I am getting very high RMSE and MAE for MLPRegressor , ForestRegression and Linear regression with only input variables scaled (30,000+) however when i scale target values aswell i get RMSE (0.2) , i will like to know if that is acceptable thing to do.
Secondly is it normal to have better R squared values for Test (ie. 0.98 and 0.85 for train)
Thank You
Answering your first question, I think you are quite deceived by the performance measures which you have chosen to evaluate your model with. Both RMSE and MAE are sensitive to the range in which you measure your target variables, if you are going to scale down your target variable then for sure the values of RMSE and MAE will go down, lets take an example to illustrate that.
def rmse(y_true, y_pred):
return np.sqrt(np.mean(np.square(y_true - y_pred)))
def mae(y_true, y_pred):
return np.mean(np.abs(y_true - y_pred))
I have written two functions for computing both RMSE and MAE. Now lets plug in some values and see what happens,
y_true = np.array([2,5,9,7,10,-5,-2,2])
y_pred = np.array([3,4,7,9,8,-3,-2,1])
For the time being let's assume that the true and the predicted vales are as shown above. Now we are ready to compute RMSE and MAE for this data.
rmse(y_true,y_pred)
1.541103500742244
mae(y_true, y_pred)
1.375
Now let's scale down our target variable by a factor of 10 and compute the same measure again.
y_scaled_true = np.array([2,5,9,7,10,-5,-2,2])/10
y_scaled_pred = np.array([3,4,7,9,8,-3,-2,1])/10
rmse(y_scaled_true,y_scaled_pred)
0.15411035007422444
mae(y_scaled_true,y_scaled_pred)
0.1375
We can now very well see that just by scaling our target variable our RMSE and MAE scores have dropped creating an illusion that our model has improved, but actually NOT. When we scale back our model's predictions we are into the same state.
So coming to the point, MAPE (Mean Absolute Percentage Error) could be a better way to measure your performance of the model and it is insensitive to the scale in which the variables are measure. If you compute MAPE for both the sets of values we see that they are same,
def mape(y, y_pred):
return np.mean(np.abs((y - y_pred)/y))
mape(y_true,y_pred)
0.28849206349206347
mape(y_scaled_true,y_scaled_pred)
0.2884920634920635
So it is better to rely on MAPE over MAE or RMSE, if you want your performance measure to be independent on the scale in which they are measured.
Answering your second question, since you are dealing with some complicated models like MLPRegressor and ForestRegression which has some hyper-parameters which needs to be tuned to avoid over fitting, the best way to find the ideal levels of the hyper-parameters is to divide the data into train, test and validation and use techniques like K-Fold Cross Validation to find the optimal setting. It is quite difficult to say if the above values are acceptable or not just by looking at this one case.
It is actually a common practice to scale target values in many cases.
For example a highly skewed target may give better results if it is applied log or log1p transforms. I don't know the characteristics of your data, but there could a transformation that might decrease your RMSE.
Secondly, Test set is meant to be a sample of unseen data, to give a final estimate of your model's performance. When you see the unseen data and tune to perform better on it, it becomes a cross validation set.
You should try to split your data into three parts, Train, Cross-validation and test sets. Train on your data and tune parameters according to it's performance on cross validation and then after you are done tuning, run it on the test set to get a prediction of how it works on unseen data and mark it as the accuracy of your model.
Related
I am training a Transformer. In many of my setups I obtain validation and training loss that look like this:
Then, I understand that I should stop training at around epoch 1. But then the training loss is very high. Is this a problem? Does the value of training loss actually mean anything?
Thanks
Regarding your first question - it is not necessarily a problem that your training loss is high, since there is no threshold for what is considered as a high training loss. It depends on your dataset, your actual test metrics and your business goals.
More specifically, the problems with the value of training loss:
The number isn't intuitive, since the loss objective is a metric optimized for gradient descent (i.e. a differentiable function, usually the log version of it).
You probably have intuitive business metrics (e.g., precision, recall) oriented towards your end goal, which you should use to decide if your model is good or not.
Your train loss is calculated on the training dataset, which is not always representative of a good model, as can be seen in the overfitted model you posted. You shouldn't use this number to make decisions for the goodness of the model.
