General linear model

The linear regression model (14) is linear on both features \(\boldsymbol x\) and weights \(\boldsymbol w\), since its predictions are given by the inner product

\[ \widehat y = \boldsymbol x^\top \boldsymbol w = \sum\limits_{j=0}^d x_jw_j. \]

Of course, the target variable \(y\) can have nonlinear dependence on the predictors \(\boldsymbol x\). We can easily sacrifise the linearity on \(\boldsymbol x\) and consider general linear model

(22)\[\widehat y = \sum\limits_{j=0}^M \phi_j(\boldsymbol x)w_j.\]

The functions \(\phi_j(\boldsymbol x)\) are called basis functions.

Note

As before, the bias is included in (22) by putting \(\phi_0(\boldsymbol x) =1\).

Note that

• if \(M=d\) and \(\phi_j(\boldsymbol x) = x_j\), then (22) turns into multiple linear regression;

• if \(d=1\) and \(\phi_j(x) = x^j\) then (22) becomes polynomial regression.

The popular choices of \(\phi_j(\boldsymbol x)\) are

• \(\phi_j(x) = \exp\big(-\frac{(x-\mu_j)^2}{2s^2}\big)\) (Gaussian basis functions);

• \(\phi_j(x) = \sigma\big(\frac{x-\mu_j}s\big)\) (sigmoidal basis functions).

Sigmoid function

\[ \sigma(x) = \frac 1{1 + e^{-x}} \]

TODO

A lot of things…