What are "Factor Graphs" and what are they useful for? - statistics

A friend is using Factor Graphs to do text mining (identifying references to people in text), and it got me interested in this tool, but I'm having a hard time finding an intuitive explanation of what Factor Graphs are and how to use them.
Can anyone provide an explanation of Factor Graphs that isn't math heavy, and which focusses on practical applications rather than abstract theory?

They are used extensively for breaking down a problem into pieces. One very interesting application of factor graphs (and message passing on them) is the XBox Live TrueSkill algorithm. I wrote extensively about it on my blog where I tried to go for an introductory explanation rather than an overly academic one.

A factor graph is the graphical representation of the dependencies between variables and factors (parts of a formula) that are present in a particular kind of formula.
Suppose you have a function f(x_1,x_2,...,x_n) and you want to compute the marginalization of this function for some argument x_i, thus summing over all assignments to the remaining formula. Further f can be broken into factors, e.g.
f(x_1,x_2,...,x_n)=f_1(x_1,x_2)f_2(x_5,x_8,x_9)...f_k(x_1,x_10,x_11)
Then in order to compute the marginalization of f for some of the variables you can use a special algorithm called sum product (or message passing), that breaks the problem into smaller computations. For this algortithm, it is very important which variables appear as arguments to which factor. This information is captured by the factor graph.
A factor graph is a bipartite graph with both factor nodes and variable nodes. And there is an edge between a factor and a variable node if the variable appears as an argument of the factor. In our example there would be an edge between the factor f_2 and the variable x_5 but not between f_2 and x_1.
There is a great article: Factor graphs and the sum-product algorithm.

Factor graph is math model, and can be explained only with math equations. In nutshell it is way to explain complex relations between interest variables in your model. Example: A is temperature, B is pressure, components C,D,E are depends on B,A in some way, and component K is depends on B,A. And you want to predict value K based on A and B. So you know only visible states. Basic ML libraries don't allow to model such structure. Neural network do it better. And Factor Graph is exactly solve that problem.
Factor graph is an example of deep learning. When it is impossible to present model with features and output, Factor models allow to build hidden states, layers and complex structure of variables to fit real world behavior. Examples are Machine translation alignment, fingerprint recognition, co-reference etc.

Related

How do I analyze the change in the relationship between two variables?

I'm working on a simple project in which I'm trying to describe the relationship between two positively correlated variables and determine if that relationship is changing over time, and if so, to what degree. I feel like this is something people probably do pretty often, but maybe I'm just not using the correct terminology because google isn't helping me very much.
I've plotted the variables on a scatter plot and know how to determine the correlation coefficient and plot a linear regression. I thought this may be a good first step because the linear regression tells me what I can expect y to be for a given x value. This means I can quantify how "far away" each data point is from the regression line (I think this is called the squared error?). Now I'd like to see what the error looks like for each data point over time. For example, if I have 100 data points and the most recent 20 are much farther away from where the regression line/function says it should be, maybe I could say that the relationship between the variables is showing signs of changing? Does that make any sense at all or am I way off base?
I have a suspicion that there is a much simpler way to do this and/or that I'm going about it in the wrong way. I'd appreciate any guidance you can offer!
I can suggest two strands of literature that study changing relationships over time. Typing these names into google should provide you with a large number of references so I'll stick to more concise descriptions.
(1) Structural break modelling. As the name suggest, this assumes that there has been a sudden change in parameters (e.g. a correlation coefficient). This is applicable if there has been a policy change, change in measurement device, etc. The estimation approach is indeed very close to the procedure you suggest. Namely, you would estimate the squared error (or some other measure of fit) on the full sample and the two sub-samples (before and after break). If the gains in fit are large when dividing the sample, then you would favour the model with the break and use different coefficients before and after the structural change.
(2) Time-varying coefficient models. This approach is more subtle as coefficients will now evolve more slowly over time. These changes can originate from the time evolution of some observed variables or they can be modeled through some unobserved latent process. In the latter case the estimation typically involves the use of state-space models (and thus the Kalman filter or some more advanced filtering techniques).
I hope this helps!

