST nextjournal.com/gkoehler/pytorch-mnist - MNIST
github/pytorch/examples - MNIST kaggle
8.1.2 Architectures
Sources:
• cv-tricks.com
• [zhenye-na.github.io(]https://zhenye-na.github.io/2018/12/01/cnn-deep-leearning-ai-
week2.html)
371
LeNet
The first Convolutional Networks were developed by Yann LeCun in 1990’s.
Fig. 1: LeNet
AlexNet
(2012, Alex Krizhevsky, Ilya Sutskever and Geoff Hinton)
Fig. 2: AlexNet
• Deeper, bigger,
• Featured Convolutional Layers stacked on top of each other (previously it was common to
only have a single CONV layer always immediately followed by a POOL layer).
• ReLu(Rectified Linear Unit) for the non-linear part, instead of a Tanh or Sigmoid.
The advantage of the ReLu over sigmoid is that it trains much faster than the latter because the
derivative of sigmoid becomes very small in the saturating region and therefore the updates to
the weights almost vanish. This is called vanishing gradient problem.
• Dropout: reduces the over-fitting by using a Dropout layer after every FC layer. Dropout
layer has a probability,(p), associated with it and is applied at every neuron of the response
map separately. It randomly switches off the activation with the probability p.
Why does DropOut work?
372 Chapter 8. Deep Learning for Computer Vision

Fig. 3: AlexNet architecture
Fig. 4: Dropout
8.1. Convolutional neural network 373

The idea behind the dropout is similar to the model ensembles. Due to the dropout layer, dif-
ferent sets of neurons which are switched off, represent a different architecture and all these
different architectures are trained in parallel with weight given to each subset and the sum-
mation of weights being one. For n neurons attached to DropOut, the number of subset ar-
chitectures formed is 2^n. So it amounts to prediction being averaged over these ensembles
of models. This provides a structured model regularization which helps in avoiding the over-
fitting. Another view of DropOut being helpful is that since neurons are randomly chosen, they
tend to avoid developing co-adaptations among themselves thereby enabling them to develop
meaningful features, independent of others.
• Data augmentation is carried out to reduce over-fitting. This Data augmentation includes
mirroring and cropping the images to increase the variation in the training data-set.
GoogLeNet. (Szegedy et al. from Google 2014) was a Convolutional Network . Its main contri-
bution was the development of an
• Inception Module that dramatically reduced the number of parameters in the network
(4M, compared to AlexNet with 60M).
Fig. 5: Inception Module
• There are also several followup versions to the GoogLeNet, most recently Inception-v4.
VGGNet. (Karen Simonyan and Andrew Zisserman 2014)
• 16 CONV/FC layers and, appealingly, features an extremely homogeneous architecture.
• Only performs 3x3 convolutions and 2x2 pooling from the beginning to the end. Replace
large kernel-sized filters(11 and 5 in the first and second convolutional layer, respectively)
with multiple 3X3 kernel-sized filters one after another.
With a given receptive field(the effective area size of input image on which output depends),
multiple stacked smaller size kernel is better than the one with a larger size kernel because
multiple non-linear layers increases the depth of the network which enables it to learn more
complex features, and that too at a lower cost. For example, three 3X3 filters on top of each
other with stride 1 ha a receptive size of 7, but the number of parameters involved is 3*(9^2)
in comparison to 49^2 parameters of kernels with a size of 7.

Fig. 6: VGGNet
Fig. 7: VGGNet architecture

• Lot more memory and parameters (140M)

ResNet. (Kaiming He et al. 2015)
Resnet block variants (Source):
Fig. 8: ResNet block
Fig. 9: ResNet 18
• Skip connections
• Batch normalization.
• State of the art CNN models and are the default choice (as of May 10, 2016). In particular,
also see more
• Recent developments that tweak the original architecture from Kaiming He et al. Identity
Mappings in Deep Residual Networks (published March 2016).
Models in pytorch

Fig. 10: ResNet 18 architecture
8.1.3 Architecures general guidelines
• ConvNets stack CONV,POOL,FC layers

• Trend towards smaller filters and deeper architectures: stack 3x3, instead of 5x5
• Trend towards getting rid of POOL/FC layers (just CONV)
• Historically architectures looked like [(CONV-RELU) x N POOL?] x M (FC-RELU) x K,
SOFTMAX where N is usually up to ~5, M is large, 0 <= K <= 2.
• but recent advances such as ResNet/GoogLeNet have challenged this paradigm
8.1.4 Train function
%matplotlib inline
import os
import numpy as np
import torch
import torchvision
#


import numpy as np
import torch
import time
import copy

since = time.time()
best_acc = 0.0


print('-' * 10)

else:
running_loss = 0.0

nsamples = 0

# forward



loss.backward()
optimizer.step()
# statistics

scheduler.step()
print('{} Loss: {:.4f} Acc: {:.2f}%'.format(
phase, epoch_loss, 100 * epoch_acc))

print()

print('Best val Acc: {:.2f}%'.format(100 * best_acc))


