Monday, October 16, 2017

Azure Machine Learning in Practice: Threshold Selection

Today, we're going to continue with our Fraud Detection experiment.  If you haven't read our previous posts in this series, it's recommended that you do so.  They cover the Preparation, Data Cleansing, Model Selection and Model Evaluation phases of the experiment.  In this post, we're going to walk through the threshold selection process.

So far in this experiment, we've taken the standard Azure Machine Learning evaluation metrics without much thought.  However, an important thing to note is that all of these evaluation metrics assume that the prediction should be positive when the predicted is probability is greater than .5 (or 50%), and negative otherwise.  This doesn't have to be the case.

In order to optimize the threshold for our data, we need a data set, a model and a module that optimizes the threshold for the data set and model.  We already have a data set and a model, as we've spent the last few post building those.  What we're missing is a module to optimize the threshold.  For this, we're going to use an Execute R Script.

Execute R Script
Execute R Script Properties
We talked about R scripts in one of our very first Azure Machine Learning posts.  This is one of the ways in which Azure Machine Learning allows us to expand its functionality.  Since Azure Machine Learning doesn't have the threshold selection capabilities we're looking for, we'll build them ourselves.  Take a look at this R Script.

CODE BEGIN

dat <- maml.mapInputPort(1)

###############################################################
## Actual Values must be 0 for negative, 1 for positive.
## String Values are not allowed.
##
## You must supply the names of the Actual Value and Predicted
## Probability columns in the name.act and name.pred variables.
##
## In order to hone in on an optimal threshold, alter the
## values for min.out and max.out.
##
## If the script takes longer than a few minutes to run and the
## results are blank, reduce the num.thresh value.
###############################################################

name.act <- "Class"
name.pred <- "Scored Probabilities"
name.value <- c("Scored Probabilities")
num.thresh <- 1000
thresh.override <- c()
num.out <- 20
min.out <- -Inf
max.out <- Inf
num.obs <- length(dat[,1])
cost.tp.base <- 0
cost.tn.base <- 0
cost.fp.base <- 0
cost.fn.base <- 0

#############################################
## Choose an Optimize By option.  Options are
## "totalcost", "precision", "recall" and
## "precisionxrecall".
#############################################

opt.by <- "precisionxrecall"

act <- dat[,name.act]
act[is.na(act)] <- 0
pred <- dat[,name.pred]
pred[is.na(pred)] <- 0
value <- -dat[,name.value]
value[is.na(value)] <- 0

#########################
## Thresholds are Defined
#########################

if( length(thresh.override) > 0 ){
thresh <- thresh.override
num.thresh <- length(thresh)
}else if( num.obs <= num.thresh ){
thresh <- sort(pred)
num.thresh <- length(thresh)
}else{
thresh <- sort(pred)[floor(1:num.thresh * num.obs / num.thresh)]
}

#######################################
## Precision/Recall Curve is Calculated
#######################################

prec <- c()
rec <- c()
true.pos <- c()
true.neg <- c()
false.pos <- c()
false.neg <- c()
act.true <- sum(act)
cost.tp <- c()
cost.tn <- c()
cost.fp <- c()
cost.fn <- c()
cost <- c()

for(i in 1:num.thresh){
thresh.temp <- thresh[i]
pred.temp <- as.numeric(pred >= thresh.temp)
true.pos.temp <- act * pred.temp
true.pos[i] <- sum(true.pos.temp)
true.neg.temp <- (1-act) * (1-pred.temp)
true.neg[i] <- sum(true.neg.temp)
false.pos.temp <- (1-act) * pred.temp
false.pos[i] <- sum(false.pos.temp)
false.neg.temp <- act * (1-pred.temp)
false.neg[i] <- sum(false.neg.temp)
pred.true <- sum(pred.temp)
prec[i] <- true.pos[i] / pred.true
rec[i] <- true.pos[i] / act.true
cost.tp[i] <- cost.tp.base * true.pos[i]
cost.tn[i] <- cost.tn.base * true.neg[i]
cost.fp[i] <- cost.fp.base * false.pos[i]
cost.fn[i] <- cost.fn.base * false.neg[i]
}

cost <- cost.tp + cost.tn + cost.fp + cost.fn
prec.ord <- prec[order(rec)]
rec.ord <- rec[order(rec)]

plot(rec.ord, prec.ord, type = "l", main = "Precision/Recall Curve", xlab = "Recall", ylab = "Precision")

######################################################
## Area Under the Precision/Recall Curve is Calculated
######################################################

auc <- c()

for(i in 1:(num.thresh - 1)){
                auc[i] <- prec.ord[i] * ( rec.ord[i + 1] - rec.ord[i] )
}

