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Introduction to Discriminant Functions in Classification and Risk Prediction

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graiden-brady
11 diapositives · 268 Views · Nov 29, 2014

This document introduces the concept of discriminant functions used for classifying data into different risk categories, such as low or high risk, based on customer attributes like income and savings. It discusses how these functions enable predictions for new data points by using established rules and probabilities. Furthermore, it elaborates on the application of Bayes' rule for calculating posterior probabilities and making informed decisions about class membership within multiple-class problems. The goal is to optimize classifications while minimizing errors through effective learning methods.

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Introduction to Discriminant Functions in Classification and Risk Prediction
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  1. Classification

  2. Introduction • A discriminant is a function that separates the examples of different classes. For example • IF (income > Q1 and saving >Q2) • Then low risk customer • ELSE • High risk customer • Having a rule like this the main application is prediction. Once we have a rule that fits the past data, then we can make correct prediction for new instances.

  3. Introduction • Given a new customer application with a certain income and savings we can easily decide whether it is low risk or high risk. • In some cases, instead of making a 0/1 (low risk/ high risk) type decision, we may want to calculate a probability namely P(Y|X) where X are the customer attributes and Y is 0 or 1 respectively for low risk and high risk. • From this perspective we can see classification as learning an association from X to Y.

  4. Introduction • Then for a given X=x, if we have P(Y=1|X=x) = 0.8 we say that the customer has an 80% probability of being high risk or equivalently a 20% probability of being low risk. • y = g(x/Q) where g(.) is the model and Q are it parameters. • Remember “y” is a number in regression and “y” is a class code (e.g 0/1) in case of classification. • g(.) is the regression function in regression and in classification, it is the discriminant function separating the instances of different classes.

  5. Example • An AI program optimizes the parameters Q such that the approximation error is minimized, that is, our estimates are as closes as possible to the correct values given in the training set. • Example we observe customer’s yearly income and savings, which we represented by two random variable X1 and X2. • The credibility of the customer is denoted by a bernoulli random variable C conditioned on the observables X=[X1, X2] where C=1 indicates a high risk customer and C=0 indicates low risk customer.

  6. Example • If we know P(C|X1,X2) when a new application arrives with X1= x1 and X2 = x2, we can choose • C=1 if P(C=1|x1,x2) > 0.5 • C=0 otherwise OR • C=1 if P(C=1|x1,x2) > P(C=0|x1,x2) • C=0 otherwise

  7. Bayes’ rule • P(C|X) = P(X|C) P(C) / P(X) • P(C|X) is called Posterior • P(X|C) is called Likelihood • P(C) is called Prior • P(X) is called Evidence • P(C=1) is called prior probability that C takes the value 1, which in our example corresponds to the probability that a customer is high risk, regardless of the value X

  8. Bayes’ rule • It is called prior probability because it is the knowledge we have as to the value of C before looking at the observation X, satisfying • P(C=0) + P(C=1) = 1 • P(X|C) is called the class likelihood and is the conditional probability that an event belonging to C has the associated observation values X. • P(x1,x2| C=1) is the probability that a high risk customer has his or her X1= x1 and X2 = x2. • It is what the data tell us regarding the class.

  9. Bayes’ rule • P(X) the evidence, is the marginal probability that an observation X seen regardless of whether it is a +ve or –ve example. • P(X) = P(X|C=1).P(C=1) + P(X|C=0).P(C=0) • Because of normalization by the evidence the posterior sum up to 1. • P(C=0|X) + P(C=1|X) = 1

  10. General Case • In the general case, we have K mutually exclusive and exhaustive classes. Ci, i=1,2…k. • We have prior probabilities satisfying P(Ci)>= 0 and • P(X|Ci) is the probability of seeing X as the input when it is known that it belongs to class Ci. • The posterior probability of Class Ci can be calculated as P(Ci|X) = P(X|Ci) P(Ci) / P(X) • P(X) = and for minimum error the Bayes’ classifier choose the class with the highest posterior probability that is we choose Ci if P(Ci|X)=maxk(P(Ck|X)

  11. Learning Multiple Classes • In the general case, we have K classes as Ci, i=1,2…K and an input instance belongs to one and exactly one of them. • The training set is now of the form x={xt,rt}tN where r has k dimensions and rt = { 1 if xtεCi} • In AI for classification we would like to learn the boundary separating the instances of one class from the instances of all other classes. • We can view a k-class classification problem as k two-class problems.