8.1.5 CNN models
LeNet-5
Here we implement LeNet-5 with relu activation. Sources: (1), (2).
class LeNet5(nn.Module):
"""
layers: (nb channels in input layer,
nb channels in 1rst conv,
nb channels in 2nd conv,
nb neurons for 1rst FC: TO BE TUNED,
nb neurons for 2nd FC,
nb neurons for 3rd FC,
nb neurons output FC TO BE TUNED)
"""
def __init__(self, layers = (1, 6, 16, 1024, 120, 84, 10), debug=False):
super(LeNet5, self).__init__()
self.layers = layers
self.debug = debug
self.conv1 = nn.Conv2d(layers[0], layers[1], 5, padding=2)
self.conv2 = nn.Conv2d(layers[1], layers[2], 5)
self.fc1 = nn.Linear(layers[3], layers[4])

x = F.max_pool2d(F.relu(self.conv1(x)), 2) # same shape / 2
x = F.max_pool2d(F.relu(self.conv2(x)), 2) # -4 / 2
if self.debug:
print("### DEBUG: Shape of last convnet=", x.shape[1:], ". FC size=",␣
˓→np.prod(x.shape[1:]))
x = x.view(-1, self.layers[3])
x = F.relu(self.fc1(x))
x = self.fc3(x)
return F.log_softmax(x, dim=1)
VGGNet like: conv-relu blocks
# Defining the network (LeNet-5)

class MiniVGGNet(torch.nn.Module):


def __init__(self, layers=(1, 16, 32, 1024, 120, 84, 10), debug=False):
super(MiniVGGNet, self).__init__()
self.layers = layers
self.debug = debug
# Conv block 1
self.conv11 = nn.Conv2d(in_channels=layers[0], out_channels=layers[1],␣
˓→kernel_size=3,
stride=1, padding=0, bias=True)

˓→kernel_size=3,
# Conv block 2
˓→kernel_size=3,

˓→kernel_size=3,
# Fully connected layer


x = F.relu(self.conv11(x))
x = F.max_pool2d(x, 2)
x = F.max_pool2d(x, 2)
if self.debug:
print("### DEBUG: Shape of last convnet=", x.shape[1:], ". FC size=",␣
˓→np.prod(x.shape[1:]))
x = x.view(-1, self.layers[3])
x = self.fc3(x)
return F.log_softmax(x, dim=1)

ResNet-like Model:
Stack multiple resnet blocks
# ---------------------------------------------------------------------------- #
# An implementation of https://arxiv.org/pdf/1512.03385.pdf #
# See section 4.2 for the model architecture on CIFAR-10 #
# Some part of the code was referenced from below #
# https://github.com/pytorch/vision/blob/master/torchvision/models/resnet.py #
# ---------------------------------------------------------------------------- #
# 3x3 convolution
def conv3x3(in_channels, out_channels, stride=1):
return nn.Conv2d(in_channels, out_channels, kernel_size=3,
stride=stride, padding=1, bias=False)
# Residual block
class ResidualBlock(nn.Module):
def __init__(self, in_channels, out_channels, stride=1, downsample=None):
super(ResidualBlock, self).__init__()
self.conv1 = conv3x3(in_channels, out_channels, stride)
self.bn1 = nn.BatchNorm2d(out_channels)
self.relu = nn.ReLU(inplace=True)
self.conv2 = conv3x3(out_channels, out_channels)
self.bn2 = nn.BatchNorm2d(out_channels)
self.downsample = downsample

residual = x
out = self.conv1(x)
out = self.bn1(out)
out = self.relu(out)
out = self.conv2(out)
out = self.bn2(out)
if self.downsample:
residual = self.downsample(x)
out += residual
return out
# ResNet
class ResNet(nn.Module):
def __init__(self, block, layers, num_classes=10):
super(ResNet, self).__init__()
self.in_channels = 16
self.conv = conv3x3(3, 16)
self.bn = nn.BatchNorm2d(16)
self.relu = nn.ReLU(inplace=True)
self.layer1 = self.make_layer(block, 16, layers[0])
self.layer2 = self.make_layer(block, 32, layers[1], 2)


self.layer3 = self.make_layer(block, 64, layers[2], 2)
self.avg_pool = nn.AvgPool2d(8)
self.fc = nn.Linear(64, num_classes)
def make_layer(self, block, out_channels, blocks, stride=1):

downsample = None
if (stride != 1) or (self.in_channels != out_channels):
downsample = nn.Sequential(
conv3x3(self.in_channels, out_channels, stride=stride),
nn.BatchNorm2d(out_channels))
layers = []
layers.append(block(self.in_channels, out_channels, stride, downsample))
self.in_channels = out_channels
for i in range(1, blocks):
layers.append(block(out_channels, out_channels))
return nn.Sequential(*layers)

out = self.conv(x)
out = self.bn(out)
out = self.layer1(out)
out = self.avg_pool(out)
out = out.view(out.size(0), -1)
out = self.fc(out)
return F.log_softmax(out, dim=1)
#return out
ResNet9
• DAWNBench on cifar10
• ResNet9: train to 94% CIFAR10 accuracy in 100 seconds
8.1.6 MNIST digit classification

from torchvision import datasets, transforms
import os
WD = os.path.join(Path.home(), "data", "pystatml", "dl_mnist_pytorch")

os.chdir(WD)

def load_mnist(batch_size_train, batch_size_test):
train_loader = torch.utils.data.DataLoader(
datasets.MNIST('data', train=True, download=True,
transform=transforms.Compose([
transforms.Normalize((0.1307,), (0.3081,))
])),
batch_size=batch_size_train, shuffle=True)
test_loader = torch.utils.data.DataLoader(
datasets.MNIST('data', train=False, transform=transforms.Compose([
transforms.Normalize((0.1307,), (0.3081,))
])),
batch_size=batch_size_test, shuffle=True)
return train_loader, test_loader

data_shape = dataloaders["train"].dataset.data.shape[1:]
D_in = np.prod(data_shape)
D_out = len(dataloaders["train"].dataset.targets)
˓→'val']})
LeNet
Dry run in debug mode to get the shape of the last convnet layer.
model = LeNet5((1, 6, 16, 1, 120, 84, 10), debug=True)

batch_idx, (data_example, target_example) = next(enumerate(train_loader))
print(model)
_ = model(data_example)
Set First FC layer to 400
model = LeNet5((1, 6, 16, 400, 120, 84, 10)).to(device)

