# So let’s start with the basics and see how they make a difference to our machine learning models.

• The bias is an error from erroneous assumptions in the learning algorithm. High bias can cause an algorithm to miss the relevant relations between features and target outputs (underfitting). High bias pays very little attention to the training data and oversimplifies the model.

• The variance is an error from sensitivity to small fluctuations in the training set. High variance can cause an algorithm to model the random noise in the training data, rather than the intended outputs (overfitting). Model with high variance pays a lot of attention to training data and does not generalize on the data which it hasn’t seen before. As a result, such models perform very well on training data but has high error rates on test data.

2.   An Illustrative Example: Voting Intentions

Let's undertake a simple model building task. We wish to create a model for the percentage of people who will vote for a Republican president in the next election. As models go, this is conceptually trivial and is much simpler than what people commonly envision when they think of "modeling", but it helps us to clearly illustrate the difference between bias and variance.

A straightforward, if flawed (as we will see below), way to build this model would be to randomly choose 50 numbers from the phone book, call each one and ask the responder whom they planned to vote for in the next election. Imagine we got the following results:

Voting Republican

13

Voting Democratic

16

Non-Respondent

21

Total

50

From the data, we estimate that the probability of voting Republican is 13/(13+16), or 44.8%. We put out our press release that the Democrats are going to win by over 10 points; but, when the election comes around, it turns out they actually lose by 10 points. That certainly reflects poorly on us. Where did we go wrong in our model?

Clearly, there are many issues with the trivial model we built. A list would include that we only sample people from the phone book and so only include people with listed numbers, we did not follow up with non-respondents and they might have different voting patterns from the respondents, we do not try to weight responses by likeliness to vote and we have a very small sample size.

It is tempting to lump all these causes of error into one big box. However, they can actually be separate sources causing bias and those causing variance.

For instance, using a phonebook to select participants in our survey is one of our sources of bias. By only surveying certain classes of people, it skews the results in a way that will be consistent if we repeated the entire model building exercise. Similarly, not following up with respondents is another source of bias, as it consistently changes the mixture of responses we get. On our bulls-eye diagram, these move us away from the center of the target, but they would not result in an increased scatter of estimates.

On the other hand, the small sample size is a source of variance. If we increased our sample size, the results would be more consistent each time we repeated the survey and prediction. The results still might be highly inaccurate due to our large sources of bias, but the variance of predictions will be reduced. On the bulls-eye diagram, the low sample size results in a wide scatter of estimates. Increasing the sample size would make the estimates clump closers together, but they still might miss the center of the target.

Again, this voting model is trivial and quite removed from the modeling tasks most often faced in practice. In general, the data set used to build the model is provided prior to model construction and the modeler cannot simply say, "Let's increase the sample size to reduce variance." In practice, an explicit tradeoff exists between bias and variance where decreasing one increases the other. Minimizing the total error of the model requires a careful balancing of these two forms of error.

3.   Mathematical Definition

If we denote the variable we are trying to predict as Y and our covariates as X, we may assume that there is a relationship relating one to the other such as

where the error term ϵ is normally distributed with a mean of zero like so

We may estimate a model            of f(X) using linear regression or another modelling technique. In this case, the expected squared prediction error at a point x is:

This error may then be decomposed into bias and variance components:

+

+

The bias-variance decomposition is a way of analyzing a learning algorithm's expected generalization error with respect to a particular problem as a sum of three terms, the bias, variance, and a quantity called the irreducible error, resulting from noise in the problem itself.

That third term, irreducible error, is the noise term in the true relationship that cannot fundamentally be reduced by any model. Given the true model and infinite data to calibrate it, we should be able to reduce both the bias and variance terms to 0. However, in a world with imperfect models and finite data, there is a tradeoff between minimizing the bias and minimizing the variance.

4.   Bias-variance Diagram

underfitting

truth

overfitting

In the above diagram, the center of the target is a model that perfectly predicts correct values. As we move away from the bulls-eye our predictions become get worse and worse. We can repeat our process of model building to get separate hits on the target.