#################
## Data is Output
#################

thresh.out <- 1:num.thresh * as.numeric(thresh >= min.out) * as.numeric(thresh <= max.out)
num.thresh.out <- length(thresh.out[thresh.out > 0])
min.thresh.out <- min(thresh.out[thresh.out > 0])

if( opt.by == "totalcost" ){
opt.val <- cost
}else if( opt.by == "precision" ){
opt.val <- prec
}else if( opt.by == "recall" ){
opt.val <- rec
}else if( opt.by == "precisionxrecall" ){
opt.val <- prec * rec
}

ind.opt <- order(opt.val, decreasing = TRUE)[1]

ind.out <- min.thresh.out + floor(1:num.out * num.thresh.out / num.out) - 1
out <- data.frame(rev(thresh[ind.out]), rev(true.pos[ind.out]), rev(true.neg[ind.out]), rev(false.pos[ind.out]), rev(false.neg[ind.out]), rev(prec[ind.out]), rev(rec[ind.out]), rev(c(0, auc)[ind.out]), rev(cost.tp[ind.out]), rev(cost.tn[ind.out]), rev(cost.fp[ind.out]), rev(cost.fn[ind.out]), rev(cost[ind.out]), rev(c(0,cumsum(auc))[ind.out]), thresh[ind.opt], prec[ind.opt], rec[ind.opt], cost.tp[ind.opt], cost.tn[ind.opt], cost.fp[ind.opt], cost.fn[ind.opt], cost[ind.opt])
names(out) <- c("Threshold", "True Positives", "True Negatives", "False Positives", "False Negatives", "Precision", "Recall", "Area Under P/R Curve", "True Positive Cost", "True Negative Cost", "False Positive Cost", "False Negative Cost", "Total Cost", "Cumulative Area Under P/R Curve", "Optimal Threshold", "Optimal Precision", "Optimal Recall", "Optimal True Positive Cost", "Optimal True Negative Cost", "Optimal False Positive Cost", "Optimal False Negative Cost", "Optimal Cost")

maml.mapOutputPort("out");

CODE END

We created this piece of code to help us examine the area under the Precision/Recall curve (AUC in Azure Machine Learning Studio refers to the area under the ROC curve) and to determine the optimal threshold for our data set.  It even allows us to input a custom cost function to determine how much money would have been saved and/or generated using the model.  Let's take a look at the results.
Experiment
Execute R Script Outputs
We can see that there are two different outputs from the "Execute R Script" module.  The first output, "Result Dataset", is where the data that we are trying to output is sent.  The second output, "R Device", is where any console displays or graphics are set.  Let's take a look at our results.
Execute R Script Results 1
Execute R Script Results 2
Execute R Script Graphics
We can see that this script outputs a subset of the thresholds evaluated, as well as the statistics using that threshold.  Also, it outputs the optimal threshold evaluated using a particular parameter that we will look at shortly.  Finally, it draws a graph of the Precision/Recall Curve.  For technical reasons, this graph is an approximation of the curve, not a complete representation.  A more accurate version of this curve can be seen in the "Evaluate Model" module.  We can choose our optimization value using the following set of code.

#############################################
## Choose an Optimize By option.  Options are
## "totalcost", "precision", "recall" and
## "precisionxrecall".
#############################################

opt.by <- "precisionxrecall"

In our case, we chose to optimize by using Precision * Recall.  Looking back at the results from our "Execute R Script", we see that our thresholds jump all the way from .000591 to .983291.  This is because the "Scored Probabilities" output from the "Score Model" module are very heavily skewed towards zero.  In turn, this skew is caused by the fact that our "Class" variable is heavily imbalanced.
Scored Probabilities Statistics
Scored Probabilities Histogram
Because of the way the R code is built, it determined that the optimal threshold of .001316 has a Precision of 82.9% and a Recall of 90.6%.  These values are worse than those originally reported by the "Tune Model Hyperparameters" module.  So, we can override the thresholds in our R code using the following code at the top of the batch:

thresh.override <- (10:90)/100

This will tell the R script to forcibly use thresholds from .10 to .90.  Let's check out the results.
Overridden Threshold Results 1
Overridden Threshold Results 2
We can see that by moving our threshold down to .42, we can tweak out slightly more value from our model.  However, this is a such a small amount of value that it's not worth any amount of effort to do it in this case.

So, when would this be useful?  As with everything, it all comes down to dollars.  We can talk to stakeholders and clients all day about how much Accuracy, Precision and Recall our models have.  In general, they aren't interested in that type of information.  However, if we can input an estimate of their cost function into this script, then we can tie real dollars to the model.  We were able to use this script to show a client that they could save $200k per year in lost product using their model.  That had far more impact than a Precision value ever would.

Hopefully, this post sparked your interest in tuning your Azure Machine Learning models to maximize their effectiveness.  We also want to emphasize that you can use R and Python to greatly extend the usefulness of Azure Machine Learning.  Stay tuned for the next post where we'll be talking about Feature Selection.  Thanks for reading.  We hope you found this informative.