# Explore the model



˓→parameter in model.parameters()]))

˓→dataloaders,
MiniVGGNet
model = MiniVGGNet(layers=(1, 16, 32, 1, 120, 84, 10), debug=True)
print(model)
Set First FC layer to 800
model = MiniVGGNet((1, 16, 32, 800, 120, 84, 10)).to(device)

# Explore the model



˓→dataloaders,
Reduce the size of training dataset
Reduce the size of the training dataset by considering only 10 minibatche for size16.
train_size = 10 * 16
# Stratified sub-sampling
targets = train_loader.dataset.targets.numpy()
nclasses = len(set(targets))

indices = np.concatenate([np.random.choice(np.where(targets == lab)[0], int(train_

˓→size / nclasses),replace=False)
for lab in set(targets)])

np.random.shuffle(indices)
train_loader = torch.utils.data.DataLoader(train_loader.dataset, batch_size=16,

sampler=torch.utils.data.SubsetRandomSampler(indices))
# Check train subsampling

train_labels = np.concatenate([labels.numpy() for inputs, labels in train_loader])
print("Train size=", len(train_labels), " Train label count=", {lab:np.sum(train_
˓→labels == lab) for lab in set(train_labels)})
print("Batch sizes=", [inputs.size(0) for inputs, labels in train_loader])


˓→'val']})
LeNet5
model = LeNet5((1, 6, 16, 400, 120, 84, D_out)).to(device)


˓→dataloaders,
MiniVGGNet
model = MiniVGGNet((1, 16, 32, 800, 120, 84, 10)).to(device)


˓→dataloaders,

8.1.7 CIFAR-10 dataset
Source Yunjey Choi

os.chdir(WD)
import numpy as np
import torch
import torchvision
# Hyper-parameters
num_epochs = 5
learning_rate = 0.001

transforms.Pad(4),
# CIFAR-10 dataset
train=True,
download=True)
val_dataset = torchvision.datasets.CIFAR10(root='data/',
train=False,
# Data loader
batch_size=100,
shuffle=True)
val_loader = torch.utils.data.DataLoader(dataset=val_dataset,
batch_size=100,
shuffle=False)



print("Datasets shape:", {x: dataloaders[x].dataset.data.shape for x in ['train',
˓→'val']})
print("N input features:", D_in, "N output:", D_out)
LeNet
model = LeNet5((3, 6, 16, 1, 120, 84, D_out), debug=True)

batch_idx, (data_example, target_example) = next(enumerate(train_loader))
print(model)
Set 576 neurons to the first FC layer

SGD with momentum lr=0.001, momentum=0.5

# Explore the model



˓→dataloaders,
Increase learning rate and momentum lr=0.01, momentum=0.9


˓→dataloaders,

Adaptative learning rate: Adam


˓→dataloaders,
MiniVGGNet
model = MiniVGGNet(layers=(3, 16, 32, 1, 120, 84, D_out), debug=True)

print(model)
Set 1152 neurons to the first FC layer

SGD with large momentum and learning rate
model = MiniVGGNet((3, 16, 32, 1152, 120, 84, D_out)).to(device)


˓→dataloaders,
Adam
model = MiniVGGNet((3, 16, 32, 1152, 120, 84, D_out)).to(device)


˓→dataloaders,

ResNet
model = ResNet(ResidualBlock, [2, 2, 2], num_classes=D_out).to(device) # 195738␣

˓→parameters


˓→dataloaders,
8.2 Transfer Learning Tutorial
Sources:
• cs231n @ Stanford
• Sasank Chilamkurthy
Quote cs231n @ Stanford:
In practice, very few people train an entire Convolutional Network from scratch (with random
initialization), because it is relatively rare to have a dataset of sufficient size. Instead, it is
common to pretrain a ConvNet on a very large dataset (e.g. ImageNet, which contains 1.2
million images with 1000 categories), and then use the ConvNet either as an initialization or a
fixed feature extractor for the task of interest.
These two major transfer learning scenarios look as follows:
• ConvNet as fixed feature extractor:
– Take a ConvNet pretrained on ImageNet,
– Remove the last fully-connected layer (this layer’s outputs are the 1000 class scores
for a different task like ImageNet)
– Treat the rest of the ConvNet as a fixed feature extractor for the new dataset.
In practice:
– Freeze the weights for all of the network except that of the final fully connected layer.
This last fully connected layer is replaced with a new one with random weights and
only this layer is trained.
• Finetuning the convnet:
fine-tune the weights of the pretrained network by continuing the backpropagation. It is possi-
ble to fine-tune all the layers of the ConvNet
Instead of random initializaion, we initialize the network with a pretrained network, like the
one that is trained on imagenet 1000 dataset. Rest of the training looks as usual.

%matplotlib inline
import os
import numpy as np
import torch
import torchvision
#
8.2.1 Training function
Combine train and test/validation into a single function.

Now, let’s write a general function to train a model. Here, we will illustrate:
• Scheduling the learning rate
• Saving the best model
In the following, parameter scheduler is an LR scheduler object from torch.optim.
lr_scheduler.
import numpy as np
import torch
import time
import copy

since = time.time()
best_acc = 0.0


8.2. Transfer Learning Tutorial 391


print('-' * 10)

else:
running_loss = 0.0

nsamples = 0

# forward

loss.backward()
optimizer.step()
# statistics

scheduler.step()


print('{} Loss: {:.4f} Acc: {:.4f}'.format(
phase, epoch_loss, epoch_acc))

print()

print('Best val Acc: {:4f}'.format(best_acc))

8.2.2 CIFAR-10 dataset
Source Yunjey Choi

os.chdir(WD)

transforms.Pad(4),
# CIFAR-10 dataset
train=True,
download=True)
test_dataset = torchvision.datasets.CIFAR10(root='data/',
train=False,

# Data loader
batch_size=100,
shuffle=True)
val_loader = torch.utils.data.DataLoader(dataset=test_dataset,
batch_size=100,
shuffle=False)


˓→'val']})
Finetuning the convnet
• Load a pretrained model and reset final fully connected layer.

