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Category: Data Science

Constrained Optimization In Python: pyomo

Published 2018-07-06 by Kevin Feasel

Jeff Schecter introduces us to pyomo, a Python package for constrained optimization problems:

Constrained optimization is a tool for minimizing or maximizing some objective, subject to constraints. For example, we may want to build new warehouses that minimize the average cost of shipping to our clients, constrained by our budget for building and operating those warehouses. Or, we might want to purchase an assortment of merchandise that maximizes expected revenue, limited by a minimum number of different items to stock in each department and our manufacturers’ minimum order sizes.

Here’s the catch: all objectives and constraints must be linear or quadratic functions of the model’s fixed inputs (parameters, in the lingo) and free variables.

Constraints are limited to equalities and non-strict inequalities. (Re-writing strict inequalities in these terms can require some algebraic gymnastics.) Conventionally, all terms including free variables live on the lefthand side of the equality or inequality, leaving only constants and fixed parameters on the righthand side.

To build your model, you must first formalize your objective function and constraints. Once you’ve expressed these terms mathematically, it’s easy to turn the math into code and let pyomo find the optimal solution.

I haven’t touched it in a decade, but I did have some success with LINGO for solving the same type of problem.

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Area Under The ROC Is Not Accuracy

Published 2018-07-05 by Kevin Feasel

Stephen Chen debunks bad journalistic summaries of a Google research paper:

Journalists latched onto Google’s NN 0.95 score vs. the comparison 0.86 (see EWS Strawman below), as the accuracy of determining mortality. However the actual metric the researchers used is AUROC (Area Under Receiver Operating Characteristic Curve) and not a measure of predictive accuracy that indexes the difference between the predicted vs. actual like RMSE (Root Mean Squared Error) or MAPE (Mean Absolute Percentage Error). Some articles even erroneously try to explain the 0.95 as the odds ratio.

Just as the concept of significance has different meanings to statisticians and laypersons, AUROC as a measure of model accuracy does not mean the probability of Google’s NN predicting mortality accurately as journalists/laypersons have taken it to mean. The ROC (see sample above) is a plot of a model’s False Positive Rate (i.e. predicting mortality where there is none) vs. the True Positive Rate (i.e. correctly predicting mortality). A larger area under the curve (AUROC) means the model produces less False Positives, not the certainty of mortality as journalists erroneously suggest.

The researchers themselves made no claim to soothsayer abilities, what they said in the paper was:

… (their) deep learning model would fire half the number of alerts of a traditional predictive model, resulting in many fewer false positives.

It’s an interesting article and a reminder of the importance of terminological precision (something I personally am not particularly good at).

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RStudio Integration With Databricks

Published 2018-07-03 by Kevin Feasel

Brian Dirking, et al, announce support between RStudio and the Databricks platform:

With Databricks RStudio Integration, both popular R packages for interacting with Apache Spark, SparkR or sparklyr can be used the inside the RStudio IDE on Databricks. When multiple users use a cluster, each creates a separate SparkR Context or sparklyr connection, but they are all talking to a single Databricks managed Spark application allowing unique opportunities for collaboration between users. Together, RStudio can take advantage of Databricks’ cluster management and Apache Spark to perform such as a massive model selection as noted in the figure below.

I like seeing this level of integration, especially from a language like R, which has historically been limited to operating on a single machine’s memory.

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Using LIME To Explain Keras Models

Published 2018-06-29 by Kevin Feasel

Shirin Glander shows us how to use the LIME package to explain image recognition models built from Keras:

The segmentation of an image into superpixels are an important step in generating explanations for image models. It is both important that the segmentation is correct and follows meaningful patterns in the picture, but also that the size/number of superpixels are appropriate. If the important features in the image are chopped into too many segments the permutations will probably damage the picture beyond recognition in almost all cases leading to a poor or failing explanation model. As the size of the object of interest is varying it is impossible to set up hard rules for the number of superpixels to segment into – the larger the object is relative to the size of the image, the fewer superpixels should be generated. Using plot_superpixels it is possible to evaluate the superpixel parameters before starting the time-consuming explanation function.

Fun stuff.  I’m glad that there’s a lot of work going into explaining neural networks rather than hand-waving them off as magic.

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Analyzing Federal Reserve Data With Ordinary Least Squares

Published 2018-06-27 by Kevin Feasel

Sam Shum has a tutorial walking us through extracting and analyzing data from the St. Louis Federal Reserve’s FRED economic database:

Download specific macroeconomic data from FRED St. Louis economic databases and ETL the data. Many other data series can be found at the FRED’s website.

# get unemployment data time series from FRED St. Louis
dfunrate <- get_fred_series("UNRATE", "unrate", observation_start = startdate, observation_end = enddate)

# get University of Michigan consumer sentiment index data time series from FRED St. Louis
dfumcsent <- get_fred_series("UMCSENT", "umcsent", observation_start = startdate, observation_end = enddate)

# combine the two time series data into one data frame
dfall <- cbind(dfunrate,dfumcsent)

# strip or remove redundant month field from data downloaded from FRED St. Louis
dfall <- dfall[,c(1,2,4)]

# obtain the number of data points in the dataframe
mdx <- (1:nrow(dfall))  

# convert FRED date field from string to R's date type
dfall$date <- as.Date(dfall$date)

There’s a nice chart builder on the FRED website too, but it’s good to be able to grab the data on your own.