In supervised learning, underfitting happens when a model unable to capture the underlying pattern of the data. These models usually have high bias and low variance. It happens when we have a very small amount of data to build an accurate model or when we try to build a linear model with nonlinear data. Also, these kinds of models are very simple to capture the complex patterns in data like Linear and logistic regression.

In supervised learning, overfitting happens when our model captures the noise along with the underlying pattern in data. It happens when we train our model a lot over the noisy dataset. These models have low bias and high variance. These models are very complex like Decision trees which are prone to overfitting.

5.   Managing Bias and Variance

There are some key things to think about when trying to manage bias and variance.

A gut feeling many people have is that they should minimize bias even at the expense of variance. Their thinking goes that the presence of bias indicates something basically wrong with their model and algorithm. Yes, they acknowledge, the variance is also bad but a model with high variance could at least predict well on average, at least it is not fundamentally wrong.

This is mistaken logic. It is true that a high variance and low bias model can perform well in some sort of long-run average sense. However, in practice modelers are always dealing with a single realization of the data set. In these cases, long-run averages are irrelevant, what is important is the performance of the model on the data you actually have and in this case bias and variance are equally important and one should not be improved at an excessive expense to the other.

## Bagging and Resampling

Bagging and other resampling techniques can be used to reduce the variance in model predictions. In bagging (Bootstrap Aggregating), numerous replicates of the original data set are created using random selection with replacement. Each derivative data set is then used to construct a new model and the models are gathered together into an ensemble. To make a prediction, all of the models in the ensemble are polled and their results are averaged.

One powerful modeling algorithm that makes good use of bagging is Random Forests. Random Forests works by training numerous decision trees each based on a different resampling of the original training data. In Random Forests the bias of the full model is equivalent to the bias of a single decision tree (which itself has high variance). By creating many of these trees, in effect a "forest", and then averaging them the variance of the final model can be greatly reduced over that of a single tree. In practice, the only limitation on the size of the forest is computing time as an infinite number of trees could be trained without ever increasing bias and with a continual (if asymptotically declining) decrease in the variance.

## Asymptotic Properties of Algorithms

Academic statistical articles discussing prediction algorithms often bring up the ideas of asymptotic consistency and asymptotic efficiency. In practice what these imply is that as your training sample size grows towards infinity, your model's bias will fall to 0 (asymptotic consistency) and your model will have a variance that is no worse than any other potential model you could have used (asymptotic efficiency).

Both these are properties that we would like a model algorithm to have. We, however, do not live in a world of infinite sample sizes so asymptotic properties generally have very little practical use. An algorithm that may have close to no bias when you have a million points, may have a very significant bias when you only have a few hundred data points. More important, an asymptotically consistent and efficient algorithm may actually perform worse on small sample size data sets than an algorithm that is neither asymptotically consistent nor efficient. When working with real data, it is best to leave aside theoretical properties of algorithms and to instead focus on their actual accuracy in a given scenario.

## Understanding Over- and Under-Fitting

At its root, dealing with bias and variance is really about dealing with over- and under-fitting. Bias is reduced and variance is increased in relation to model complexity. As more and more parameters are added to a model, the complexity of the model rises and variance becomes our primary concern while bias steadily falls. For example, as more polynomial terms are added to linear regression, the greater the resulting model's complexity will be 3. In other words, bias has a negative first-order derivative in response to model complexity 4 while variance has a positive slope.

Understanding bias and variance is critical for understanding the behavior of prediction models, but in general what you really care about is overall error, not the specific decomposition. The sweet spot for any model is the level of complexity at which the increase in bias is equivalent to the reduction in variance. Mathematically:

If our model complexity exceeds this sweet spot, we are in effect over-fitting our model; while if our complexity falls short of the sweet spot, we are under-fitting the model. In practice, there is not an analytical way to find this location. Instead, we must use an accurate measure of prediction error and explore different levels of model complexity and then choose the complexity level that minimizes the overall error. A key to this process is the selection of an accurate error measure as often grossly inaccurate measures are used which can be deceptive. Generally, resampling-based measures such as cross-validation should be preferred over theoretical measures such as Aikake's Information Criteria.