• SGD optimizer.
model_ft = models.resnet18(pretrained=True)
num_ftrs = model_ft.fc.in_features
# Here the size of each output sample is set to 10.
model_ft.fc = nn.Linear(num_ftrs, D_out)
model_ft = model_ft.to(device)
criterion = nn.CrossEntropyLoss()
# Observe that all parameters are being optimized

optimizer_ft = optim.SGD(model_ft.parameters(), lr=0.001, momentum=0.9)
# Decay LR by a factor of 0.1 every 7 epochs

exp_lr_scheduler = lr_scheduler.StepLR(optimizer_ft, step_size=7, gamma=0.1)
model, losses, accuracies = train_val_model(model_ft, criterion, optimizer_ft,

dataloaders, scheduler=exp_lr_scheduler, num_epochs=25, log_interval=5)
epochs = np.arange(len(losses['train']))
_ = plt.plot(epochs, losses['train'], '-b', epochs, losses['val'], '--r')
Adam optimizer

model_ft = models.resnet18(pretrained=True)
num_ftrs = model_ft.fc.in_features
# Here the size of each output sample is set to 10.
model_ft.fc = nn.Linear(num_ftrs, D_out)
model_ft = model_ft.to(device)
# Observe that all parameters are being optimized

optimizer_ft = torch.optim.Adam(model_ft.parameters(), lr=0.001)

exp_lr_scheduler = lr_scheduler.StepLR(optimizer_ft, step_size=7, gamma=0.1)
model, losses, accuracies = train_val_model(model_ft, criterion, optimizer_ft,

ResNet as a feature extractor
Freeze all the network except the final layer: requires_grad == False to freeze the parameters
so that the gradients are not computed in backward().
model_conv = torchvision.models.resnet18(pretrained=True)
for param in model_conv.parameters():
param.requires_grad = False
# Parameters of newly constructed modules have requires_grad=True by default

num_ftrs = model_conv.fc.in_features
model_conv.fc = nn.Linear(num_ftrs, D_out)
model_conv = model_conv.to(device)
# Observe that only parameters of final layer are being optimized as

# opposed to before.
optimizer_conv = optim.SGD(model_conv.fc.parameters(), lr=0.001, momentum=0.9)

exp_lr_scheduler = lr_scheduler.StepLR(optimizer_conv, step_size=7, gamma=0.1)
model, losses, accuracies = train_val_model(model_conv, criterion, optimizer_conv,

Adam optimizer
model_conv = torchvision.models.resnet18(pretrained=True)
for param in model_conv.parameters():
param.requires_grad = False
# Parameters of newly constructed modules have requires_grad=True by default

num_ftrs = model_conv.fc.in_features
model_conv.fc = nn.Linear(num_ftrs, D_out)
model_conv = model_conv.to(device)
# Observe that only parameters of final layer are being optimized as

# opposed to before.
optimizer_conv = optim.Adam(model_conv.fc.parameters(), lr=0.001)

exp_lr_scheduler = lr_scheduler.StepLR(optimizer_conv, step_size=7, gamma=0.1)
model, losses, accuracies = train_val_model(model_conv, criterion, optimizer_conv,

exp_lr_scheduler, dataloaders, num_epochs=25, log_interval=5)

CHAPTER
NINE
NATURAL LANGUAGE PROCESSING
9.1 Bag-of-Words Models
Bag-of-Words Model from Wikipedia: The bag-of-words model is a model of text which uses a
representation of text that is based on an unordered collection (or “bag”) of words. [. . . ] It
disregards word order [. . . ] but captures multiplicity.
9.1.1 Introduction
1. Preparing text data (pre-processing)

• Standardization: removing irrelevant information, such as punctuation, special char-
acters, lower-upper case, and stopwords.
• Tokenization (text splitting)
• Stemming/Lemmatization
2. Encode texts into a numerical vectors (features extraction)
• Bag of Words Vectorization-based Models: consider phrases as sets of words. Words
are encoded as vectors independently of the context in which they appear in corpus.
• Embedding: phrases are sequences of words. Words are encoded as vectors inte-
grating their context of appearance in corpus.
3. Predictive analysis
• Text classification: “What’s the topic of this text?”
• Content filtering: “Does this text contain abuse?”, spam detection,
• Sentiment analysis: Does this text sound positive or negative?
4. Generate new text
• Translation
• Chatbot/summarization
397
9.1.2 Preparing text data
Standardization and Tokenization
# Example usage
text = """Check out the new http://example.com website! It's awesome.