Brad Llewellyn
Data Scientist
Valorem
@BreakingBI
www.linkedin.com/in/bradllewellyn
llewellyn.wb@gmail.com

Monday, September 25, 2017

Azure Machine Learning in Practice: Model Evaluation

Today, we're going to continue with our Fraud Detection experiment.  If you haven't read our previous posts in this series, it's recommended that you do so.  They cover the Preparation, Data Cleansing and Model Selection phases of the experiment.  In this post, we're going to walk through the model evaluation process.

Model evaluation is "where the rubber meets the road", as they say.  Up until now, we've been building a large list of candidate models.  This is where we finally choose the one that we will use.  Let's take a look at our experiment so far.
Experiment So Far
We can see that we have selected two candidate imputation techniques and fourteen candidate models.  However, the numbers are about get much larger.  Let's take a look at the workhorse of our experiment, "Tune Model Hyperparameters".
Tune Model Hyperparameters
We've looked at this module in some of our previous posts (here and here).  Basically, this module works by allowing us to define (or randomly choose) sets of hyperparameters for our models.  For instance, if we run the "Two-Class Boosted Decision Tree" model through this module with our training and testing data, we get an output that looks like this.
Sweep Results (Two-Class Boosted Decision Tree)
The result of the "Tune Model Hyperparameters" module is a list of hyperparameter sets for the input model.  In this case, it is a list of hyperparameters for the "Two-Class Boosted Decision Tree" model, along with various evaluation metrics.  Using this module, we can easily test tens, hundreds or even thousands of different sets of hyperparameters in order to find the absolute best set of hyperparameters for our data.

Now, we have a way to choose the best possible model.  The next step is to choose which evaluation metric we will use to rank all of these candidate models.  The "Tune Model Hyperparameters" module has a few options.
Evaluation Metrics
This is where a little bit of mathematical background can help tremendously.  Without going into too much detail, there's a problem with using some of these metrics on our dataset.  Let's look back at our "Class" variable. 
Class Statistics
Class Histogram
We see that the "Class" variable is extremely skewed, with 99.87% of all observations having a value of 0.  Therefore, traditional metrics such as Accuracy and AUC are not acceptable.  To further understand this, imagine if we built a model that always predicted 0.  That model would have an accuracy of 99.87%, despite being completely useless for our use case.  If you want to learn more, you can check out this whitepaper.  Now, we need to utilize a new set of metrics.  Let's talk about Precision and Recall.

Precision is the percentage of predicted "positive" records (Class = 1 -> "Fraud" in our case) that are correct.  Notice that we said PREDICTED.  Precision looks at the set of records where the model thinks Fraud has occurred.  This metric is calculated as

(Number of Correct Positive Predictions) / (Number of Positive Predictions)

One of the huge advantages of Precision is that it doesn't care how "rare" the positive case is.  This is extremely beneficial in our case because, in our opinion, 0.13% is extremely rare.  We can see that we want precision to be as close to 1 (or 100%) as possible.

On the other hand, Recall is the percentage of actual "positive" records that are correct.  This is slightly different from Precision in that it looks at the set of records where Fraud has actually occurred.  This metric is calculated as

(Number of Correct Positive Predictions) / (Number of Actual Positive Records)

Just as with Precision, Recall doesn't care how rare the positive case is.  Also like Precision, we want this value to be as close to 1 as possible.

In our minds, Precision is a measure of how accurate your fraud predictions are, while Recall is a measure of how much fraud the model is catching.  Let's look back at our evaluation metrics for the "Tune Model Hyperparameters" module.
Evaluation Metrics
We can see that Precision and Recall are both in this list.  So, which one do we choose?  Honestly, we don't have an answer for this.  So, we'll go back to our favorite method, try them both!
Model Evaluation Experiment
This is where Azure Machine Learning really provides value.  In about thirty minutes, we were able to set up this experiment that's going to create two evaluation metrics against fourteen sets of twenty models utilizing two cleansing techniques.  That's a total of 1,120 models!  After this finishes, we copy all of these results out to an Excel spreadsheet so we can take a look at them.
MICE - Precision - Averaged Perceptron Results
Our Excel document is simply a series of tables very similar to this one.  They show the parameters used for the model, as well as the evaluation statistics for that model.  Using this, we could easily find the combination of model, parameters and cleansing technique that gives us the highest Precision or Recall.  However, this still requires us to choose one or the other.  Looking back at the definitions of these metrics, they cover two different, important cases.  What if we want to maximize both?  Since we have the data in Excel, we can easily add a column for Precision * Recall and find the model that maximizes that value.
PPCA - Recall - LD SVM - Binning Results
As we can see from this table, the best model for this dataset is to clean the data using Probabilistic Principal Component Analysis, then model the data using a Locally-Deep Support Vector Machine with a Depth of 4, Lambda W of .065906, Lambda Theta Prime of .003308, Sigma of .106313 and 14,389 Iterations.  A very important consideration here is that we will not get the same results by copy-pasting these parameter values into the "Locally-Deep Support Vector Machine" module.  That's because these values are rounded.  Instead, we should save the best module directly to our Azure ML workspace.
Save Trained Model
At this point, we could easily consider this problem solved.  We have created a model that catches 90.2% of all fraud with a precision of 93.0%.  A very important point to note about this whole exercise is that we did not use domain knowledge, assumptions or "Rules of Thumb" to drive our model selection process.  Our model was selected entirely by using the data.  However,  there are a few more steps we can perform to tweak more power and performance out of our model.  Hopefully, this has opened your eyes to the Model Evaluation power of Azure Machine Learning.  Stay tuned for the next post where we'll discuss Threshold Selection.  Thanks for reading.  We hope you found this informative.

