diff --git a/is/UB3/ExerciseSheet3final.ipynb b/is/UB3/ExerciseSheet3final.ipynb index eb11ca5..982e5b0 100644 --- a/is/UB3/ExerciseSheet3final.ipynb +++ b/is/UB3/ExerciseSheet3final.ipynb @@ -77,6 +77,27 @@ "cell_type": "markdown", "metadata": {}, "source": [ + "$\\left(2\\pi\\right)^{-\\frac{k}{2}}\\left|\\Sigma\\right|^{-\\frac{1}{2}}\\cdot e^{-\\frac{1}{2}\\left(\\vec y-\\mu\\right)^T\\Sigma^{-1}\\left(\\vec y-\\mu\\right)}\\text{, where: }k=n\\text{ number of measurments},\\ \\Sigma=\\sigma I,\\ \\mu=X\\vec w$\n", + "\\begin{align*}\n", + " &\\frac{d}{d\\vec w} \\left(2\\pi\\right)^{-\\frac{k}{2}}\\left|\\Sigma\\right|^{-\\frac{1}{2}}\\cdot e^{-\\frac{1}{2}\\left(\\vec y-\\mu\\right)^T\\Sigma^{-1}\\left(\\vec y-\\mu\\right)}\\\\ &=\\underbrace{\\left(2\\pi\\right)^{-\\frac{k}{2}}\\left|\\Sigma\\right|^{-\\frac{1}{2}}\\cdot e^{-\\frac{1}{2}\\left(\\vec y-\\mu\\right)^T\\Sigma^{-1}\\left(\\vec y-\\mu\\right)}}_{>0}\\frac{d}{d\\vec w}\\left(-\\frac{1}{2}\\left(\\vec y-\\mu\\right)^T\\Sigma^{-1}\\left(\\vec y-\\mu\\right)\\right)&\\overset{!}{=}&0\\\\\n", + " \\Leftrightarrow &\\frac{d}{d\\vec w}-\\frac{1}{2}\\left(\\vec{y}-\\mu\\right)^T\\Sigma^{-1}\\left(\\vec{y}-\\mu\\right) &=&0\\\\\n", + " \\Leftrightarrow & \\frac{d}{d\\vec w}\\left(\\vec{y}-\\mu\\right)^T\\Sigma^{-1}\\left(\\vec{y}-\\mu\\right) &=&0\\ (\\Sigma\\not=\\mathcal{O})\\\\\n", + " \\Leftrightarrow & \\frac{d}{d\\vec w}\\left(\\vec{y}-\\mu\\right)^T\\left(\\vec{y}-\\mu\\right) &=&0\\\\\n", + " \\Leftrightarrow & \\frac{d}{d\\vec w}\\left(\\left(\\vec{y}-X\\vec{w}\\right)^T\\right)\\left(\\vec{y}-X\\vec{w}\\right) + \\left(\\vec{y}-X\\vec{w}\\right)^T\\frac{d}{d\\vec w}\\left(\\vec{y}-X\\vec{w}\\right)&=&0\\\\\n", + " \\Leftrightarrow & -X\\left(\\vec{y}-X\\vec{w}\\right)-\\left(\\vec{y}-X\\vec{w}\\right)^TX^T &=&0\\\\\n", + " \\Leftrightarrow & -X\\left(\\vec{y}-X\\vec{w}\\right)-X\\left(\\vec{y}-X\\vec{w}\\right)&=&0\\\\\n", + " \\Leftrightarrow & X\\left(\\vec{y}-X\\vec{w}\\right) &=&0\\\\\n", + " \\Leftrightarrow & \\vec{y}-X\\vec{w} &=&0\\\\\n", + " \\Leftrightarrow & \\vec{y}&=& X\\vec{w}\\\\\n", + " \\Leftrightarrow & X^T\\vec{y} &=& X^TX\\vec{w}\\\\\n", + " \\Leftrightarrow & \\vec{w} &=& \\left(X^TX\\right)^{-1}X^T\\vec{y}\\hspace{1cm} q.e.d.\n", + "\\end{align*}" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ "# Linear regression (50 Points)\n", "\n", "In this exercise you will perform a regression analysis on a toy dataset. You will implement ridge regression and learn how to find a good model through a comparative performance analysis.\n", diff --git a/is/UB3/ExerciseSheet3final.pdf b/is/UB3/ExerciseSheet3final.pdf new file mode 100644 index 0000000..ac337ff --- /dev/null +++ b/is/UB3/ExerciseSheet3final.pdf Binary files differ