Hé, it is for programmers that like to program with programming language.
"""
The Do It Yourself way

Basic standardization consist of: - Lower case words - Remove numbers - Remove punctuation
# import regex
import re
# Convert to lower case

lower_string = text.lower()
# Remove numbers
no_number_string = re.sub(r'\d+','', lower_string)
# Remove all punctuation except words and space

no_punc_string = re.sub(r'[^\w\s]','', no_number_string)
# Remove white spaces

no_wspace_string = no_punc_string.strip()
# Tokenization
print(no_wspace_string.split())
NLTK to perform more sophisticated standardization, including:

Basic standardization consist of: - Lower case words - Remove URLs - Remove strip accents -
stop words are commonly used words that are often removed from text during preprocessing
to focus on the more informative words. These words typically include articles, prepositions,
conjunctions, and pronouns such as “the,” “is,” “in,” “and,” “but,” “on,” etc. The rationale behind
removing stop words is that they occur very frequently in the language and generally do not
contribute significant meaning to the analysis or understanding of the text. By eliminating
stop words, NLP models can reduce the dimensionality of the data and improve computational
efficiency without losing important information.
import nltk
import re
import string
import unicodedata
from nltk.corpus import stopwords
from nltk.tokenize import word_tokenize
from nltk.stem import PorterStemmer, WordNetLemmatizer
# Download necessary NLTK data

398 Chapter 9. Natural Language Processing


nltk.download('punkt')
nltk.download('stopwords')
nltk.download('wordnet')
nltk.download('omw-1.4')
def strip_accents(text):
# Normalize the text to NFKD form and strip accents
text = unicodedata.normalize('NFKD', text)
text = ''.join([c for c in text if not unicodedata.combining(c)])
return text
def standardize_tokenize(text, stemming=False, lemmatization=False):

# Convert to lowercase
text = text.lower()
# Remove URLs
text = re.sub(r'http\S+|www\S+|https\S+', '', text, flags=re.MULTILINE)
# Remove numbers
text = re.sub(r'\d+', '', text)
# Remove punctuation
# string.punctuation provides a string of all punctuation characters.
# str.maketrans() creates a translation table that maps each punctuation
# character to None.
# text.translate(translator) uses this translation table to remove all
# punctuation characters from the input string.
text = text.translate(str.maketrans('', '', string.punctuation))
# Strip accents
text = strip_accents(text)
# Tokenize the text

words = word_tokenize(text)
# Remove stop words

stop_words = set(stopwords.words('english'))
words = [word for word in words if word not in stop_words]
# Remove repeated words

words = list(dict.fromkeys(words))
# Initialize stemmer and lemmatizer

stemmer = PorterStemmer()
lemmatizer = WordNetLemmatizer()
# Apply stemming and lemmatization
words = [stemmer.stem(word) for word in words] if stemming \

9.1. Bag-of-Words Models 399


else words
words = [lemmatizer.lemmatize(word) for word in words] if lemmatization \

else words
return words
# Create callable with default values

import functools
standardize_tokenize_stemming = \
functools.partial(standardize_tokenize, stemming=True)
standardize_tokenize_lemmatization = \
functools.partial(standardize_tokenize, lemmatization=True)
standardize_tokenize_stemming_lemmatization = \
functools.partial(standardize_tokenize, stemming=True, lemmatization=True)
standardize_tokenize(text)
Stemming and lemmatization
Stemming and lemmatization are techniques used to reduce words to their base or root form,
which helps in standardizing text and improving the performance of various NLP tasks.
Stemming is the process of reducing a word to its base or root form, often by removing suffixes
or prefixes. The resulting stem may not be a valid word but is intended to capture the word’s
core meaning. Stemming algorithms, such as the Porter Stemmer or Snowball Stemmer, use
heuristic rules to chop off common morphological endings from words.
Example: The words “running,” “runner,” and “ran” might all be reduced to “run.”
# standardize_tokenize(text, stemming=True)
standardize_tokenize_stemming(text)
Lemmatization is the process of reducing a word to its lemma, which is its canonical or dic-
tionary form. Unlike stemming, lemmatization considers the word’s part of speech and uses a
more comprehensive approach to ensure that the transformed word is a valid word in the lan-
guage. Lemmatization typically requires more linguistic knowledge and is implemented using
libraries like WordNet.
Example: The words “running” and “ran” would both be reduced to “run,” while “better” would
be reduced to “good.”
# standardize_tokenize(text, lemmatization=True)
standardize_tokenize_lemmatization(text)
While both stemming and lemmatization aim to reduce words to a common form, lemmatiza-
tion is generally more accurate and produces words that are meaningful in the context of the
language. However, stemming is faster and simpler to implement. The choice between the two
depends on the specific requirements and constraints of the NLP task at hand.

# standardize_tokenize(text, stemming=True, lemmatization=True)

standardize_tokenize_stemming_lemmatization(text)
Scikit-learn analyzer is simple and will be sufficient most of the time.
from sklearn.feature_extraction.text import CountVectorizer
analyzer = CountVectorizer(strip_accents='unicode', stop_words='english').build_

˓→analyzer()
analyzer(text)
9.1.3 Bag of Words (BOWs) Encoding
Source: text feature extraction with scikit-learn
Simple Count Vectorization
CountVectorizer:” Convert a collection of text documents to a matrix of token counts. Note that
``CountVectorizer`` preforms the standardization and the tokenization.”
It creates one feature (column) for each tokens (words) in the corpus, and returns one line per
sentence, counting the occurence of each tokens.
corpus = [
'This is the first document. This DOCUMENT is in english.',
'in French, some letters have accents, like é.',
'Is this document in French?',
]
vectorizer = CountVectorizer(strip_accents='unicode', stop_words='english')

X = vectorizer.fit_transform(corpus)
print(vectorizer.get_feature_names_out())
# Note thatthe shape of the array is:

# number of sentences by number of existing token
print(X.toarray())
Word n-grams are contiguous sequences of ‘n’ words from a given text. They are used to
capture the context and structure of language by considering the relationships between words
within these sequences. The value of ‘n’ determines the length of the word sequence:
• Unigram (1-gram): A single word (e.g., “natural”).
• Bigram (2-gram): A sequence of two words (e.g., “natural language”).
• Trigram (3-gram): A sequence of three words (e.g., “natural language processing”).
vectorizer2 = CountVectorizer(analyzer='word', ngram_range=(2, 2),

strip_accents='unicode', stop_words='english')


