ML | Locally weighted Linear Regression

Linear Regression is a supervised learning algorithm used for computing linear relationships between input (X) and output (Y). The steps involved in ordinary linear regression are:

Training phase: Compute to minimize the cost. 

Predict output: for given query point , 

As evident from the image below, this algorithm cannot be used for making predictions when there exists a non-linear relationship between X and Y. In such cases, locally weighted linear regression is used. 

Locally Weighted Linear Regression:

Locally weighted linear regression is a non-parametric algorithm, that is, the model does not learn a fixed set of parameters as is done in ordinary linear regression. Rather parameters are computed individually for each query point . While computing , a higher “preference” is given to the points in the training set lying in the vicinity of than the points lying far away from . The modified cost function is: where, is a non-negative “weight” associated with training point . For s lying closer to the query point , the value of is large, while for s lying far away from the value of is small.   A typical choice of is: where is called the bandwidth parameter and controls the rate at which falls with distance from Clearly, if is small is close to 1 and if is large is close to 0. Thus, the training set points lying closer to the query point contribute more to the cost than the points lying far away from . 

NOTE: For Locally Weighted Linear Regression, the data must always be available on the machine as it doesn’t learn from the whole set of data in a single shot. Whereas, in Linear Regression, after training the model the training set can be erased from the machine as the model has already learned the required parameters.

For example: Consider a query point = 5.0 and let and be two points in the training set such that = 4.9 and = 3.0. Using the formula with = 0.5: [Tex]w^{(2)} = exp(\frac{-(3.0 – 5.0)^2}{2(0.5)^2}) = 0.000335      [/Tex]Thus, the weights fall exponentially as the distance between and increases and so does the contribution of error in prediction for to the cost. Consequently, while computing , we focus more on reducing for the points lying closer to the query point (having a larger value of ). 

Steps involved in locally weighted linear regression are:

Compute to minimize the cost. 

Predict Output: for given query point , 

Points to remember:

• Locally weighted linear regression is a supervised learning algorithm.
• It is a non-parametric algorithm.
• There exists No training phase. All the work is done during the testing phase/while making predictions.
• The dataset must always be available for predictions.
• Locally weighted regression methods are a generalization of k-Nearest Neighbour.
• In Locally weighted regression an explicit local approximation is constructed from the target function for each query instance.
• The local approximation is based on the target function of the form like constant, linear, or quadratic functions localized kernel functions.