March 2nd, 2014
JMLR has an interesting paper summarizing the results from a contest to build the best model for ClickFraud detection. The second place entry described some nice feature engineering that I found interesting. The first place did feature selection and then used gbm, a really good ensemble algorithm.
August 17th, 2013
Bloomberg had an interesting article today about a talk on the implications and privacy trade-offs of predictive policing and profiling. Jim Adler’s “felon classifier” is also described in his blog.
Basically, he built a classifier predicting from some innocuous (but possibly correlated variables) the likelihood of somebody having a felony offense. The classifier isn’t meant to be used in practice (from eye-balling the Precision/Recall curve in the talk slides, I estimate an AUC of about 0.6-ish; not too great), but it was built to start a discussion. It turns out that courts have upheld the use of profiling in some cases as “reasonable suspicion,” a legal standard for the police to stop somebody and investigate. This could lead to “predictive policing” being taken even further in the future. Due to the model outputting a score Jim also discusses the trade-off of where the prediction of such a model may be actionable – he calls it the Tyranny/Anarchy Trade-Off (a catchy name
Having done statistical work in criminal justice before, I think predictive analysis can be helpful in many areas of policing and criminal justice in general (e.g., parole supervision). On the other hand, I find profiling and supporting a “reasonable suspicion” from statistical models unconvincing. I think the courts will have to figure out a minimum reliability standard for such predictors, and hopefully they’ll set the threshold far higher than what the ‘felony classifier’ is producing. There’s just too many ways using a statistical model for “reasonable suspicion” to go wrong. Even if variables of protected classes (gender, ethnicity, etc.) are not used directly, there may be correlated variables (hair-color, income, geographic area) as discussed in the talk Jim gave. Even more problematic in my mind would be variables that do not or hardly ever change, as they would lead to the same people being hassled over and over again. Also the training data from which these models are built is biased since everybody in it by definition has been arrested before. It’s beyond me how one can correct for this sample bias in a reliable way. Frankly, I don’t think policing by profiling (statistical or otherwise) can be done well, and hopefully courts will recognize that eventually.
May 11th, 2013
I use AVG as my anti-virus and today it installed the whole safe-search toolbar thing in the background while I was playing a video game. I’m pretty sure I didn’t consent to that, but whatever… Undoing the damage to my settings took quite a bit of work and I had trouble removing it from Chrome. First I followed all the steps outlined here, but pressing the home button in Chrome would still bring up the “mysearch.avg.com” website no matter what settings I changed.
Uninstalling the AVG toolbar component finally solved the Chrome start-page problem for me.
Man, what I piece of work. I’m not alone thinking that AVG did something bad for the user here.
November 19th, 2012
I found a good article discussing the difference between the Frequentist and Bayesian approach to Inference.
October 28th, 2012
Cool application of machine learning in the security field: extracting private keys from virtual machines running on shared hardware by training a Support-Vector-Machine model to classify data bits collected.
October 6th, 2012
Predicting whether a loan will default or not is a tricky task. It may involve many variables, incomplete information and is a task that involves time as a component. Loans may also perform for a while before they default. Some loans may even be late, but recover back to the regular payment schedule. It’s an interesting application for statistics.
The LendingClub website, a service offering peer-to-peer lending, offers an interesting data set: historical data of loan performance as well as data for new loans. I’ve been playing around a bit with the data and built a model to predict whether a loan is a good investment. The LendingClub data is available for download. A data dictionary can be found on the website also.
First we need to define the outcome we want to predict. A loan can be in several states, some being “current”, others being “defaulted”, “late” or even on a “performing payment plan”. Conservatively, I defined all loans that were not “paid off” as bad. Loans that are “current” were excluded as they still can default in the future. Loans that are “late” are considered bad, because the borrower run into problems. The model I’m trying to built is basically for a conservative investor looking for loans that will simply be paid back without a hitch. With the usual statistical techniques a model can be built and the performance can be measured by 10-fold cross-validation or evaluating the model on a hold-out set. The real result of a prediction will of course only be available after about 3 years when a loan is fully paid off. As measure to optimize I chose the AUC metric. A 10-fold cross-validation estimates the performance of my model at 0.698 which is not too bad. The predictions implicitly make a few assumptions. The first one being that future performance of loans will be similar to historical performance of similar loans. I’m assuming a stationary distribution and the IID assumption – which is not completely true in reality, but hopefully close enough Also, inflation expectations were not taken into account, but I’m limiting my model to 36 month loans to make that more manageable.
I won’t go into the details of how I encoded the variables and what variables I’m using. I discovered that I can extract information out of the textual variables in the loans. The “Loan Description”, a free text field where potential borrowers can leave comments or answer questions, is quite predictive. The difficult part is using that information in practice. A loan is in “funding state” for two weeks were investors can ask questions and invest in the loan. Many loans get fully funded before the two week period is over, some without any question or comment on the loan. New information may become available in the Loan Description field that may change the classification. That means, however, that the prediction may change over time – positively or negatively – after an investment decision has been. Not ideal, but the variables are quite powerful so I’m still looking for a good solution.
I made the ratings for the LendingClub loans my program produces public. I will update them occasionally (i.e., whenever I feel like it). If you have some suggestions on how to use the textual variables, leave a comment.
August 1st, 2012
Interesting blog post on Differential Privacy. I wasn’t aware of this specific privacy model.
July 6th, 2012
A really interesting paper on A/B testing and experiments in online environments just got accepted to KDD 2012:
January 28th, 2012
Interesting view on that here.