Using symbolic regression to predict rare events(turingbotsoftware.com)
turingbotsoftware.com
Using symbolic regression to predict rare events
https://turingbotsoftware.com/posts/rare-event-prediction.html
24 comments
The previous submission on "Machine learning prediction of the coronavirus outbreak" indicates to me that they do not understand what problems symbolic regression can be applied to. They are making predictions about the future based only on past measurements of one event. They also seem to be revising their numbers without noting the changes in the article.
https://web.archive.org/web/*/https://turingbotsoftware.com/...
https://web.archive.org/web/*/https://turingbotsoftware.com/...
Completely agree - this is the textbook definition of overfitting - and recommending it for novices is like statistical malpractice.
Why think it’s ok to dumb down data science so much? We don’t use “Be your own family’s surgeon” or “Represent your mom in court” apps! Expertise matters in ML/stats too...
Why think it’s ok to dumb down data science so much? We don’t use “Be your own family’s surgeon” or “Represent your mom in court” apps! Expertise matters in ML/stats too...
Overfitting is usually limited by the complexity of the reverted equation. It's usually a lesser problem in symbolic regression than in NNs
But yeah, with such small sample size it might not generalize as much
But yeah, with such small sample size it might not generalize as much
This seems pretty low, can't we apply Bayes' theorem here?
let F = transaction being fraud
let D = detected as fraud
P(F) = 492/284807 = .17%
P(D|F) = 80%
P(~F) = 1-P(F) = 99.83%
P(D|~F) = 13%
P(F|D) = (P(D|F) * P(F)) / (P(F) * P(D|F) + P(~F) * P(D|~F))
P(F|D) = ((.8) * (.0017)) / ((.0017) * (.8) + (.9983) * (.13))
P(F|D) = 0.01 = 1% chance of the transaction being fraud given a positive detection
Did you verify the result with other dataset than the one used for training?
No, I think the features of this dataset are unique to it.
Can you update the article by holding out a portion of the training set and then using it as an unseen test set?
Otherwise it's impossible to make the comparisons at the end of the article to other results.
Otherwise it's impossible to make the comparisons at the end of the article to other results.
Yeah, was the model trained using train/test splits? otherwise, the model likely has been severely overfit.
I wonder how this performance would have compared to a simple random forest or MLP model.
I wonder how this performance would have compared to a simple random forest or MLP model.
I was also curious. Using an out-of-the-box weighted random forest, I got an f-score of ~.85 using a 75:25 stratified train-test split.
To better understand the limitations in Symbolic Regression and Genetic Programming, check out my paper Prioritized Grammar Enumeration
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.394...
OP misses the point that SR is the problem space, not the algorithm or solution space.
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.394...
OP misses the point that SR is the problem space, not the algorithm or solution space.
I was not aware of symbolic regression at all, but I'm wondering now if it couldn't be replicated by some feature engineering or playing around with smth like the Box Cox transformation.
You could afterwards use some feature selection, regularization etc. to retain features that have explanatory power.
It wasn't clear to me why symbolic regression would be especially good for highly skewed datasets. Does anybody have an idea?
You could afterwards use some feature selection, regularization etc. to retain features that have explanatory power.
It wasn't clear to me why symbolic regression would be especially good for highly skewed datasets. Does anybody have an idea?
Cool math, but this doesn't solve the false positive paradox part of the base rate fallacy... since fraud is so rare, most transactions marked as fraud are going to be wrong.
https://en.m.wikipedia.org/wiki/Base_rate_fallacy#False_posi...
https://en.m.wikipedia.org/wiki/Base_rate_fallacy#False_posi...
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I have used http://zunzun.com for a similar effect in the past.
Why do machine learners use F1 score instead of a proper scoring rule (MSE, log-loss, etc.)?
F1 score is harder to misrepresent, and relates more closely to business objectives. MSE is mostly for regression. Log-loss is very useful for training because it represents a useful signal for how well your model is progressing in fitting the data, but you'll still want to evaluate precision and recall.
In practice you'll usually want to tune the tradeoff between precision and recall for the situation. This way you can make a direct connection between model performance and the costs and benefits as they manifest in practice, as well as your tolerance for risk.
In practice you'll usually want to tune the tradeoff between precision and recall for the situation. This way you can make a direct connection between model performance and the costs and benefits as they manifest in practice, as well as your tolerance for risk.
Given that this is fraud prevention, the correct error function should be measured in dollars. The thing you want to minimise is money lost.
Is the cost of allowing a fraudulent transaction through much greater than the cost of blocking a non-fraudulent transaction? Then the error function should reflect that. Minimising F1/accuracy/log-loss is not necessarily going to save the most money.
Is the cost of allowing a fraudulent transaction through much greater than the cost of blocking a non-fraudulent transaction? Then the error function should reflect that. Minimising F1/accuracy/log-loss is not necessarily going to save the most money.
There may also be compliance costs. (Will this model satisfy an auditor?)
So basically this is a neural network architecture discovery process.
It has no neural network. It is a simulated annealing search over a solution space of symbolic equations. The traditional strategy is to use a genetic algorithm to construct symbolic equations. I don't see any proof that this product provides any improvement over the open source tools that are available for free.
Prioritized Grammar Enumeration is a better algorithm for symbolic regression
I’m sorry if I’ve grossly misunderstood what you’re doing here, but trying to sell this method in a GUI tool (making it usable by people without a background in statistics) seems almost negligent.