Data-driven modeling is an approach in energy systems modeling that has been gaining popularity. In data-driven modeling, machine learning methods such as linear regression, neural networks or decision-tree based methods are being applied. While these methods do not require domain knowledge, they are sensitive to data quality. Therefore, improving data quality in a dataset is beneficial for creating machine learning-based models. The improvement of data quality can be implemented through preprocessing methods. A selected type of preprocessing is feature engineering, which focuses on evaluating and improving the quality of certain features inside the dataset. Feature engineering methods include methods such as feature creation, feature expansion, or feature selection. In this work, a Python framework containing different feature engineering methods is presented. This framework contains different methods for feature creation, expansion and selection; in addition, methods for transforming or filtering data are implemented. The implementation of the framework is based on the Python library scikit-learn. The framework is demonstrated on a case study of a use case from energy demand prediction. A data-driven model is created including selected feature engineering methods. The results show an improvement in prediction accuracy through the engineered features.

This course introduces you to one of the main types of modeling families of supervised Machine Learning: Classification. You will learn how to train predictive models to classify categorical outcomes and how to use error metrics to compare across different models. The hands-on section of this course focuses on using best practices for classification, including train and test splits, and handling data sets with unbalanced classes. By the end of this course you should be able to: -Differentiate uses and applications of classification and classification ensembles -Describe and use logistic regression models -Describe and use decision tree and tree-ensemble models -Describe and use other ensemble methods for classification -Use a variety of error metrics to compare and select the classification model that best suits your data -Use oversampling and undersampling as techniques to handle unbalanced classes in a data set Who should take this course? This course targets aspiring data scientists interested in acquiring hands-on experience with Supervised Machine Learning Classification techniques in a business setting.

We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root predictors to appropriately capture the time-varying behaviour of the distribution of high-frequency extreme losses. To characterize trading activity and market uncertainty, we consider several volatility and liquidity predictors, and propose a two-step adaptive $L_1$-regularized maximum likelihood estimator to select the most appropriate ones. We establish the oracle property of the proposed estimator for selecting both stationary and local unit-root predictors, and show its good finite sample properties in an extensive simulation study. Studying the high-frequency extreme losses of nine large liquid U.S. stocks using 42 liquidity and volatility predictors, we find the severity of extreme losses to be well predicted by low levels of price impact in period of high volatility of liquidity and volatility.

HiClass is an open-source Python library for local hierarchical classification entirely compatible with scikit-learn. It contains implementations of the most common design patterns for hierarchical machine learning models found in the literature, that is, the local classifiers per node, per parent node and per level. Additionally, the package contains implementations of hierarchical metrics, which are more appropriate for evaluating classification performance on hierarchical data. The documentation includes installation and usage instructions, examples within tutorials and interactive notebooks, and a complete description of the API. HiClass is released under the simplified BSD license, encouraging its use in both academic and commercial environments.

Twinned regression methods are designed to solve the dual problem to the original regression problem, predicting differences between regression targets rather then the targets themselves. A solution to the original regression problem can be obtained by ensembling predicted differences between the targets of an unknown data point and multiple known anchor data points. We explore different aspects of twinned regression methods: (1) We decompose different steps in twinned regression algorithms and examine their contributions to the final performance, (2) We examine the intrinsic ensemble quality, (3) We combine twin neural network regression with k-nearest neighbor regression to design a more accurate and efficient regression method, and (4) we develop a simplified semi-supervised regression scheme.

Latent factor model estimation typically relies on either using domain knowledge to manually pick several observed covariates as factor proxies, or purely conducting multivariate analysis such as principal component analysis. However, the former approach may suffer from the bias while the latter can not incorporate additional information. We propose to bridge these two approaches while allowing the number of factor proxies to diverge, and hence make the latent factor model estimation robust, flexible, and statistically more accurate. As a bonus, the number of factors is also allowed to grow. At the heart of our method is a penalized reduced rank regression to combine information. To further deal with heavy-tailed data, a computationally attractive penalized robust reduced rank regression method is proposed. We establish faster rates of convergence compared with the benchmark. Extensive simulations and real examples are used to illustrate the advantages.

Of all the graphing libraries in the land, Plotly is one of the best -- it is also one of the most frustrating. On the positive side, Plotly is capable of producing excellent visualizations, allows you to avoid Java (if that's not your thing), and natively integrates with HTML. On the negative side, the syntax can be quite confusing when switching between single plots and mixed plots. For example, with plotly_express (px) you might pass an entire dataframe as a parameter; however, with graph_objects (go), the inputs change and may require the use of dictionaries and Pandas Series instead of DataFrames. Of all the graphing libraries in the land, Plotly is one of the best -- it is also one of the most frustrating.

Sparse regression has been a popular approach to perform variable selection and enhance the prediction accuracy and interpretability of the resulting statistical model. Existing approaches focus on offline regularized regression, while the online scenario has rarely been studied. In this paper, we propose a novel online sparse linear regression framework for analyzing streaming data when data points arrive sequentially. Our proposed method is memory efficient and requires less stringent restricted strong convexity assumptions. Theoretically, we show that with a properly chosen regularization parameter, the $\ell_2$-norm statistical error of our estimator diminishes to zero in the optimal order of $\tilde{O}({\sqrt{s/t}})$, where $s$ is the sparsity level, $t$ is the streaming sample size, and $\tilde{O}(\cdot)$ hides logarithmic terms. Numerical experiments demonstrate the practical efficiency of our algorithm.

Weight decay, also known as L2 regularization, is a technique used in machine learning to prevent overfitting by adding a penalty term to the objective function that is being optimized. The goal of weight decay is to reduce the complexity of the model by limiting the size of the weights, which can help to prevent overfitting and improve the generalization ability of the model. Weight decay is typically implemented by adding a term to the objective function that is proportional to the sum of the squares of the weights. The strength of the weight decay penalty is controlled by a hyperparameter called the decay rate or regularization strength, which determines the amount of weight decay applied to the model. For example, let's say we are training a linear regression model to predict the price of a house based on the number of bedrooms and the square footage.

This paper revisits a fundamental problem in statistical inference from a non-asymptotic theoretical viewpoint $\unicode{x2013}$ the construction of confidence sets. We establish a finite-sample bound for the estimator, characterizing its asymptotic behavior in a non-asymptotic fashion. An important feature of our bound is that its dimension dependency is captured by the effective dimension $\unicode{x2013}$ the trace of the limiting sandwich covariance $\unicode{x2013}$ which can be much smaller than the parameter dimension in some regimes. We then illustrate how the bound can be used to obtain a confidence set whose shape is adapted to the optimization landscape induced by the loss function. Unlike previous works that rely heavily on the strong convexity of the loss function, we only assume the Hessian is lower bounded at optimum and allow it to gradually becomes degenerate. This property is formalized by the notion of generalized self-concordance which originated from convex optimization. Moreover, we demonstrate how the effective dimension can be estimated from data and characterize its estimation accuracy. We apply our results to maximum likelihood estimation with generalized linear models, score matching with exponential families, and hypothesis testing with Rao's score test.