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Probabilistic interpretation

The probabilistic interpretation in machine learning and statistics refers to understanding algorithms and models in terms of probability theory, which offers a principled framework for reasoning under uncertainty and making predictions.

Overview of Probabilistic Interpretation

  1. Connection Between Likelihood and Cost Function:

A common example is the interpretation of least-squares regression. Under specific probabilistic assumptions about the data, minimizing the least-squares cost corresponds exactly to maximizing the likelihood of the observed data.

  • Suppose the data (x(i),y(i)) are generated according to the model:

y(i)=θTx(i)+ϵ(i),

where ϵ(i)N(0,σ2) are independent Gaussian noise terms.

  • The likelihood of the dataset under parameters θ is:

p(y(i)x(i);θ)=σ1exp(−2σ2(y(i)θTx(i))2).

  • Maximizing this likelihood (or equivalently, the log-likelihood) over all data points is:

θMLE=argmaxθi=1nlogp(y(i)x(i);θ),

which simplifies to minimizing the squared error loss:

argminθ21i=1n(y(i)θTx(i))2.

Hence, least-squares regression corresponds to the Maximum Likelihood Estimation (MLE) under Gaussian noise assumptions.

  1. Bayesian Perspective:

Going beyond MLE, Bayesian statistics treats model parameters θ as random variables with a prior distribution p(θ). This leads to the posterior distribution over parameters given data S={(x(i),y(i))}i=1n:

p(θS)=p(S)p(Sθ)p(θ)=θ(i=1np(y(i)x(i),θ)p(θ))(i=1np(y(i)x(i),θ))p(θ)

where the posterior incorporates both the likelihood and prior belief about θ. This approach regularizes the problem, reduces overfitting, and allows for uncertainty quantification.

  1. Summary :
  • The equivalence between least squares and MLE is shown under Gaussian noise assumptions.
  • Bayesian view treats parameters as random variables with priors, leading to posterior inference that naturally incorporates regularization effects.
  • Such probabilistic interpretations provide principled foundations for many classical and modern machine learning methods, like logistic regression and generative models.

Additional Notes:

  • Probabilistic interpretations enable the design of new models and cost functions by modeling p(yx;θ) in flexible ways.
  • They facilitate working with uncertainty, making predictions that include confidence estimates.
  • Extensions include generalized linear models and generative learning algorithms, which build on these ideas. 

 

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