Brad Llewellyn
Data Scientist
Valorem
@BreakingBI
www.linkedin.com/in/bradllewellyn
llewellyn.wb@gmail.com

Monday, September 4, 2017

Azure Machine Learning in Practice: Model Selection

Today, we're going to continue with our Fraud Detection experiment.  If you haven't read our previous posts in this series, it's recommended that you do so.  They cover the Preparation and Data Cleansing phases of the experiment.  In this post, we're going to walk through the model selection process.

In traditional machine learning and data science applications, model selection is a time-consuming process that generally requires a significant amount of statistical background.  Azure Machine Learning completely breaks this paradigm.  As you will see in the next few posts, model selection is Azure Machine Learning requires nothing more than a basic understanding of the problem we are trying to solve and a willingness to let the data pick our model for us.  Let's take a look at our experiment so far.
Experiment So Far
We can see that we've already imported our data and decided to use two different imputation methods, MICE and Probabilistic PCA.  Now, we need to select which models we would like to use to solve our problem.  It's important to remember that our goal is predict when a transaction is fraudulent, i.e. has a "Class" value of 1.  Before we do that, we should remember to remove the "Row Number" feature from our dataset, as it has no analytical value.
Select Columns in Dataset
Now, let's take a look at our model options.
Initialize Model
Using the toolbox on the left side of the Azure Machine Learning Studio, we can work our way down to the "Initialize Model" section.  Here, we have four different types of models, "Anomaly Detection", "Classification", "Clustering" and "Regression".

"Anomaly Detection" is the area of Machine Learning where we try to find things that look "abnormal".  This is an especially difficult task because it requires defining what's "normal".  Fortunately, Azure ML has some great tools that handle the hard work for us.  These types of models are very useful for Fraud Detection in areas like Credit Card and Online Retail transactions, as well Fault Detection in Manufacturing.  However, our training data already has fraudulent transactions labelled.  Therefore, Anomaly Detection may not be what we're looking for.  However, one of the great things about Data Science is that there are no right answers.  Feel free to add some Anomaly Detection algorithms to the mix if you would like.

"Classification" is the area of Machine Learning where we try to determine which class a record belongs to.  For instance, we can look at information about a person and attempt to determine where they are likely to buy a particular product.  This technique requires that we have an initial set of data where already know the classes.  This is the most commonly used type of algorithm and can be found in almost every subject area.  It's not coincidence that our variable of interest in this experiment is called "Class".  Since we already know whether each of these transactions was fraudulent or not, this is a prime candidate for a "Classification" algorithm.

"Clustering" is the area of Machine Learning where we try to group records together to identify which records are "similar".  This is a unique technique belonging to a category of algorithms known as "Unsupervised Learning" techniques.  They are unsupervised in the sense that we are not telling them what to look for.  Instead, we're simply unleashing the algorithm on a data set to see what patterns it can find.  This is extremely useful in Marketing where being able to identify "similar" people is important.  However, it's not very useful for our situation.

"Regression" is the area of Machine Learning where try to predict a numeric value by using other attributes related to it.  For instance, we can use "Regression" techniques to use information about a person to predict their salary.  "Regression" has quite a bit in common with "Classification".  In fact, there are quite a few algorithms that have variants for both "Classification" and "Regression".  However, our experiment only wants to predict a binary (1/0) variable.  Therefore, it would be inappropriate to use a "Regression" algorithm.

Now that we've decided "Classification" is the category we are looking for, let's see what algorithms are underneath it.
Classification
For the most part, we can see that there are two types of algorithms, "Two-Class" and "Multiclass".  Since the variable we are trying to predict ("Class") only has two values, we should use the "Two-Class" algorithms.  But which one?  This is the point where Azure Machine Learning really stands out from the pack.  Instead of choosing one, or even a few, algorithms, we can try them all.  In total, there are 9 different "Two-Class Classification" algorithms.  However, in the next post, we'll be looking at the "Tune Model Hyperparameters" module.  Using this module, we'll find out that there are actually 14 distinct algorithms, as some of the algorithms have a few different variations and one of the algorithms doesn't work with "Tune Model Hyperparameters".  Here's the complete view of all the algorithms.
Two-Class Classification Algorithms
For those that may have issues seeing the image, here's a list.