X2 = vectorizer2.fit_transform(corpus)
print(vectorizer2.get_feature_names_out())
print(X2.toarray())
TF-IDF Vectorization approach:
TF-IDF (Term Frequency-Inverse Document Frequency) feature extraction:

“TF-IDF (Term Frequency-Inverse Document Frequency) integrates two metrics: Term Frequency
(TF) and Inverse Document Frequency (IDF). This method is employed when working with multiple
documents, operating on the principle that rare words provide more insight into a document’s
content than frequently occurring words across the entire document set.”
“A challenge with relying solely on word frequency is that commonly used words may overshadow
the document, despite offering less”informational content” compared to rarer, potentially domain-
specific terms. To address this, one can adjust the frequency of words by considering their prevalence
across all documents, thereby reducing the scores of frequently used words that are common across
the corpus.”
Term Frequency: Provide large weight to frequent words. Given a token 𝑡 (term, word), a
doccument 𝑑
number of times t appears in d
𝑇 𝐹 (𝑡, 𝑑) =
total number of term in d
Inverse Document Frequency: Give more importance to rare “meaningfull” words a appear in
few doduments.
If N is the total number of documents, and df is the number of documents with token t, then:
𝑁
𝐼𝐷𝐹 (𝑡) =
1 + 𝑑𝑓
𝐼𝐷𝐹 (𝑡) ≈ 1 if 𝑡 appears in all documents, while 𝐼𝐷𝐹 (𝑡) ≈ 𝑁 if 𝑡 is a rare meaningfull word
that appears in only one document.
Finally:
𝑇 𝐹 -𝐼𝐷𝐹 (𝑡, 𝑑) = 𝑇 𝐹 (𝑡, 𝑑) * 𝐼𝐷𝐹 (𝑡)
TfidfVectorizer:
Convert a collection of raw documents to a matrix of TF-IDF (Term Frequency-Inverse Document
Frequency)
from sklearn.feature_extraction.text import TfidfVectorizer
vectorizer = TfidfVectorizer(strip_accents='unicode', stop_words='english')

X = vectorizer.fit_transform(corpus)
print(vectorizer.get_feature_names_out())
print(X.toarray().round(3))
print(X.shape)

Lab 1: Sentiment Analysis of Financial data
Sources: Sentiment Analysis of Financial data

The data is intended for advancing financial sentiment analysis research. It’s two datasets
(FiQA, Financial PhraseBank) combined into one easy-to-use CSV file. It provides financial
sentences with sentiment labels. Citations Malo, Pekka, et al. “Good debt or bad debt: Detecting
semantic orientations in economic texts.” Journal of the Association for Information Science and
Technology 65.4 (2014): 782-796.
Import libraries
import numpy as np
import pandas as pd
# Plot
%matplotlib inline
from wordcloud import WordCloud
# ML
from sklearn.naive_bayes import MultinomialNB
from sklearn.ensemble import GradientBoostingClassifier
Load the Dataset
data = pd.read_csv('../datasets/FinancialSentimentAnalysis.csv')
print("Shape:", data.shape, "columns:", data.columns)

print(data.describe())
data.head()
Target variable
y = data['Sentiment']
y.value_counts(), y.value_counts(normalize=True).round(2)
Input data: BOWs encoding

Choose tokenizer
text = 'Tesla to recall 2,700 Model X SUVs over seat issue https://t.co/
˓→OdPraN59Xq $TSLA https://t.co/xvn4blIwpy https://t.co/ThfvWTnRPs'
vectorizer = CountVectorizer(stop_words='english', strip_accents='unicode')
tokenizer_sklearn = vectorizer.build_analyzer()
print(" ".join(tokenizer_sklearn(text)))
print("Shape: ", CountVectorizer(tokenizer=tokenizer_sklearn).fit_transform(data[
˓→'Sentence']).shape)

print(" ".join(standardize_tokenize(text)))
print("Shape: ", CountVectorizer(tokenizer=standardize_tokenize).fit_
˓→transform(data['Sentence']).shape)
print(" ".join(standardize_tokenize_stemming(text)))
print("Shape: ", CountVectorizer(tokenizer=standardize_tokenize_stemming).fit_
˓→transform(data['Sentence']).shape)
print(" ".join(standardize_tokenize_lemmatization(text)))
print("Shape: ", CountVectorizer(tokenizer=standardize_tokenize_lemmatization).
˓→fit_transform(data['Sentence']).shape)
print(" ".join(standardize_tokenize_stemming_lemmatization(text)))
print("Shape: ", CountVectorizer(tokenizer=standardize_tokenize_stemming_
˓→lemmatization).fit_transform(data['Sentence']).shape)
# vectorizer = CountVectorizer(stop_words='english', strip_accents='unicode')

# vectorizer = CountVectorizer(tokenizer=standardize_tokenize)
# vectorizer = CountVectorizer(tokenizer=standardize_tokenize_stemming)
# vectorizer = CountVectorizer(tokenizer=standardize_tokenize_lemmatization)
vectorizer = CountVectorizer(tokenizer=standardize_tokenize_stemming_
˓→lemmatization)
# vectorizer = TfidfVectorizer(stop_words='english', strip_accents='unicode')

# vectorizer = TfidfVectorizer(tokenizer=standardize_tokenize_stemming_
˓→lemmatization)
# Retrieve the analyzer to store transformed sentences in dataframe

tokenizer = vectorizer.build_analyzer()
data['Sentence_stdz'] = [" ".join(tokenizer(s)) for s in data['Sentence']]
X = vectorizer.fit_transform(data['Sentence'])
# print("Tokens:", vectorizer.get_feature_names_out())
print("Nb of tokens:", len(vectorizer.get_feature_names_out()))
print("Dimension of input data", X.shape)
Classification with scikit-learn models
# clf = LogisticRegression(class_weight='balanced', max_iter=3000)

