Editor's note: This blog post was an entrant in the recent KDnuggets Automated Data Science and Machine Learning blog contest, where it tied for second place. Digital Advertising provides an exciting playground for machine learning in general and automated predictive modeling in particular. An increasing proportion of digital advertising is delivered through real-time bidding ad exchanges. Ad exchanges connect sellers of ad placements (usually websites with ad space to monetize) and buyers (usually technology firms like Dstillery, operating on behalf of consumer brands and agencies). The goals of the buyers vary.

The growing penetration of distributed energy resources (DERs) in urban areas raises multiple reliability issues. The topology reconstruction is a critical step to ensure the robustness of distribution grid operation. However, the bus connectivity and network topology reconstruction are hard in distribution grids. The reasons are that 1) the branches are challenging and expensive to monitor due to underground setup; 2) the inappropriate assumption of radial topology in many studies that urban grids are mesh. To address these drawbacks, we propose a new data-driven approach to reconstruct distribution grid topology by utilizing the newly available smart meter data. Specifically, a graphical model is built to model the probabilistic relationships among different voltage measurements. With proof, the bus connectivity and topology estimation problems are formulated as a linear regression problem with least absolute shrinkage on grouped variables (Group Lasso) to deal with meshed network structures. Simulation results show highly accurate estimation in IEEE standard distribution test systems with and without loops using real smart meter data.

Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-period finite time horizon stochastic control problems. The new algorithm sequentially updates the control policies in each time period using Monte Carlo simulation in a forward-backward manner; in other words, the algorithm goes forward in simulation and backward in optimization in each iteration. Similar to the EM algorithm, the EM-C algorithm has the monotonicity of performance improvement in each iteration, leading to good convergence properties. We demonstrate the effectiveness of the algorithm by solving stochastic control problems in the monopoly pricing of perishable assets and in the study of real business cycle.

Recent work in unsupervised feature learning and deep learning has shown that being able to train large models can dramatically improve performance. In this paper, we consider the problem of training a deep network with billions of parameters using tens of thousands of CPU cores. We have developed a software framework called DistBelief that can utilize computing clusters with thousands of machines to train large models. Within this framework, we have developed two algorithms for large-scale distributed training: (i) Downpour SGD, an asynchronous stochastic gradient descent procedure supporting a large number of model replicas, and (ii) Sandblaster, a framework that supports a variety of distributed batch optimization procedures, including a distributed implementation of L-BFGS. We have successfully used our system to train a deep network 30x larger than previously reported in the literature, and achieves state-of-the-art performance on ImageNet, a visual object recognition task with 16 million images and 21k categories.

Let's walk through an example of predictive analytics using a data set that most people can relate to:prices of cars. In this case, we have a data set with historical Toyota Corolla prices along with related car attributes. Let's load in the Toyota Corolla file and check out the first 5 lines to see what the data set looks like: Price, Age, KM(kilometers driven), Fuel Type, HP(horsepower), Automatic or Manual, Number of Doors, and Weight in pounds are the data collected in this file for Toyota Corollas. In predictive models, there is a response variable(also called dependent variable), which is the variable that we are interested in predicting. The independent variables(the predictors also called features in the machine learning community) are one or more numeric variables we are using to predict the response variable.

Product Managers have enthusiastically adopted the data-driven approach to building products and have learnt not to rely solely on experience. For some features it is a continuous process that helps the Build-Measure-Learn iteration. Intuition backed by data is a product manager's most powerful weapon. If we have already made the shift towards data then why do we need Machine Learning, you ask? In this post, I am going to share why I believe every Product Manager should understand Machine Learning and where to start.

The Learning Vector Quantization (LVQ) algorithm is a lot like k-Nearest Neighbors. Predictions are made by finding the best match among a library of patterns. The difference is that the library of patterns is learned from training data, rather than using the training patterns themselves. The library of patterns are called codebook vectors and each pattern is called a codebook. The codebook vectors are initialized to randomly selected values from the training dataset.

Boosting is one of the most significant developments in machine learning. This paper studies the rate of convergence of $L_2$Boosting, which is tailored for regression, in a high-dimensional setting. Moreover, we introduce so-called \textquotedblleft post-Boosting\textquotedblright. This is a post-selection estimator which applies ordinary least squares to the variables selected in the first stage by $L_2$Boosting. Another variant is \textquotedblleft Orthogonal Boosting\textquotedblright\ where after each step an orthogonal projection is conducted. We show that both post-$L_2$Boosting and the orthogonal boosting achieve the same rate of convergence as LASSO in a sparse, high-dimensional setting. We show that the rate of convergence of the classical $L_2$Boosting depends on the design matrix described by a sparse eigenvalue constant. To show the latter results, we derive new approximation results for the pure greedy algorithm, based on analyzing the revisiting behavior of $L_2$Boosting. We also introduce feasible rules for early stopping, which can be easily implemented and used in applied work. Our results also allow a direct comparison between LASSO and boosting which has been missing from the literature. Finally, we present simulation studies and applications to illustrate the relevance of our theoretical results and to provide insights into the practical aspects of boosting. In these simulation studies, post-$L_2$Boosting clearly outperforms LASSO.

We present a Communication-efficient Surrogate Likelihood (CSL) framework for solving distributed statistical inference problems. CSL provides a communication-efficient surrogate to the global likelihood that can be used for low-dimensional estimation, high-dimensional regularized estimation and Bayesian inference. For low-dimensional estimation, CSL provably improves upon naive averaging schemes and facilitates the construction of confidence intervals. For high-dimensional regularized estimation, CSL leads to a minimax-optimal estimator with controlled communication cost. For Bayesian inference, CSL can be used to form a communication-efficient quasi-posterior distribution that converges to the true posterior. This quasi-posterior procedure significantly improves the computational efficiency of MCMC algorithms even in a non-distributed setting. We present both theoretical analysis and experiments to explore the properties of the CSL approximation.

The former belongs to the realm of explanatory models, the latter to the realm of predictive analytics. Explanatory models, often involving linear regression, are concerned with explaining a given phenomenon and finding causal relationships between an output (dependent) variable, and a host, often very few, input (independent) variables. The objective is to find a good regression model that fits the data very well which meets the underlying assumption of linear regression. The emphasis here is on hypothesis testing, p-values, confidence intervals,…Once a good model is found, one can use it for estimating the value of the output variable for given values of the input variables. It is OK to estimate an output value based on interpolation, but one must use extreme caution in estimating output values based on extrapolation because the regression model is an explanatory model, not a predictive one.