Two-Class Averaged Perceptron
Two-Class Boosted Decision Tree
Two-Class Decision Forest - Resampling: Replicate
Two-Class Decision Forest - Resampling: Bagging
Two-Class Decision Jungle - Resampling: Replicate
Two-Class Decision Jungle - Resampling: Bagging
Two-Class Locally-Deep Support Vector Machine - Normalizer: Binning
Two-Class Locally-Deep Support Vector Machine - Normalizer: Gaussian
Two-Class Locally-Deep Support Vector Machine - Normalizer: Min-Max
Two-Class Logistic Regression
Two-Class Neural Network - Normalizer: Binning
Two-Class Neural Network - Normalizer: Gaussian
Two-Class Neural Network - Normalizer: Min-Max
Two-Class Support Vector Machine

A keen observer may notice that the "Two-Class Bayes Point Machine" model was not included in this list.  For some reason, this model cannot used in conjunction with "Tune Model Hyperparameters".  However, we will handle this in a later post.

Hopefully, this post helped shed some light on "WHY" you would choose certain models over others.  We can't stress enough that the path to success is to let the data decide which model is best, not "rules-of-thumb" or theoretical guidelines.  Stay tuned for the next post, where we'll use large-scale model evaluation to pick the best possible model for our problem.  Thanks for reading.  We hope you found this informative.

Brad Llewellyn
Data Scientist
Valorem
@BreakingBI
www.linkedin.com/in/bradllewellyn
llewellyn.wb@gmail.com

Monday, August 14, 2017

Azure Machine Learning in Practice: Data Cleansing

Today, we're going to continue with our Fraud Detection experiment.  If you haven't read our previous post, it's highly recommended that you do, as it provides valuable context.  In this post, we're going to walk through the data cleansing process.

Data Cleansing is arguably one of the most important phases in the Machine Learning process.  There's an old programming adage "Garbage In, Garbage Out".  This applies to Machine Learning even more so.  The purpose of data cleansing is to ensure that the data we are using is "suitable" for the analysis we are doing.  "Suitable" is an amorphous term that takes on drastically different meanings based on the situation.  In our case, we are trying to accurately identify when a particular credit card purchase is fraudulent.  So, let's start by looking at our data again.
Credit Card Fraud Data 1

Credit Card Fraud Data 2
We can see that our data set is made up of a "Row Number" column, 30 numeric columns and a "Class" column.  For more information about what these columns mean and how they were created, read our previous post.  In our experiment, we want to create a model to predict when a particular transaction is fraudulent.  This is the same as predicting when the "Class" column equals 1.  Let's take a look at the "Class" column.
Class Statistics

Class Histogram
 Looking the histogram, we can see that we have heavily skewed data.  A simple math trick tells us that we can determine the Percentage of "1" values simply by looking at the mean times 100.  Therefore, we can see that 0.13% of our records are fraudulent.  This is what's known as an "imbalanced class".  An imbalanced class problem is especially tricky because we have to use a new set of evaluation metrics.  For instance, if we were to always guess that every record is not fraudulent, we would be correct 99.87% of the time.  While these seem like amazing odds, they are completely worthless for our analysis.  If you want to learn more, a quick google search brought up this interesting article that may be worth a read.  We'll touch on this more in a later post.  For now, let's keep this in the back of our mind and move on to summarizing our data.
Credit Card Fraud Summary 1

Credit Card Fraud Summary 2

Credit Card Fraud Summary 3
A few things stick out when we look at this.  First, all of the features except "Class" have missing values.  We need to take care of this.  Second, the "Class" features doesn't have missing values.  This is great!  Given that our goal is to predict fraud, it would be pretty pointless if some of our records didn't have a known value for "Class".  Finally, it's important to note that all of our variables are numeric.  Most machine learning algorithms cannot accept string values as input.  However, most of the Azure Machine Learning algorithms will transform any string features into numeric features.  You can find out more about Indicator Variables in an earlier post.  Alas, let's look at some of the ways to deal with our missing values.  Cue the "Clean Missing Data" module.
Clean Missing Data
The task of cleaning missing data is known as Imputation.  Given its importance, we've touched on it a couple of times on this blog (here and here).  The goal of imputation is to create a data set that gives us the "most accurate" answer possible.  That's a very vague concept.  However, we have a big advantage in that we have a data set with known "Class" values to test against.  Therefore, we can try a few different options to see which ones work best with our data and our models.

In the previous posts, we've focused on "Custom Substitution Value" just to save time.  However, our goal in this experiment is to create the most accurate model possible.  Given that goal, it would seem like a waste not to use some of more powerful tools in our toolbox.  We could use some of the simpler algorithms like Mean, Median or Mode.  However, we have a large number of dense features (this is a result of the Principal Component Analysis we talked about in the previous post).  This means that we have a perfect use case for the heavy-hitters in the toolbox, MICE and Probabilistic PCA (PPCA).  Whereas the Mean, Median and Mode algorithms determine a replacement value by utilizing a single column, the MICE and PPCA algorithm utilize the entire dataset.  This makes them extremely powerful at providing very accurate replacements for missing values.

