Bias and Variance

A training set is only a subset of the population of data. Bias-variance trade-off talks about characteristics of predictions from the same algorithm if we use different subsets of the population as training set.

Bias is difference between true value and average predictions from model trained on different training set.

Variance is an estimate of how much the average prediction varies when we change the training set.

Bias and variance are the properties of an algorithm rather than a trained model.

Given a training set $D$ from a population $T$ and an algorithm $h$ (eg. linear regression, decision tree), we construct a model by training $h$ on $D$. Lets call such a model $h_D$.

For a sample $(x,y)\in T$, the prediction of the model is $y_D=h_D(x)$. The average prediction of the model over different training set is ${\mu }_D={\mathbb{E}}_D[y_D]$

$$\begin{array}{rl}Bias[h]& ={\mu }_D-y\\ Variance[h]& ={\mathbb{E}}_D[({\mu }_D-y_D{)}^2]\end{array}$$

Note that both measures are over $D$, i.e how is the algorithm $h$ behaves over different subset of $T$ as training data.

Bias variance decomposition of least squared error

Least squares error for the model $h_D$ is $$l_D=|y-y_D{|}^2$$ Expected least squared error over $D$ is given by

$$\begin{array}{rl}{\mathbb{E}}_D[(y-y_D{)}^2]& ={\mathbb{E}}_D{(y-{\mu }_D+{\mu }_D-y_D)}^2\\ & =\underset{bia{s}^2}{(y-{\mu }_D{)}^2}+\underset{variance}{{\mathbb{E}}_D({\mu }_D-y_D{)}^2}\\ & +2{\mathbb{E}}_D(y-{\mu }_D)({\mu }_D-y_D)\end{array}$$

$${\mathbb{E}}_D[(y-{\mu }_D)({\mu }_D-y_D)]=({\mathbb{E}}_D[y]-{\mu }_D)({\mu }_D-{\mu }_D)=0$$

Thus, for squared loss we have $$loss=bia{s}^2+variance$$

Bias and Variance decomposition under uncertain measurements

Assume that there is some true function $f(x)$ which explains a distribution. But we can only sample a subset $D=(x,y)$. There is some noise $ϵ$ in the sampling. We can model this situation as

$$\begin{array}{rl}y& =f(x)+ϵ\\ \mathbb{E}(ϵ)& =0\\ \mathrm{Var}(ϵ)& ={\sigma }_{ϵ}^2\end{array}$$

We use algorithm $h$ to model the data and train it to minimise squared error on $D$. Let $y_D=h_D(x)$ be the prediction from such model. The expected prediction from the model is ${\mu }_D={\mathbb{E}}_D[h_D(x)]$. The expected error is given by

$$\begin{array}{rl}\mathbb{E}& {}_D[(y-y_D{)}^2]\\ & ={\mathbb{E}}_D[(f(x)+ϵ-h_D(x){)}^2]\\ & ={\mathbb{E}}_D[(f(x)-h_D(x){)}^2]+{\mathbb{E}}_D[{ϵ}^2]-2{\mathbb{E}}_D[ϵ(h_D(x)-{\mu }_D)]\\ & ={\mathbb{E}}_D[(f(x)-h_D(x){)}^2]+{\sigma }_{ϵ}^2\\ & =(f(x)-{\mu }_D{)}^2+{\mathbb{E}}_D[({\mu }_D-h_D(x){)}^2]+{\sigma }_{ϵ}^2\\ & ={\text{bias}}^2+\text{variance}+\text{irreducible error}\end{array}$$