Firstly, I was pleasantly surprised that the software/programming language of instruction was Octave, which regular readers of this blog will know is my main software of choice. Apart from learning the concepts of ML, I also picked up some handy tips for Octave programming, and more importantly for me I now have a set of working Octave ML functions that I can use immediately in my system development.
In my previous post I mentioned that my first attempt at using ML will be to use a Neural Net to classify market types. As background to this, readers might be interested in a pdf file of the video lectures, available from here, which was put together and posted on the course discussion forum by another student - I think this is very good and all credit to said student, José Soares Augusto.
Due to the honour code ( or honor code for American readers ) of the course I will be unable to post the code that I wrote for the programming assignments. However, I do feel that I can post the code shown in the code box below, as the copyright notice allows it. A few slight changes I made are noted in the copyright notice. This is a minimisation function that was used in the training of the Neural Net assignment and was provided in the assignment download.
function [X, fX, i] = fmincg(f, X, options, P1, P2, P3, P4, P5) % Minimize a continuous differentialble multivariate function. Starting point % is given by "X" (D by 1), and the function named in the string "f", must % return a function value and a vector of partial derivatives. The Polack- % Ribiere flavour of conjugate gradients is used to compute search directions, % and a line search using quadratic and cubic polynomial approximations and the % Wolfe-Powell stopping criteria is used together with the slope ratio method % for guessing initial step sizes. Additionally a bunch of checks are made to % make sure that exploration is taking place and that extrapolation will not % be unboundedly large. The "length" gives the length of the run: if it is % positive, it gives the maximum number of line searches, if negative its % absolute gives the maximum allowed number of function evaluations. You can % (optionally) give "length" a second component, which will indicate the % reduction in function value to be expected in the first line-search (defaults % to 1.0). The function returns when either its length is up, or if no further % progress can be made (ie, we are at a minimum, or so close that due to % numerical problems, we cannot get any closer). If the function terminates % within a few iterations, it could be an indication that the function value % and derivatives are not consistent (ie, there may be a bug in the % implementation of your "f" function). The function returns the found % solution "X", a vector of function values "fX" indicating the progress made % and "i" the number of iterations (line searches or function evaluations, % depending on the sign of "length") used. % % Usage: [X, fX, i] = fmincg(f, X, options, P1, P2, P3, P4, P5) % % See also: checkgrad % % Copyright (C) 2001 and 2002 by Carl Edward Rasmussen. Date 2002-02-13 % % (C) Copyright 1999, 2000 & 2001, Carl Edward Rasmussen % % Permission is granted for anyone to copy, use, or modify these % programs and accompanying documents for purposes of research or % education, provided this copyright notice is retained, and note is % made of any changes that have been made. % % These programs and documents are distributed without any warranty, % express or implied. As the programs were written for research % purposes only, they have not been tested to the degree that would be % advisable in any important application. All use of these programs is % entirely at the user's own risk. % % [ml-class] Changes Made: % 1) Function name and argument specifications % 2) Output display % % Dekalog Changes Made: % Some lines have been altered, changing | to || and & to &&. % This is to avoid "possible Matlab-style short-circuit operator" warnings % being given when code is run under Octave. The lines where these changes % have been made are indicated by comments at the end of each respective line. % Read options if exist('options', 'var') && ~isempty(options) && isfield(options, 'MaxIter') length = options.MaxIter; else length = 100; end RHO = 0.01; % a bunch of constants for line searches SIG = 0.5; % RHO and SIG are the constants in the Wolfe-Powell conditions INT = 0.1; % don't reevaluate within 0.1 of the limit of the current bracket EXT = 3.0; % extrapolate maximum 3 times the current bracket MAX = 20; % max 20 function evaluations per line search RATIO = 100; % maximum allowed slope ratio argstr = ['feval(f, X']; % compose string used to call function for i = 1:(nargin - 3) argstr = [argstr, ',P', int2str(i)]; end argstr = [argstr, ')']; if max(size(length)) == 2, red=length(2); length=length(1); else