So, which should we choose?  This is one of the many crossroads we will run across in this experiment; and the answer is always the same.  Let the data decide!  There's nothing stopping us from creating two streams in our experiment, one which uses MICE and one which uses PPCA.  If we were so inclined, we could create additional streams for the other substitution algorithms or a stream for no substitution at all.  Alas, that would greatly increase the development effort, without likely paying off in the end.  For now, we'll stick with MICE and PPCA.  Which one's better?  We won't know that until later in the experiment.

Hopefully, this post enlightened you to some of the ways that you can use Imputation and Data Cleansing to provide additional power to your models.  There was far more we could do here.  In fact, many data scientists approaching hard problems will spend most of their time adding new variables and transforming existing ones to create even more powerful models.  In our case, we don't like putting in the extra work until we know it's necessary.  Stay tuned for the next post where we'll talk about model selection.  Thanks for reading.  We hope you found this informative.

Brad Llewellyn
Data Scientist
Valorem
@BreakingBI
www.linkedin.com/in/bradllewellyn
llewellyn.wb@gmail.com

Monday, July 24, 2017

Azure Machine Learning in Practice: Fraud Detection

So far, we've been walking through the different algorithms and tools for solving different problems.  However, we've never delved into how a data scientist would solve a real-world problem.  This next series is going to focus on a real data set from www.kaggle.com.  For those that are unfamiliar with Kaggle, it's a website that hosts data science competitions that allow users from all over the world to use whatever tools and algorithms they would like in order to solve a problem.  This data set focuses on credit card fraud.  Specifically, the goal is to use a large set of anonymized data to create a fraud detection algorithm.  You can find out more about the data set here.

Some of you may be thinking "I thought this was going to be a real problem, not a fake one!"  Turns out, we solved this kaggle problem in almost exactly the same way that we've solved real customers problems at work.  The only difference here is that this data has been anonymized in order to protect everyone's privacy.

For this post, let's take a look at the data set.
Credit Card Fraud Data 1

Credit Card Fraud Data 2
We can see that this data set has the following features: "Row Number", "Time", "V1"-"V28", "Amount" and "Class".  The "Row Number" feature is simply used as a row identifier and should not be included in any of the models or analysis.  The "Time" column represents the number of seconds between the current transaction and the first transaction in the dataset.  This information could be very useful because transactions that occur very rapidly or at constant increments could be an indicator of fraud.  The "Amount" feature is the value of the transaction.  The "Class" feature is our fraud indicator.  If a transaction was fraudulent, this feature would have a value of 1.

Finally, let's talk about the "V1"-"V28" columns.  These columns represent all of the other data we have about these customers and transactions combined into 28 numeric features.  Obviously, there were far more than 28 original feature.  However, in order to anonymize the data and reduce the number of features, the creator of the data set used a technique known as Principal Component Analysis (PCA).  This is a well-known mathematical technique for creating a small number of very dense columns using a large number of sparse columns.  Fortunately for the creators of this data set, it also has the advantage of anonymizing any data you use it on.  While we won't dig into PCA in this post, there is an Azure Machine Learning module called Principal Component Analysis that will perform this technique for you.  We may cover this module in a later post.  Until then, you can read more about it here.

Summarize Data
Another interesting aspect to note is that this data set contains around 200,000 rows and has a significant number of missing values.  This was not a part of the original data set provided by Kaggle.  We use this data set as an example for some of our training sessions (training people, not training models).  Therefore, we wanted to add some additional speed bumps to the data in order to enhance the value of the training.  So, instead of using the single large data sets provided by Kaggle, we provide a training set, which has missing values, and a testing set, which does not.  If you would like to use these datasets instead, you can find them here.

Hopefully we've piqued your interest about Fraud Detection in Azure Machine Learning.  Feel free to hop right into the analysis and see what you can do on your own.  Maybe you'll create a better model than us!  Stay tuned for the next post where we'll be talking about cleaning up this data and preparing it for modelling.  Thanks for reading.  We hope you found this informative.

Brad Llewellyn
Data Scientist
Valorem
@BreakingBI
www.linkedin.com/in/bradllewellyn
llewellyn.wb@gmail.com

Monday, July 3, 2017

Azure Machine Learning: Cross-Validation for Regression

Today, we're going to continue our walkthrough of Sample 4: Cross Validation for Regression: Auto Imports Dataset.  In the previous posts, we walked through the Initial Data Load, Imputation, Ordinary Least Squares Linear Regression, Online Gradient Descent Linear Regression, Boosted Decision Tree Regression, Poisson Regression and Model Evaluation phases of the experiment.  We also discussed Normalization.
Experiment So Far
Let's refresh our memory on the data set.
Automobile Price Data (Clean) 1

Automobile Price Data (Clean) 2
We can see that this data set contains a bunch of text and numeric data about each vehicle, as well as its price.  The goal of this experiment is to attempt to predict the price of the car based on these factors.