It depends on what you are trying to achieve. Is 80% accuracy high or low?
Regarding your second question - Technically, the higher the number the worse the model did in converging, so you should always try to lower it (while taking into consideration overfitting).
Comparatively, you can say that one model has a higher loss than another and then try multiple hyperparameters (e.g., dropout, different optimizers) to minimize the point where the validation set diverges.
You are describing overfitting: Your model's expressive power is too strong and it is memorizing the training data, rather than learning useful representations that can generalize to the validation data.
To mitigate this issue, you should apply stronger regularization to your model to prevent it from memorizing and steer it towards useful representations.
regularization methods include (but are not limited to):
Input augmentations
DropOut
Early stopping
Weight decay
I am working on a time-series prediction problem using GradientBoostingRegressor, and I think I'm seeing significant overfitting, as evidenced by a significantly better RMSE for training than for prediction. In order to examine this, I'm trying to use sklearn.model_selection.cross_validate, but I'm having problems understanding the result.
First: I was calculating RMSE by fitting to all my training data, then "predicting" the training data outputs using the fitted model and comparing those with the training outputs (the same ones I used for fitting). The RMSE that I observe is the same order of magnitude the predicted values and, more important, it's in the same ballpark as the RMSE I get when I submit my predicted results to Kaggle (although the latter is lower, reflecting overfitting).
Second, I use the same training data, but apply sklearn.model_selection.cross_validate as follows:
cross_validate( predictor, features, targets, cv = 5, scoring = "neg_mean_squared_error" )
I figure the neg_mean_squared_error should be the square of my RMSE. Accounting for that, I still find that the error reported by cross_validate is one or two orders of magnitude smaller than the RMSE I was calculating as described above.
In addition, when I modify my GradientBoostingRegressor max_depth from 3 to 2, which I would expect reduces overfitting and thus should improve the CV error, I find that the opposite is the case.
I'm keenly interested to use Cross Validation so I don't have to validate my hyperparameter choices by using up Kaggle submissions, but given what I've observed, I'm not clear that the results will be understandable or useful.
Can someone explain how I should be using Cross Validation to get meaningful results?
I think there is a conceptual problem here.
If you want to compute the error of a prediction you should not use the training data. As the name says theese type of data are used only in training, for evaluating accuracy scores you ahve to use data that the model has never seen.
About cross-validation I can tell that it's an approach to find the best training/testing set. The process is as follows: you divide your data into n groups and you do various iterating changing the testing group you pick. If you have n groups you will do n iteration and each time the training and testing set will be different. It's more understamdable in the image below.
Basically what you should do it's kile this:
Train the model using months from 0 to 30 (for example)
See the predictions made with months from 31 to 35 as input.
If the input has to be the same lenght divide feature in half (should be 17 months).
I hope I understood correctly, othewise comment.
I am trying to evaluate the performance of a regressor by means of GridSearchCV. In my implementation cv is an int, so I'm applying the K-fold validation method. Looking at cv_results_['mean_test_score'],
the best mean score on the k-fold unseen data is around 0.7, while the train scores are much higher, like 0.999. This is very normal, and I'm ok with that.
Well, following the reasoning behind this concept, when I apply the best_estimator_ on the whole data set, I expect to see at least some part of the data predicted not perfectly, right? Instead, the numerical deviations between the predicted quantities and the real values are near zero for all datapoints. And this smells of overfitting.
I don't understand that, because if I remove a small part of the data and apply GridSearchCV to the remaining part, I find almost identical results as above, but the best regressor applied to the totally unseen data predicts with much higher errors, like 10%, 30% or 50%. Which is what I expected, at least for some points, fitting GridSearchCV on the whole set, based on the results of k-fold test sets.
Now, I understand that this forces the predictor to see all datapoints, but the best estimator is the result of k fits, each of them never saw 1/k fraction of data. Being the mean_test_score the average between these k scores, I expect to see a bunch of predictions (depending on cv value) which show errors distributed around a mean error that justifies a 0.7 score.