Feature scaling and its affect on various algorithm

Despite going through lots of similar question related to this I still could not understand why some algorithm is susceptible to it while others are not.
Till now I found that SVM and K-means are susceptible to feature scaling while Linear Regression and Decision Tree are not.Can somebody please elaborate me why? in general or relating to this 4 algorithm.
As I am a beginner, please explain this in layman terms.
One reason I can think of off-hand is that SVM and K-means, at least with a basic configuration, uses an L2 distance metric. An L1 or L2 distance metric between two points will give different results if you double delta-x or delta-y, for example.
With Linear Regression, you fit a linear transform to best describe the data by effectively transforming the coordinate system before taking a measurement. Since the optimal model is the same no matter the coordinate system of the data, pretty much by definition, your result will be invariant to any linear transform including feature scaling.
With Decision Trees, you typically look for rules of the form x < N, where the only detail that matters is how many items pass or fail the given threshold test - you pass this into your entropy function. Because this rule format does not depend on dimension scale, since there is no continuous distance metric, we again have in-variance.
Somewhat different reasons for each, but I hope that helps.

Interpolation technique for weirdly spaced point data

I have a spatial dataset that consists of a large number of point measurements (n=10^4) that were taken along regular grid lines (500m x 500m) and some arbitrary lines and blocks in between. Single measurements taken with a spacing of about 0.3-1.0m (varying) along these lines (see example showing every 10th point).
The data can be assumed to be normally distributed but shows a strong small-scale variability in some regions. And there is some trend with elevation (r=0.5) that can easily be removed.
Regardless of the coding platform, I'm looking for a good or "the optimal" way to interpolate these points to a regular 25 x 25m grid over the entire area of interest (5000 x 7000m). I know about the wide range of kriging techniques but I wondered if somebody has a specific idea on how to handle the "oversampling along lines" with rather large gaps between the lines.
Thank you for any advice!
Leo
Kriging technique does not perform well when the points to interpolate are taken on a regular grid, because it is necessary to have a wide range of different inter-points distances in order to well estimate the covariance model.
Your case is a bit particular... The oversampling over the lines is not a problem at all. The main problem is the big holes you have in your grid. If think that these holes will create problems whatever the interpolation technique you use.
However it is difficult to predict a priori if kriging will behave well. I advise you to try it anyway.
Kriging is only suited for interpolating. You cannot extrapolate with kriging metamodel, so that you won't be able to predict values in the bottom left part of your figure for example (because you have no point here).
To perform kriging, I advise you to use the following tools (depending the languages you're more familiar with):
DiceKriging package in R (the one I use preferably)
fields package in R (which is more specialized on spatial fields)
DACE toolbox in matlab
Bonus: a link to a reference book about kriging which is available online: http://www.gaussianprocess.org/
PS: This type of question is more statistics oriented than programming and may be better suited to the stats.stackexchange.com website.

k-means with ellipsoids

I have n points in R^3 that I want to cover with k ellipsoids or cylinders (I don't really care; whichever is easier). I want to approximately minimize the union of the volumes. Let's say n is tens of thousands and k is a handful. Development time (i.e. simplicity) is more important than runtime.
Obviously I can run k-means and use perfect balls for my ellipsoids. Or I can run k-means, then use minimum enclosing ellipsoids per cluster rather than covering with balls, though in the worst case that's no better. I've seen talk of handling anisotropy with k-means but the links I saw seemed to think I had a tensor in hand; I don't, I just know the data will be a union of ellipsoids. Any suggestions?
[Edit: There's a couple votes for fitting a mixture of multivariate Gaussians, which seems like a viable thing to try. Firing up an EM code to do that won't minimize the volume of the union, but of course k-means doesn't minimize volume either.]
So you likely know k-means is NP-hard, and this problem is even more general (harder). Because you want to do ellipsoids it might make a lot of sense to fit a mixture of k multivariate gaussian distributions. You would probably want to try and find a maximum likelihood solution, which is a non-convex optimization, but at least it's easy to formulate and there is likely code available.
Other than that you're likely to have to write your own heuristic search algorithm from scratch, this is just a huge undertaking.
I did something similar with multi-variate gaussians using this method. The authors use kurtosis as the split measure, and I found it to be a satisfactory method for my application, clustering points obtained from a laser range finder (i.e. computer vision).
If the ellipsoids can overlap a lot,
then methods like k-means that try to assign points to single clusters
won't work very well.
Part of each ellipsoid has to fit the surface of your object,
but the rest may be inside it, don't-cares.
That is, covering algorithms
seem to me quite different from clustering / splitting algorithms;
unions are not splits.
Gaussian mixtures with lots of overlaps ?
No idea, but see the picture and code on Numerical Recipes p. 845.
Coverings are hard even in 2d, see
find-near-minimal-covering-set-of-discs-on-a-2-d-plane.

Data mining for significant variables (numerical): Where to start?