To finish this experiment, let's take a look at Cross-Validation.  We briefly touched on this topic in a previous post as it relates to Classification models.  Let's dig a little deeper into it.

As we've mentioned before, it is extremely important to have a separation between Training data (data used to train the model) and Testing data (data used to evaluate the model).  This separation is necessary because it allows us to determine how well our model could predict "new" data.  In this case, "new" data is data that the model has not seen before.  If we were to train the model using a data set, then evaluate the model using the same data set, we would have no way to determine whether they model is good at fitting "new" data or only good at fitting data it has already seen.

In practice, these data sets are often created by cleaning and preparing a single data set that contains all of the variables needed for modelling, as well as a column or columns containing the results we are trying to predict.  Then, this data is split into two data sets.  This process is generally random, with a larger portion of the data going to the training set than to the testing set.  However, this methodology has a major flaw.  How do we know if we got a bad sample?  What if by random chance, our training data was missing a significant pattern that existed in our testing set, or vice-versa?  This could cause us to inappropriately identify our model as "good" due to something that is entirely outside of our control.  This is where Cross-Validation comes into play.

Cross-Validation is a process for creating multiple sets of testing and training sets, using the same set of data.  Imagine that we split our data in half.  For the first model, we train the model using the first half of the data, then we test the model using the second half of the data.  Turns out that we can repeat this process by swapping the testing and training sets.  So, we can train the second model using the second half of the data, then test the model using the first half of the data.  Now, we have two models trained with different training sets and tested with different testing sets.  Since the two testing sets did not contain any of the same elements, we can combine the scored results together to create a master set of scored data.  This master set of scored data will have a score for every record in our original data set, without ever having a single model score a record that it was trained with.  This greatly reduces the chances of getting a bad sample because we are effectively scoring every element in our data, not just a small portion.

Let's expand this method a little.  First, we need to break our data into three sets.  The first model is trained using sets 1 and 2, and tested using set 3.  The second model is trained using sets 1 and 3, and tested using set 2.  The third model is trained using sets 2 and 3, and tested using set 1.  In practice, the sets are known as "folds". As you can see, we can extend this method out as far as we would like to create a master set of predictions.

K Fold Cross-Validation
There's even a subset of Cross-Validation known as "Leave One Out" where you train the model using all but one record, then score that individual record using the trained model.  This process is obviously repeated for every record in the data set.

Now, the question becomes "How many folds should I have? 5? 10? 20? 1000?"  This is a major question that some data scientists spend quite a bit of time working with.  Fortunately for us, Azure ML automatically uses 10 folds, so we don't have to worry too much about this question.  Let's see it in action.

If we look back at our previous post, we can see that the normalization did not improve any of our models.  So, for simplicity, let's remove normalization.
Experiment So Far (No Normalization)
Now, let's take a look at the Cross Validate Model module.
Cross Validate Model
We see that this module takes an untrained model and a data set.  It also requires us to choose which column we would like to predict, "Price" in our case.  This module outputs a set of scored data, which looks identical to the scored data we get from the Score Data module, although it contains all of the records, not just those in the testing set.  It also outputs a set of Evaluation Results by Fold.
Evaluation Results by Fold
This output shows a record for every fold in our Cross-Validation.  Since there were ten folds, we have ten rows, plus additional rows for the mean (average) and standard deviation of each column.  The columns in these results show some basic summary statistics for each fold.  This data leans more heavily towards experienced data scientists.  However, it can be easily used to recognize if a particular fold is strikingly different from the others.  This could be helpful for determining whether there are subsets within our data that may contain completely different patterns than the rest of the data.

Next, we have to consider which model to input into the Cross-Validation.  The issue here is that the Cross Validate Model module requires an untrained data set, while the Tune Model Hyperparameters module outputs a trained data set.  So, in order to use our tuned models from the previous posts, we'll need to manually copy the tuned parameters from the Tune Model Hyperparameters module into the untrained model modules.
Online Gradient Descent Linear Regression Tuned Parameters
Online Gradient Descent Linear Regression
Next, we need to determine which models we want to compare.  While it may be mildly interesting to compare the linear regression model trained with the 70/30 split to the linear regression model trained with Cross-Validation, that would be more of an example of the effect that Cross-Validation can have on the results.  This doesn't have much business value.  Instead, let's compare the results of the Cross-Validation models to see which model is best.  Remember, the entire reason that we used Cross-Validation was to minimize the impact that a bad sample could have on our models.  In the previous post, we found that the Poisson Regression model was the best fit.
Ordinary Least Squares Linear Regression vs Online Gradient Descent Linear Regression

Boosted Decision Tree Regression vs. Poisson Regression
We can see that Poisson Regression still has the highest Coefficient of Determination, meaning that we can once again determine that it is the best model.  However, this leads us to another important question.  Why is it important to perform Cross-Validation if it didn't change the result?  The primary answer to this involves "trust".  Most of what we do in the data science world involves math that most business people would see as voodoo.  Therefore, one of the easiest paths to success is to gain trust, which can be found via a preponderance of evidence.  The more evidence we can provide showing that our algorithm is reliable and accurate, the easier it will be us to convince other people to use it.

