Machine Learning: Regression

This introduction to the course provides you with an overview of the topics we will cover and the background knowledge and resources we assume you have.

In this module, we describe the high-level regression task and then specialize these concepts to the simple linear regression case. You will learn how to formulate a simple regression model and fit the model to data using both a closed-form solution as well as an iterative optimization algorithm called gradient descent. Based on this fitted function, you will interpret the estimated model parameters and form predictions. You will also analyze the sensitivity of your fit to outlying observations.

You will examine all of these concepts in the context of a case study of predicting house prices from the square feet of the house.

More specifically, in this module, you will learn how to build models of more complex relationship between a single variable (e.g., 'square feet') and the observed response (like 'house sales price'). This includes things like fitting a polynomial to your data, or capturing seasonal changes in the response value. You will also learn how to incorporate multiple input variables (e.g., 'square feet', '# bedrooms', '# bathrooms'). You will then be able to describe how all of these models can still be cast within the linear regression framework, but now using multiple "features". Within this multiple regression framework, you will fit models to data, interpret estimated coefficients, and form predictions.

Here, you will also implement a gradient descent algorithm for fitting a multiple regression model.

This module is all about these important topics of model selection and assessment. You will examine both theoretical and practical aspects of such analyses. You will first explore the concept of measuring the "loss" of your predictions, and use this to define training, test, and generalization error. For these measures of error, you will analyze how they vary with model complexity and how they might be utilized to form a valid assessment of predictive performance. This leads directly to an important conversation about the bias-variance tradeoff, which is fundamental to machine learning. Finally, you will devise a method to first select amongst models and then assess the performance of the selected model.

The concepts described in this module are key to all machine learning problems, well-beyond the regression setting addressed in this course.

You will implement both cross-validation and gradient descent to fit a ridge regression model and select the regularization constant.

To start, you will examine methods that search over an enumeration of models including different subsets of features. You will analyze both exhaustive search and greedy algorithms. Then, instead of an explicit enumeration, we turn to Lasso regression, which implicitly performs feature selection in a manner akin to ridge regression: A complex model is fit based on a measure of fit to the training data plus a measure of overfitting different than that used in ridge. This lasso method has had impact in numerous applied domains, and the ideas behind the method have fundamentally changed machine learning and statistics. You will also implement a coordinate descent algorithm for fitting a Lasso model.

Coordinate descent is another, general, optimization technique, which is useful in many areas of machine learning.

We start by considering the simple and intuitive example of nonparametric methods, nearest neighbor regression: The prediction for a query point is based on the outputs of the most related observations in the training set. This approach is extremely simple, but can provide excellent predictions, especially for large datasets. You will deploy algorithms to search for the nearest neighbors and form predictions based on the discovered neighbors. Building on this idea, we turn to kernel regression. Instead of forming predictions based on a small set of neighboring observations, kernel regression uses all observations in the dataset, but the impact of these observations on the predicted value is weighted by their similarity to the query point. You will analyze the theoretical performance of these methods in the limit of infinite training data, and explore the scenarios in which these methods work well versus struggle. You will also implement these techniques and observe their practical behavior.

We conclude with an overview of what's in store for you in the rest of the specialization.