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Neural Topic Models On Amazon SageMaker

Published 2018-06-26 by Kevin Feasel

David Ping, et al, show off topic modeling on Amazon SageMaker:

Topic Modeling is used to organize a corpus of documents into “topics” which is a grouping based on a statistical distribution of words within the documents themselves. Amazon Comprehend, our fully managed text analytics service, provides a pre-configured topic modeling API that is best suited for the most popular use cases like organizing customer feedback, support incidents or workgroup documents. Amazon Comprehend is the suggested topic modeling choice for customers as it removes a lot of the most routine steps associated with topic modeling like tokenization, training a model and adjusting parameters. Amazon SageMaker’s Neural Topic Model (NTM) caters to the use cases where a finer control of the training, optimization, and/or hosting of a topic model is required, such as training models on text corpus of particular writing style or domain, or hosting topic models as part of a web application. While Amazon SageMaker NTM provides a starting point of state-of-the-art topic modeling, customers have the flexibility to modify the network architecture as well as hyperparameters to accommodate the idiosyncrasies of their data sets as well as to tune the trade-off between a multitude of metrics such as document modeling accuracy, human interpretability and granularity of the learned topics, based on their applications. In addition, Amazon SageMaker NTM leverages the full power of the Amazon SageMaker platform: easily configurable training and hosting infrastructure, automatic hyperparameter optimization, and fully-managed hosting with auto-scaling.

They walk through the entire topic modeling process, so check it out.

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Comparing Keras In Python Versus R

Published 2018-06-20 by Kevin Feasel

Dmitry Kisler performs image classification using Keras in both Python and R:

From the plots above, one can see that:

  • the accuracy of your model doesn’t depend on the language you use to build and train it (the plot shows only train accuracy, but the model doesn’t have high variance and the bias accuracy is around 99% as well).

  • even though 10 measurements may be not convincing, but Python would reduce (by up to 15%) the time required to train your CNN model. This is somewhat expected because R uses Python under the hood when executes Keras functions.

This is just one example, but the results are about what I’d expect.

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Auto-Encoders And KernelML

Published 2018-06-20 by Kevin Feasel

Rohan Kotwani gives us an example where KernelML might be better than TensorFlow or PyTorch:

So what’s the point of using KernelML?

1. The parameters in each layer can be non-linear
2. Each parameter can be sampled from a different random distribution
3. The parameters can be transformed to meet certain constraints
4. Network combinations are defined in terms of numpy operations
5. Parameters are probabilistically updated
6. Each parameter update samples the loss function around a local or global minima

KerneML Specs

KernelMLis brute force optimizer that can be used to train machine learning algorithms. The package uses a combination of a machine learning and monte carlo simulations to optimize a parameter vector with a user defined loss function. Using kernelml creates a high computational cost for large complex networks because it samples the loss function using a subspace for each parameter in the parameter vector which requires many random simulations. The computational cost was reduced by enabling parallel computations with the ipyparallel. The decision to use this package was made because it effectively utilizes the cores on a machine.

It’s an interesting use case, though I would have liked to have seen a direct comparison to other frameworks.

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Calculating TF-IDF Using Apache Spark

Published 2018-06-18 by Kevin Feasel

Arseniy Tashoyan shows us how to calculate Term Frequency-Inverse Document Frequency using Apache Spark:

TF-IDF is used in a large variety of applications. Typical use cases include:

  • Document search.
  • Document tagging.
  • Text preprocessing and feature vector engineering for Machine Learning algorithms.

There is a vast number of resources on the web explaining the concept itself and the calculation algorithm. This article does not repeat the information in these other Internet resources, it just illustrates TF-IDF calculation with help of Apache Spark. Emml Asimadi, in his excellent article Understanding TF-IDF, shares an approach based on the old Spark RDD and the Python language. This article, on the other hand, uses the modern Spark SQL API and Scala language.

Although Spark MLlib has an API to calculate TF-IDF, this API is not convenient to learn the concept. MLlib tools are intended to generate feature vectors for ML algorithms. There is no way to figure out the weight for a particular term in a particular document. Well, let’s make it from scratch, this will sharpen our skills.

Read on for the solution.  It seems that there tend to be better options today than TF-IDF for natural language problems, but it’s an easy algorithm to understand, so it’s useful as a first go.

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Using The Azure Data Science VM With GPUs

Published 2018-06-15 by Kevin Feasel

Jennifer Marsman has some tips and tricks around using the Azure Data Science Virtual Machine on an instance running with GPU support:

To get GPU support, you need both hardware with GPUs in a datacenter, as well as the right software – namely, a virtual machine image that includes GPU drivers so you can use the GPU.

The biggest tip is to use the Deep Learning Virtual Machine!  The provisioning experience has been optimized to filter to the options that support GPU (the NC series – see below), which make it easier to set it up correctly.

Read on for the rest of the advice.

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