I have a trading strategy on the foreign exchange market that I am attempting to improve upon.
I have a huge table (100k+ rows) that represent every possible trade in the market, the type of trade (buy or sell), the profit/loss after that trade closed, and 10 or so additional variables that represent various market measurements at the time of trade-opening.
I am trying to find out if any of these 10 variables are significantly related to the profits/losses.
For example, imagine that variable X ranges from 50 to -50.
The average value of X for a buy order is 25, and for a sell order is -25.
If most profitable buy orders have a value of X > 25, and most profitable sell orders have a value of X < -25 then I would consider the relationship of X-to-profit as significant.
I would like a good starting point for this. I have installed RapidMiner 5 in case someone can give me a specific recommendation for that.
A Decision Tree is perhaps the best place to begin.
The tree itself is a visual summary of feature importance ranking (or significant variables as phrased in the OP).
gives you a visual representation of the entire
classification/regression analysis (in the form of a binary tree),
which distinguishes it from any other analytical/statistical
technique that i am aware of;
decision tree algorithms require very little pre-processing on your data, no normalization, no rescaling, no conversion of discrete variables into integers (eg, Male/Female => 0/1); they can accept both categorical (discrete) and continuous variables, and many implementations can handle incomplete data (values missing from some of the rows in your data matrix); and
again, the tree itself is a visual summary of feature importance ranking
(ie, significant variables)--the most significant variable is the
root node, and is more significant than the two child nodes, which in
turn are more significant than their four combined children. "significance" here means the percent of variance explained (with respect to some response variable, aka 'target variable' or the thing
you are trying to predict). One proviso: from a visual inspection of
a decision tree you cannot distinguish variable significance from
among nodes of the same rank.
If you haven't used them before, here's how Decision Trees work: the algorithm will go through every variable (column) in your data and every value for each variable and split your data into two sub-sets based on each of those values. Which of these splits is actually chosen by the algorithm--i.e., what is the splitting criterion? The particular variable/value combination that "purifies" the data the most (i.e., maximizes the information gain) is chosen to split the data (that variable/value combination is usually indicated as the node's label). This simple heuristic is just performed recursively until the remaining data sub-sets are pure or further splitting doesn't increase the information gain.
What does this tell you about the "importance" of the variables in your data set? Well importance is indicated by proximity to the root node--i.e., hierarchical level or rank.
One suggestion: decision trees handle both categorical and discrete data usually without problem; however, in my experience, decision tree algorithms always perform better if the response variable (the variable you are trying to predict using all other variables) is discrete/categorical rather than continuous. It looks like yours is probably continuous, in which case in would consider discretizing it (unless doing so just causes the entire analysis to be meaningless). To do this, just bin your response variable values using parameters (bin size, bin number, and bin edges) meaningful w/r/t your problem domain--e.g., if your r/v is comprised of 'continuous values' from 1 to 100, you might sensibly bin them into 5 bins, 0-20, 21-40, 41-60, and so on.
For instance, from your Question, suppose one variable in your data is X and it has 5 values (10, 20, 25, 50, 100); suppose also that splitting your data on this variable with the third value (25) results in two nearly pure subsets--one low-value and one high-value. As long as this purity were higher than for the sub-sets obtained from splitting on the other values, the data would be split on that variable/value pair.
RapidMiner does indeed have a decision tree implementation, and it seems there are quite a few tutorials available on the Web (e.g., from YouTube, here and here). (Note, I have not used the decision tree module in R/M, nor have i used RapidMiner at all.)
The other set of techniques i would consider is usually grouped under the rubric Dimension Reduction. Feature Extraction and Feature Selection are two perhaps the most common terms after D/R. The most widely used is PCA, or principal-component analysis, which is based on an eigen-vector decomposition of the covariance matrix (derived from to your data matrix).
One direct result from this eigen-vector decomp is the fraction of variability in the data accounted for by each eigenvector. Just from this result, you can determine how many dimensions are required to explain, e.g., 95% of the variability in your data
If RapidMiner has PCA or another functionally similar dimension reduction technique, it's not obvious where to find it. I do know that RapidMiner has an R Extension, which of course let's you access R inside RapidMiner.R has plenty of PCA libraries (Packages). The ones i mention below are all available on CRAN, which means any of the PCA Packages there satisfy the minimum Package requirements for documentation and vignettes (code examples). I can recommend pcaPP (Robust PCA by Projection Pursuit).
In addition, i can recommend two excellent step-by-step tutorials on PCA. The first is from the NIST Engineering Statistics Handbook. The second is a tutorial for Independent Component Analysis (ICA) rather than PCA, but i mentioned it here because it's an excellent tutorial and the two techniques are used for the similar purposes.

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