MIT 9.520/6.

860, Fall 2018

Statistical Learning Theory and Applications

Class 04: Features and Kernels

Lorenzo Rosasco
 Linear functions

Let Hlin be the space of linear functions

f (x) = w > x.

I f ↔ w is one to one,
D E
I inner product f , f̄ := w > w̄,
H
I norm/metric f − f̄ := kw − w̄k.
H

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 An observation

Function norm controls point-wise convergence.

Since
|f (x) − f̄ (x)| ≤ kxk kw − w̄k , ∀x ∈ X
then
wj → w ⇒ fj (x) → f (x), ∀x ∈ X .

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 ERM

n
1X
min (yi − w > xi )2 + λ kwk2 , λ≥0
w∈Rd n
i =1

I λ → 0 ordinary least squares (bias to minimal norm),

I λ > 0 ridge regression (stable).

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 Computations

Let Xn ∈ Rnd and b

Y ∈ Rn .

The ridge regression solution is

bλ = (Xn > Xn+nλI )−1 Xn >b

w Y time O (nd 2 ∨d 3 ) mem. O (nd ∨d 2 )

but also

bλ = Xn > (XnXn > +nλI )−1b

w Y time O (dn 2 ∨n 3 ) mem. O (nd ∨n 2 )

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 Representer theorem in disguise

We noted that
n
X n
X
bλ = Xn > c =
w xi ci ⇔ f̂ λ (x) = x > xi ci ,
i =1 i =1

c = (XnXn > + nλI )−1b

Y, (XnXn > )ij = xi> xj .

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 Limits of linear functions

Regression

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 Limits of linear functions

Classification

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 Nonlinear functions

Two main possibilities:

f (x) = w > Φ(x), f (x) = Φ(w > x)

where Φ is a non linear map.

I The former choice leads to linear spaces of functions1 .

I The latter choice can be iterated

f (x) = Φ(wL> Φ(wL>−1 . . . Φ(w1> x))).

1 The spaces are linear, NOT the functions! [Link], 9.520/6.860 2018
 Features and feature maps

f (x) = w > Φ(x),

where Φ : X → Rp

Φ(x) = (ϕ1 (x), . . . , ϕp (x))>

and ϕj : X → R, for j = 1, . . . , p.

I X need not be Rd .
I We can also write
p
X
f (x) = w j ϕj (x).
i =1

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Geometric view

f (x) = w > Φ(x)

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An example

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 More examples

The equation
p
X
f (x) = w > Φ(x) = w j ϕj (x)
i =1
suggests to think of features as some form of basis.

Indeed we can consider

I Fourier basis,
I wave-lets + their variations,
I ...

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 And even more examples

Any set of functions

ϕj : X → R, j = 1, . . . , p

can be considered.

Feature design/engineering
I vision: SIFT, HOG
I audio: MFCC
I ...

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 Nonlinear functions using features

Let HΦ be the space of linear functions

f (x) = w > Φ(x).

I f ↔ w is one to one, if (ϕj )j are lin. indip.

D E
I inner product f , f̄ := w > w̄,
HΦ
I norm/metric f − f̄ := kw − w̄k.
HΦ

In this case

|f (x) − f̄ (x)| ≤ kΦ(x)k kw − w̄k , ∀x ∈ X .

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 Back to ERM

n
1X
minp (yi − w > Φ(xi ))2 + λ kwk2 , λ ≥ 0,
w∈R n
i =1

Equivalent to,
n
1X
min (yi − f (xi ))2 + λ kf k2HΦ , λ ≥ 0.
f ∈HΦ n
i =1

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 Computations using features

b ∈ Rnp with
Let Φ
b ij = ϕj (xi )
(Φ)

The ridge regression solution is

b λ = (Φ
w b > Φ+nλI
b )−1 Φ
b>b
Y time O (np 2 ∨p 3 ) mem. O (np∨p 2 ),

but also

bλ = Φ
w b > (Φ
bΦb > +nλI )−1b
Y time O (pn 2 ∨n 3 ) mem. O (np∨n 2 ).

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 Representer theorem a little less in disguise

Analogously to before
n
X n
X
bλ = Φ
w b> c = Φ(xi )ci ⇔ f̂ λ (x) = Φ(x)> Φ(xi )ci
i =1 i =1

c = (Φ
bΦb > + λI )−1b
Y, (Φ
bΦb > )ij = Φ(xi )> Φ(xj )

p
X
Φ(x)> Φ(x̄) = ϕs (x)ϕs (x̄).
s =1

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 Unleash the features

I Can we consider linearly dependent features?

I Can we consider p = ∞?

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 An observation

For X = R consider
s
−x 2 γ (2γ)(j −1)
ϕj (x) = x j −1 e , j = 2, . . . , ∞
(j − 1)!

with ϕ1 (x) = 1.