# clf = GradientBoostingClassifier()
clf = MultinomialNB()

idx = np.arange(y.shape[0])
X_train, X_test, x_str_train, x_str_test, y_train, y_test, idx_train, idx_test = \
train_test_split(X, data['Sentence'], y, idx, test_size=0.25, random_state=5,␣
˓→stratify=y)
clf.fit(X_train, y_train)
y_pred = clf.predict(X_test)

Display prediction performances
print(metrics.balanced_accuracy_score(y_test, y_pred))
print(metrics.classification_report(y_test, y_pred))
cm = metrics.confusion_matrix(y_test, y_pred, normalize='true')
cm_ = metrics.ConfusionMatrixDisplay(cm, display_labels=clf.classes_)
cm_.plot()
plt.show()
Print some samples
probas = pd.DataFrame(clf.predict_proba(X), columns=clf.classes_)

df = pd.concat([data, probas], axis=1)
df['SentimentPred'] = clf.predict(X)
df.to_excel("/tmp/test.xlsx")
# Keep only test data, correctly classified, ordered by

df = df.iloc[idx_test]
df = df[df['SentimentPred'] == df['Sentiment']]
Positive sentences
sentence_positive = df[df['Sentiment'] == 'positive'].sort_values(by='positive',␣

˓→ascending=False)['Sentence_stdz']
print("Most positive sentence", sentence_positive[:5])
plt.figure(figsize = (20,20))
wc = WordCloud(max_words = 1000 , width = 1600 , height = 800,
collocations=False).generate(" ".join(sentence_positive))
plt.imshow(wc)
Negative sentences
sentence_negative = df[df['Sentiment'] == 'negative'].sort_values(by='negative',␣

˓→ascending=False)['Sentence_stdz']
print("Most negative sentence", sentence_negative[:5])
collocations=False).generate(" ".join(sentence_negative))
plt.imshow(wc)

Lab 2: Twitter Sentiment Analysis
• Source Twitter Sentiment Analysis Using Python | Introduction & Techniques

• Dataset Sentiment140 dataset with 1.6 million twe
Step-1: Import the Necessary Dependencies
Install some packages:
conda install wordcloud

conda install nltk
# utilities
import re
import numpy as np
import pandas as pd
# plotting
from wordcloud import WordCloud
# nltk
from nltk.stem import WordNetLemmatizer
# sklearn
from sklearn.svm import LinearSVC
from sklearn.naive_bayes import BernoulliNB
from sklearn.feature_extraction.text import TfidfVectorizer
from sklearn.metrics import confusion_matrix, classification_report
Step-2: Read and Load the Dataset

Download the dataset from Kaggle
# Importing the dataset

DATASET_COLUMNS=['target','ids','date','flag','user','text']
DATASET_ENCODING = "ISO-8859-1"
df = pd.read_csv('~/data/NLP/training.1600000.processed.noemoticon.csv',
encoding=DATASET_ENCODING, names=DATASET_COLUMNS)
df.sample(5)
Step-3: Exploratory Data Analysis
print("Columns names:", df.columns)

print("Shape of data:", df.shape)
print("type of data:\n", df.dtypes)
df.head()
Step-4: Data Visualization of Target Variables

• Selecting the text and Target column for our further analysis
• Replacing the values to ease understanding. (Assigning 1 to Positive sentiment 4)

data = df[['text','target']]
data['target'] = data['target'].replace(4,1)
print(data['target'].unique())

sns.countplot(x='target', data=data)
print("Count and proportion of target")

data.target.value_counts(), data.target.value_counts(normalize=True).round(2)
Step-5: Data Preprocessing

5.4: Separating positive and negative tweets 5.5: Taking 20000 positive and negatives sample
from the data so we can run it on our machine easily 5.6: Combining positive and negative
tweets
data_pos = data[data['target'] == 1]
data_neg = data[data['target'] == 0]
data_pos = data_pos.iloc[:20000]
data_neg = data_neg.iloc[:20000]
dataset = pd.concat([data_pos, data_neg])
5.7: Text pre-processing
def standardize_stemming_lemmatization(text):
out = " ".join(standardize_tokenize_stemming_lemmatization(text))
return out
dataset['text_stdz'] = dataset['text'].apply(lambda x: standardize_stemming_

˓→lemmatization(x))
QC, check for empty standardized strings
rm = dataset['text_stdz'].isnull() | (dataset['text_stdz'].str.len() == 0)
print(rm.sum(), "row are empty of null, to be removed")

dataset = dataset[~rm]
print(dataset.shape)
# Save dataset to excel file to explore

dataset.to_excel('/tmp/test.xlsx', sheet_name='data', index=False)
5.18: Plot a cloud of words for negative tweets
data_neg = dataset.loc[dataset.target == 0, 'text_stdz']

collocations=False).generate(" ".join(data_neg))
plt.imshow(wc)
5.18: Plot a cloud of words for positive tweets

data_pos = dataset.loc[dataset.target == 1, 'text_stdz']

collocations=False).generate(" ".join(data_pos))
plt.imshow(wc)
Step-6: Splitting Our Data Into Train and Test Subsets
X, y = dataset.text_stdz, dataset.target
# Separating the 95% data for training data and 5% for testing data
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.05, random_
˓→state=26105111)
Step-7: Transforming the Dataset Using TF-IDF Vectorizer
vectoriser = TfidfVectorizer(ngram_range=(1,2), max_features=500000)

vectoriser.fit(X_train)
#print('No. of feature_words: ', len(vectoriser.get_feature_names()))
X_train = vectoriser.transform(X_train)
X_test = vectoriser.transform(X_test)
Step-8: Function for Model Evaluation