red=1; end S=['Iteration ']; i = 0; % zero the run length counter ls_failed = 0; % no previous line search has failed fX = ; [f1 df1] = eval(argstr); % get function value and gradient i = i + (length<0); % count epochs?! s = -df1; % search direction is steepest d1 = -s'*s; % this is the slope z1 = red/(1-d1); % initial step is red/(|s|+1) while i < abs(length) % while not finished i = i + (length>0); % count iterations?! X0 = X; f0 = f1; df0 = df1; % make a copy of current values X = X + z1*s; % begin line search [f2 df2] = eval(argstr); i = i + (length<0); % count epochs?! d2 = df2'*s; f3 = f1; d3 = d1; z3 = -z1; % initialize point 3 equal to point 1 if length>0, M = MAX; else M = min(MAX, -length-i); end success = 0; limit = -1; % initialize quanteties while 1 while ((f2 > f1+z1*RHO*d1) || (d2 > -SIG*d1)) && (M > 0) % | and & changed to || and && to avoid "possible Matlab-style short-circuit operator" warning limit = z1; % tighten the bracket if f2 > f1 z2 = z3 - (0.5*d3*z3*z3)/(d3*z3+f2-f3); % quadratic fit else A = 6*(f2-f3)/z3+3*(d2+d3); % cubic fit B = 3*(f3-f2)-z3*(d3+2*d2); z2 = (sqrt(B*B-A*d2*z3*z3)-B)/A; % numerical error possible - ok! end if isnan(z2) || isinf(z2) % | changed to || to avoid "possible Matlab-style short-circuit operator" warning z2 = z3/2; % if we had a numerical problem then bisect end z2 = max(min(z2, INT*z3),(1-INT)*z3); % don't accept too close to limits z1 = z1 + z2; % update the step X = X + z2*s; [f2 df2] = eval(argstr); M = M - 1; i = i + (length<0); % count epochs?! d2 = df2'*s; z3 = z3-z2; % z3 is now relative to the location of z2 end if f2 > f1+z1*RHO*d1 || d2 > -SIG*d1 % | changed to || to avoid "possible Matlab-style short-circuit operator" warning break; % this is a failure elseif d2 > SIG*d1 success = 1; break; % success elseif M == 0 break; % failure end A = 6*(f2-f3)/z3+3*(d2+d3); % make cubic extrapolation B = 3*(f3-f2)-z3*(d3+2*d2); z2 = -d2*z3*z3/(B+sqrt(B*B-A*d2*z3*z3)); % num. error possible - ok! if ~isreal(z2) || isnan(z2) || isinf(z2) || z2 < 0 % num prob or wrong sign? % | changed to || to avoid "possible Matlab-style short-circuit operator" warning if limit < -0.5 % if we have no upper limit z2 = z1 * (EXT-1); % the extrapolate the maximum amount else z2 = (limit-z1)/2; % otherwise bisect end elseif (limit > -0.5) && (z2+z1 > limit) % extraplation beyond max? % & changed to && to avoid "possible Matlab-style short-circuit operator" warning z2 = (limit-z1)/2; % bisect elseif (limit < -0.5) && (z2+z1 > z1*EXT) % extrapolation beyond limit % & changed to && to avoid "possible Matlab-style short-circuit operator" warning z2 = z1*(EXT-1.0); % set to extrapolation limit elseif z2 < -z3*INT z2 = -z3*INT; elseif (limit > -0.5) && (z2 < (limit-z1)*(1.0-INT)) % too close to limit? % & changed to && to avoid "possible Matlab-style short-circuit operator" warning z2 = (limit-z1)*(1.0-INT); end f3 = f2; d3 = d2; z3 = -z2; % set point 3 equal to point 2 z1 = z1 + z2; X = X + z2*s; % update current estimates [f2 df2] = eval(argstr); M = M - 1; i = i + (length<0); % count epochs?! d2 = df2'*s; end % end of line search if success % if line search succeeded f1 = f2; fX = [fX' f1]'; fprintf('%s %4i | Cost: %4.6e\r', S, i, f1); s = (df2'*df2-df1'*df2)/(df1'*df1)*s - df2; % Polack-Ribiere direction tmp = df1; df1 = df2; df2 = tmp; % swap derivatives d2 = df1'*s; if d2 > 0 % new slope must be negative s = -df1; % otherwise use steepest direction d2 = -s'*s; end z1 = z1 * min(RATIO, d1/(d2-realmin)); % slope ratio but max RATIO d1 = d2; ls_failed = 0; % this line search did not fail else X = X0; f1 = f0; df1 = df0; % restore point from before failed line search if ls_failed || i > abs(length) % line search failed twice in a row % | changed to || to avoid "possible Matlab-style short-circuit operator" warning break; % or we ran out of time, so we give up end tmp = df1; df1 = df2; df2 = tmp; % swap derivatives s = -df1; % try steepest d1 = -s'*s; z1 = 1/(1-d1); ls_failed = 1; % this line search failed end if exist('OCTAVE_VERSION') fflush(stdout); end end fprintf('\n');
Finally, the last set of videos talked about "Artificial Data Synthesis," otherwise known as creating your own data for training purposes. This is basically what I had planned to do anyway ( see previous post ), but it is nice to learn that it is standard, accepted practice in the ML world. The first such way of creating data, in the context of Photo OCR, is shown below
creating synthetic data using FFT might be useful for, or alternatively a correlation and cointegration approach as shown in R code in this Quantitative Finance thread.
All in all, I'm quite excited by the possibilities of my new found knowledge, and I fully expect that in time, after development and testing, any Neural Net I develop will in fact replace my current Naive Bayesian classifier.