On calculating AUC
Recently Microsoft Data Scientist Bob Horton wrote a very nice article on ROC plots. We expand on this a bit and discuss some of the issues in computing “area under the curve” (AUC).
Relative error distributions, without the heavy tail theatrics
Nina Zumel prepared an excellent article on the consequences of working with relative error distributed quantities (such as wealth, income, sales, and many more) called “Living in A Lognormal World.” The article emphasizes that if you are dealing with such quantities you are already seeing effects of relative error distributions […]
Did she know we were writing a book?
Writing a book is a sacrifice. It takes a lot of time, represents a lot of missed opportunities, and does not (directly) pay very well. If you do a good job it may pay back in good-will, but producing a serious book is a great challenge. Nina Zumel and I […]
Why you should read Nina Zumel’s 3 part series on principal components analysis and regression
Short form: Win-Vector LLC’s Dr. Nina Zumel has a three part series on Principal Components Regression that we think is well worth your time. Part 1: the proper preparation of data (including scaling) and use of principal components analysis (particularly for supervised learning or regression). Part 2: the introduction of […]
On ranger respect.unordered.factors
It is often said that “R is its packages.” One package of interest is ranger a fast parallel C++ implementation of random forest machine learning. Ranger is great package and at first glance appears to remove the “only 63 levels allowed for string/categorical variables” limit found in the Fortran randomForest […]
Principal Components Regression, Pt.1: The Standard Method
In this note, we discuss principal components regression and some of the issues with it: The need for scaling. The need for pruning. The lack of “y-awareness” of the standard dimensionality reduction step.
Reading and writing proofs
In my recent article on optimizing set diversity I mentioned the primary abstraction was of “diminishing returns” and is formalized by the theory of monotone submodular functions (though I did call out some of my own work which used a different abstraction). A proof that appears again and again in […]
Finding the K in K-means by Parametric Bootstrap
One of the trickier tasks in clustering is determining the appropriate number of clusters. Domain-specific knowledge is always best, when you have it, but there are a number of heuristics for getting at the likely number of clusters in your data. We cover a few of them in Chapter 8 […]
Neglected optimization topic: set diversity
The mathematical concept of set diversity is a somewhat neglected topic in current applied decision sciences and optimization. We take this opportunity to discuss the issue. The problem Consider the following problem: for a number of items U = {x_1, … x_n} pick a small set of them X = […]
Using PostgreSQL in R: A quick how-to
The combination of R plus SQL offers an attractive way to work with what we call medium-scale data: data that’s perhaps too large to gracefully work with in its entirety within your favorite desktop analysis tool (whether that be R or Excel), but too small to justify the overhead of […]