After training the model, we then apply the evaluation measures to check how the model is
performing. Accordingly, we use the following evaluation parameters to check the performance
of the models respectively:
• Accuracy Score
• Confusion Matrix with Plot
• ROC-AUC Curve
def model_Evaluate(model):
# Predict values for Test dataset
y_pred = model.predict(X_test)
# Print the evaluation metrics for the dataset.
print(classification_report(y_test, y_pred))
# Compute and plot the Confusion matrix
cf_matrix = confusion_matrix(y_test, y_pred)
categories = ['Negative','Positive']
group_names = ['True Neg','False Pos', 'False Neg','True Pos']
group_percentages = ['{0:.2%}'.format(value) for value in cf_matrix.flatten()␣
˓→/ np.sum(cf_matrix)]
labels = [f'{v1}n{v2}' for v1, v2 in zip(group_names,group_percentages)]

labels = np.asarray(labels).reshape(2,2)
sns.heatmap(cf_matrix, annot = labels, cmap = 'Blues',fmt = '',
xticklabels = categories, yticklabels = categories)
plt.xlabel("Predicted values", fontdict = {'size':14}, labelpad = 10)
plt.ylabel("Actual values" , fontdict = {'size':14}, labelpad = 10)
plt.title ("Confusion Matrix", fontdict = {'size':18}, pad = 20)

Step-9: Model Building

In the problem statement, we have used three different models respectively :
• Bernoulli Naive Bayes Classifier
• SVM (Support Vector Machine)
• Logistic Regression
The idea behind choosing these models is that we want to try all the classifiers on the dataset
ranging from simple ones to complex models, and then try to find out the one which gives the
best performance among them.
BNBmodel = BernoulliNB()
BNBmodel.fit(X_train, y_train)
model_Evaluate(BNBmodel)
y_pred1 = BNBmodel.predict(X_test)
8.2: Plot the ROC-AUC Curve for model-1
from sklearn.metrics import roc_curve, auc

fpr, tpr, thresholds = roc_curve(y_test, y_pred1)
roc_auc = auc(fpr, tpr)
plt.figure()
plt.plot(fpr, tpr, color='darkorange', lw=1, label='ROC curve (area = %0.2f)' %␣
˓→roc_auc)
plt.xlim([0.0, 1.0])
plt.ylim([0.0, 1.05])
plt.xlabel('False Positive Rate')
plt.ylabel('True Positive Rate')
plt.title('ROC CURVE')
plt.legend(loc="lower right")
plt.show()


CHAPTER
TEN
INDICES AND TABLES
• genindex
• modindex
• search
411

Statistics Machine Learning Python

Uploaded by

Statistics Machine Learning Python

Uploaded by

Statistics and Machine Learning in

Edouard Duchesnay, Tommy Löfstedt, Feki Younes

Oct 06, 2024

3 Data Manipulation and Visualization 51

4 Numerical Methods in Python 89

6 Machine Learning 229

7 Deep Learning: Introduction 345

8 Deep Learning for Computer Vision 371

9 Natural Language Processing 397

10 Indices and tables 411

1.1 Introduction to Python language

1.1.1 Python main features

• Python is popular Google trends (Python vs. R, Matlab, SPSS, Stata).

1.1.2 Development process

Edit python file then execute

Quite with CTL-D

Quite with CTL-D

1.2 Python ecosystem for data-science

Numpy: Basic numerical operation and matrix operation

Pandas: Manipulation of structured data (tables). Input/output excel files, etc.

Matplotlib: visualization (low level primitives)

Seaborn: Data visualization (high level primitives for statistics)

1.3 Development Environment

1.3. Development Environment 3

1.4 Package & Environments Dependency Management

1.4.1 Pixi Package and Environment Manager

• Tutorial for python.

curl -fsSL https://pixi.sh/install.sh | bash

iwr -useb https://pixi.sh/install.ps1 | iex

pixi init myenv

Example with pystatsml, After downloading pystatsml repository:

git clone https://github.com/duchesnay/pystatsml.git

Install dependencies contained in pixi.toml file (within the project directory)

Activate an environment (within the project directory)

What’s in the environment?

pixi add numpy

1.4. Package & Environments Dependency Management 5

1.4.2 Anaconda and Conda Environments

Create the environment (go have a coffee):

conda env create -f pystatsml.yml

List of all environments. Activate/deactivate an environment:

conda env list

conda env update --file pystatsml.yml --prune

Search for available versions of package in an environment:

conda search -f numpy

Install new package in an environment:

conda install numpy

conda remove -n pystatsml --all

3. Add anaconda path in your PATH variable in your .bashrc file:

4. Install required packages:

conda install -y scipy

1.4. Package & Environments Dependency Management 7

pip alternative for packages management (update -U in user directory --user):

pip install -U --user seaborn

pip install -U --user nibabel

1.5 Development with Integrated Development Environment (IDE) and

1.5.1 Visual Studio Code (VS Code)

Spyder is a basic IDE dedicated to data-science.

1.5.3 JupyterLab (Jupyter Notebook)

1.5. Development with Integrated Development Environment (IDE) and JupyterLab 9

Source Kevin Markham

2.1 Import libraries

‘generic import’ of math module

from math import sqrt

import multiple functions at once

from math import sqrt, exp

import all functions in a module (strongly discouraged)

show all functions in math module

2.2 Basic operations

10 + 4 # add (returns 14)

Boolean operations (these return True)

5 > 3 and 6 > 3

2.3 Data types

Determine the type of an object

type(2) # returns 'int'

Check if an object is of a given type