Then
s s
∞ ∞
X X
−x 2 γ (2γ)j −1 j −1 −x̄ 2 γ (2γ)j −1
ϕj (x)ϕj (x̄) = x j −1 e x̄ e
(j − 1)! (j − 1)!
j =1 j =1
∞
2γ 2γ
X (2γ)j −1 2γ 2γ 2γ
= e −x e −x̄ (xx̄)j −1 = e −x e −x̄ e 2x x̄
(j − 1)!
j =1
−|x−x̄|2 γ
= e

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 From features to kernels

∞
X
Φ(x)> Φ(x̄) = ϕj (x)ϕj (x̄) = k (x, x̄)
j =1

We might be able to compute the series in closed form.

The function k is called kernel.

Can we run ridge regression ?

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 Kernel ridge regression

We have
n
X n
X
λ >
f̂ (x) = Φ(x) Φ(xi )ci = k (x, xi )ci
i =1 i =1

K + λI )−1b
c = (b Y, K )ij = Φ(xi )> Φ(xj ) = k (xi , xj )
(b
K is the kernel matrix, the Gram (inner products) matrix of the data.
b

“The kernel trick”

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 Kernels

I Can we start from kernels instead of features?

I Which functions k : X × X → R define kernels we can use?

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 Positive definite kernels

A function k : X × X → R is called positive definite:

I if the matrix K̂ is positive semidefinite for all choice of points

x1 , . . . , xn , i.e.
a >bK a ≥ 0, ∀a ∈ Rn .

I Equivalently
n
X
k (xi , xj )ai aj ≥ 0,
i ,j =1

for any a1 , . . . , an ∈ R, x1 , . . . , xn ∈ X .

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 Inner product kernels are pos. def.

Assume Φ : X → Rp , p ≤ ∞ and

k (x, x̄) = Φ(x)> Φ(x̄)

Note that
n n n 2
X X X
k (xi , xj )ai aj = Φ(xi )> Φ(xj )ai aj = Φ(xi )ai .
i ,j =1 i ,j =1 i =1

Clearly k is symmetric.

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 But there are many pos. def. kernels

Classic examples
I linear k (x, x̄) = x > x̄
I polynomial k (x, x̄) = (x > x̄ + 1)s
2
I Gaussian k (x, x̄) = e −kx−x̄k γ

But one can consider

I kernels on probability distributions
I kernels on strings
I kernels on functions
I kernels on groups
I kernels graphs
I ...

It is natural to think of a kernel as a measure of similarity.

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 From pos. def. kernels to functions

Let X be any set/ Given a pos. def. kernel k .

I consider the space Hk of functions

N
X
f (x) = k (x, xi )ai
i =1

for any a1 , . . . , an ∈ R, x1 , . . . , xn ∈ X and any N ∈ N.

I Define an inner product on Hk

D E N X
X N̄
f , f̄ = k (xi , x̄j )ai āj .
Hk
i =1 j =1

I Hk can be completed to a Hilbert space.

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 A key result

Functions defind by Gaussian kernels with large and small widths.

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 An illustration

Theorem
Given a pos. def. k there exists Φ s.t. k (x, x̄) = hΦ(x), Φ(x̄)iHk and

HΦ ' H k

Roughly speaking
N
X
>
f (x) = w Φ(x) ' f (x) = k (x, xi )ai
i =1

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 From features and kernels to RKHS and beyond

Hk and HΦ have many properties, characterizations, connections:

I reproducing property
I reproducing kernel Hilbert spaces (RKHS)
I Mercer theorem (Kar hunen Loéve expansion)
I Gaussian processes
I Cameron-Martin spaces

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 Reproducing property

Note that by definition of Hk

I kx = k (x, ·) is a function in Hk
I For all f ∈ Hk , x ∈ X
f (x) = hf , kx iHk
called the reproducing property

I Note that

|f (x) − f̄ (x)| ≤ kkx kHk f − f̄ Hk

, ∀x ∈ X .

The above observations have a converse.

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 RKHS

Definition
A RKHS H is a Hilbert with a function k : X × X → R s.t.
I kx = k (x, ·) ∈ Hk ,
I and
f (x) = hf , kx iHk .

Theorem
If H is a RKHS then k is pos. def.

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 Evaluation functionals in a RKHS

If H is a RKHS then the evaluation functionals

ex (f ) = f (x)

are continuous. i.e.

|ex (f ) − ex (f̄ )| . f − f̄ Hk
, ∀x ∈ X

since
ex (f ) = hf , kx iHk .

Note that L 2 (Rd ) or C (Rd ) don’t have this property!

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 Alternative RKHS definition

Turns out the previous property also characterizes a RKHS.

Theorem
A Hilbert space with continuous evaluation functionals is a RKHS.

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 Summing up

I From linear to non linear functions

I using features
I using kernels

plus
I pos. def. functions
I reproducing property
I RKHS

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