Icef-dse-2024-fall — различия между версиями

Текущая версия на 00:12, 26 ноября 2024

General course info

Fall grade = 0.2 Small HAs + 0.2 Group project + 0.3 Midterm + 0.3 Final

We expect 3 practice HA and 3 theory HA.

Lecturer: Boris Demeshev

Class teachers: Yana Khassan, Shuana Pirbudagova

Lecture video recordings

Telegram group

Log Book or Tentative Plan

2024-09-05, lecture 1: Entropy, conditional entropy, joint entropy, mutual information, cross-entropy.

• Cristopher Olah, Visual Information Theory, https://colah.github.io/posts/2015-09-Visual-Information/

• Grand Sanderson, Solving Wordle using information theory, youtube.

• Artem Kirsanov, Key equation behind probability, youtube. Be careful, Artem uses notation H(P, Q) for Cross entropy (we use CE(P||Q)).

• Конспект аналогичной лекции на фкн на русском.

• Keith Conrad, Maximal entropy distributions.

2024-09-12, lecture 2: Expected value of log-likelihood is zero. Kullback-Leibler divergence definition. Expected value calculation example. Optimizing long-run profit. Horse betting: optimal bet under private signal.

• Marcin Anforowicz, Just one more paradox youtube

• Wikipedia, [Kelly Criterion https://en.wikipedia.org/wiki/Kelly_criterion]: a good article

• Kelly, A new interpretation of information rate: original paper, very well written

2024-09-19, lecture 3: Horse betting: optimal bet under signal. Optimal long-term interest rate as entropy difference. How to build a tree? Entropy drop as splitting criterion. Dealing with missing values. How to stop? Tree pruning.

• R2D3, Visual introduction to machine learning: decision tree

2024-09-26, lecture 4: Random forest

• R2D3, Visual introduction to machine learning-2: bias-variance tradeoff and many trees

2024-10-03, lecture 5: Bootstrap: Naive bootstrap, t-stat bootstrap, bootstrap in bootstrap.

• Tim Hesterberg, What teachers should know about bootstrap?

2024-10-10, lecture 6: Gradient boosting for regression. Residual vector as minus gradient. Properties of logistic function.

• Alexey Natekin, Alois Knoll, Gradient boosting machines.

• Cheng Li, Gentle Introduction to Gradient Boosting

2024-10-17, lecture 7: Gradient of logit model in general form. One-to-one correspondence between probabilities and log-odds. Gradient boosting for classification.

2024-10-24, lecture 8: Cross validation: leave-one-out, k-fold. Importance for random forest: mean decrease of impurity. Permutation based importance.

2024-11-07, lecture 9: Differential in a matrix form, derivation of beta hat in multivariate regression.

2024-11-07: Midterm

2024-11-14, lecture 10: Variances and covariance in multivariate regression using matrices

2024-11-21, lecture 11: SVD, PCA as average R2 optimization

Past courses

Fall 2023: wiki page, exams.

Fall 2022: wiki.