Hopefully, this series opened your mind as to the possibilities of Regression in Azure Machine Learning.  Stay tuned for more posts.  Thanks for reading.  We hope you found this informative.

Brad Llewellyn
Data Scientist
Valorem
@BreakingBI
www.linkedin.com/in/bradllewellyn
llewellyn.wb@gmail.com

Monday, June 12, 2017

Azure Machine Learning: Normalizing Features for Regression

Today, we're going to continue our walkthrough of Sample 4: Cross Validation for Regression: Auto Imports Dataset.  In the previous posts, we walked through the Initial Data Load, Imputation, Ordinary Least Squares Linear Regression, Online Gradient Descent Linear Regression, Boosted Decision Tree Regression, Poisson Regression and Model Evaluation phases of the experiment.
Experiment So Far
Let's refresh our memory on the data set.
Automobile Price Data (Clean) 1

Automobile Price Data (Clean) 2
We can see that this data set contains a bunch of text and numeric data about each vehicle, as well as its price.  The goal of this experiment is to attempt to predict the price of the car based on these factors.

In the previous post, we were able to calculate important evaluation statistics for our regression models, R Squared being the most important.  However, we left out a very important concept known as Normalization.

Many statistical algorithms (including some regression algorithms) attempt to determine the "best" model by reducing the variance of something (often the residuals).  However, this can be a problem when we are dealing with features on massively different scales.  Let's start by considering the calculation for variance.  The calculation starts by taking an individual value and subtracting the mean (also known as average).  This means that for very large values (like "Price" in our dataset), this difference will be very large, while for small values (like "Stroke" and "Bore" in our dataset), this difference will be very small.  Then, we square this value, making the difference even larger (and always positive).  Finally, we repeat this process for the rest of the values in the column, then add them together and divide by the number of records.

So, if we asked an algorithm to minimize this value across a number of different factors, we would find that it would almost always minimize the variance for the largest features, while completely ignoring the small features.  Therefore, it would be extremely helpful if we could take all of our features, and put them on the same scale.  This is what normalization does.  Let's take a look at the module in Azure ML.
Normalize Data
We can see that the "Normalize Data" module takes our data and applies a single "Transformation Method" to the columns of our choice.  In this experiment, we'll stick with using the ZScore transformation.  We may dig deeper into the other methods in a later post.  Also, we are choosing to exclude the "Price" column from our normalization.  In most cases, there's not much harm in normalizing the dependent variable.  However, we're withholding it for two reasons.  First, if we were to normalize the "Price" column, then we would get normalized predictions out of the model.  This would mean that we would have to reverse the transformation in order to get back to our original scale.  Second, Poisson Regression requires a positive whole number as the dependent variable, which is not the case with normalization, which can and will produce positive and negative values centered around 0.  Let's take a look at the visualization.
Normalize Data (Visualization)
We can see that these values are no longer large whole numbers like they were before.  Instead, they are small positive and negative decimals.  It's important to note that the Mean and Standard Deviation of these normalized features are very close to 0 and 1, respectively.  This is exactly what the ZScore transformation does.  However, the true purpose of this normalization is to see if it has any impact on our regression models.  Let's take a look.  For all of these evaluations, the unmodified values are used in the left model and normalized values are used in the right model.
Ordinary Least Squares Linear Regression
Online Gradient Descent Linear Regression
Boosted Decision Tree Regression
Poisson Regression
Before we began this experiment, we already knew that Linear and Boosted Decision Tree Regression were robust against normalization (meaning that normalizing the features wouldn't have an impact).  However, the MSDN article for Poisson Regression specifically states that we should normalize our features.  Given the underlying mathematics and the test we just conducted, we're not sure why this would be necessary.  If anyone has any ideas, feel free to leave a comment.  Alas, the point of this experiment is still valid.  There are some algorithms where Normalizing features ahead of time is necessary.  K-Means Clustering is one such algorithm.

With this in mind, we can conclusively say that Poisson Regression (without normalization) created the best model for our situation.  Hopefully, this experiment has enlightened you to all the ways in which you can use Regression in your organization.  Regression truly is one of the easiest techniques to use in order to gain tremendous value.  Thanks for reading.  We hope you found this informative.

Brad Llewellyn
Data Scientist
Valorem
@BreakingBI
www.linkedin.com/in/bradllewellyn
llewellyn.wb@gmail.com