The refit=True parameter of GridSearchCV makes the estimator with the found best set of hyperparameters be refit on the full data. So if your training error is almost zero in the CV folds, you would expect it to be near zero in the best_estimator_ as well.
I am using Keras now to train my LSTM model for a time series problem. My activation function is linear and the optimizer is Rmsprop.
However, i observe the tendency that while the training loss is decreasing slowly overtime, and fluctuate around a small value, the validation loss jumps up and down with a large variance.
Therefore, I come up with two questions:
1. Does the validation loss affect the training process? Will the algorithm look at the validation loss and slow down the learning rate in case it fluctuates alot?
2. How can i make the model more stable so that it will return a more stable values of validation loss?
Thanks
Does the validation loss affect the training process?
No. The validation loss is just a small sample of data that is excluded from the training process. It is run through the network at the end of an epoch, to test how well training is going, so that you can check if the model is over fitting (i.e. training loss much < validation loss).
Fluctuation in validation loss
This is bit tougher to answer without the network or data. It could just mean that your model isn't converging well to unseen data, meaning that its not seeing a enough similar trends from training data to validation data, and each time the weights are adjusted to better suit the training data, the model becomes less accurate for the validation set. You could possibly turn down the learning rate, but if your training loss is decreasing slowly, the learning rate is probably fine. I think in this situation, you have to ask yourself a few questions. Do I have enough data? Does a true time series trend exist in my data? Have I normalized my data correctly? Is my network to large for the data I have?
I had this issue - while training loss was decreasing, the validation loss was not decreasing. I checked and found while I was using LSTM:
I simplified the model - instead of 20 layers, I opted for 8 layers.
Instead of scaling within range (-1,1), I choose (0,1), this right there reduced my validation loss by magnitude of one order
I reduced the batch size from 500 to 50 (just trial and error)
I added more features, which I thought intuitively would add some new intelligent information to the X->y pair
Possible reasons:
Your validation set is very small compare to your trainning set which usually happens. A little change of weights makes validation loss fluctuate much more than trainning loss. This may not neccessary mean that your model is overfiting. As long as the overall trendency of validation loss keeps decreasing.
May be your train and validation data are from different sources, they may have different distributions. This may happen when your data is time series, and you split your train/validation data by a specific timestamp.
Does the validation loss affect the training process?
No, validation(forward-pass-once) and training(forward-and-backward) are different processes. Hence a single forword pass does not change how would you train next.
Will the algorithm look at the validation loss and slow down the learning rate in case it fluctuates alot?
No, But I guess you can implement your own method to do so. However, one thing should be noted, the model is trying to learn the best solution to your cost function which are fed by trainning data only, so changing this learning rate by observing validation loss doesnt make too much sense.
How can i make the model more stable so that it will return a more stable values of validation loss?
The reasons are expained above. If it is the first case, enlarge validation set will make your loss looks more stable but it does NOT mean it fits better. My suggestion is as long as your are sure your model does not overfit (gap between train loss and validation loss are not too large ), you can just save the model which gives the lowest validation loss.
If its the second case, it can be complecated depend on your case. You could try to exclude samples in trainning set which are not "similar" with your validation set, or enlarge your model's capacity if you have enough data. Or perhapes add more metrics to monitor how well the training.
Would appreciate your input on this. I am constructing a regression model with the help of genetic programming.
If my RMSE on test data is (much) lower than my RMSE on training data for a 1:5 ratio of data, should I be worried?
The test data is drawn randomly without replacement from a set of 24 data points. The model was built using genetic programming technique so the number of features, modeling framework etc vary as I minimize the training RMSE regularized by the number of nodes in the GP tree.
Is the model underfitted? Or should I have minimized MSE instead of RMSE (I thought it would be the same as MSE is positive and the minimum of MSE would coincide with the minimum of RMSE assuming the optimizer is good enough to find the minimum)?
Tks
So your model is trained on 20 out of 24 data points and tested on the 4 remaining data points?
To me it sounds like you need (much) more data, so you can have a larger train and test sets. I'm not surprised by the low performance on your test set as it seems that your model wasn't able to learn from such few data. As a rule of thumb, for machine learning you can never have enough data. Is it a possibility to gather a larger dataset?