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ML | Locally weighted Linear Regression

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Linear Regression is a supervised learning algorithm used for computing linear relationships between input (X) and output (Y). The steps involved in ordinary linear regression are:

Training phase: Compute \theta      to minimize the cost. J(\theta) = $\sum_{i=1}^{m} (\theta^Tx^{(i)} - y^{(i)})^2

Predict output: for given query point x      return: \theta^Tx


As evident from the image below, this algorithm cannot be used for making predictions when there exists a non-linear relationship between X and Y. In such cases, locally weighted linear regression is used. 

Locally Weighted Linear Regression:

Locally weighted linear regression is a non-parametric algorithm, that is, the model does not learn a fixed set of parameters as is done in ordinary linear regression. Rather parameters \theta      are computed individually for each query point x      . While computing \theta      , a higher “preference” is given to the points in the training set lying in the vicinity of x      than the points lying far away from x      . The modified cost function is: J(\theta) = $\sum_{i=1}^{m} w^{(i)}(\theta^Tx^{(i)} - y^{(i)})^2      where, w^{(i)}      is a non-negative “weight” associated with training point x^{(i)}      . For x^{(i)}      s lying closer to the query point x      , the value of w^{(i)}      is large, while for x^{(i)}      s lying far away from x      the value of w^{(i)}      is small.   A typical choice of w^{(i)}      is: w^{(i)} = exp(\frac{-(x^{(i)} - x)^2}{2\tau^2})      where \tau      is called the bandwidth parameter and controls the rate at which w^{(i)}      falls with distance from x      Clearly, if |x^{(i)} - x|      is small w^{(i)}      is close to 1 and if |x^{(i)} - x|      is large w^{(i)}      is close to 0. Thus, the training set points lying closer to the query point x      contribute more to the cost J(\theta)      than the points lying far away from x

NOTE: For Locally Weighted Linear Regression, the data must always be available on the machine as it doesn’t learn from the whole set of data in a single shot. Whereas, in Linear Regression, after training the model the training set can be erased from the machine as the model has already learned the required parameters.

For example: Consider a query point x      = 5.0 and let x^{(1)}      and x^{(2)      be two points in the training set such that x^{(1)}      = 4.9 and x^{(2)}      = 3.0. Using the formula w^{(i)} = exp(\frac{-(x^{(i)} - x)^2}{2\tau^2})      with \tau      = 0.5: w^{(1)} = exp(\frac{-(4.9 - 5.0)^2}{2(0.5)^2}) = 0.9802      [Tex]w^{(2)} = exp(\frac{-(3.0 – 5.0)^2}{2(0.5)^2}) = 0.000335      [/Tex]So, \ J(\theta) = 0.9802*(\theta^Tx^{(1)} - y^{(1)}) + 0.000335*(\theta^Tx^{(2)} - y^{(2)})      Thus, the weights fall exponentially as the distance between x      and x^{(i)}      increases and so does the contribution of error in prediction for x^{(i)}      to the cost. Consequently, while computing \theta      , we focus more on reducing (\theta^Tx^{(i)} - y^{(i)})^2      for the points lying closer to the query point (having a larger value of w^{(i)}      ). 


Steps involved in locally weighted linear regression are:

Compute      to minimize the cost. J(\theta) = $\sum_{i=1}^{m} w^{(i)}(\theta^Tx^{(i)} - y^{(i)})^2

Predict Output: for given query point x      return: \theta^Tx

Points to remember:

  • Locally weighted linear regression is a supervised learning algorithm.
  • It is a non-parametric algorithm.
  • There exists No training phase. All the work is done during the testing phase/while making predictions.
  • The dataset must always be available for predictions.
  • Locally weighted regression methods are a generalization of k-Nearest Neighbour.
  • In Locally weighted regression an explicit local approximation is constructed from the target function for each query instance.
  • The local approximation is based on the target function of the form like constant, linear, or quadratic functions localized kernel functions.

Last Updated : 13 Apr, 2023
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