Part I: Best Practices for Picking a Machine Learning Model
Created on September 20|Last edited on September 22
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The number of shiny models out there can be overwhelming, which means a lot of times people fallback on a few they trust the most, and use them on all new problems. This can lead to sub-optimal results.
Today we're going to learn how to quickly and efficiently narrow down the space of available models to find those that are most likely to perform best on your problem type. We'll also see how we can keep track of our models' performances using Weights and Biases and compare them.
What We'll Cover
Model selection in competitive data science vs real world
- A Royal Rumble of Models
- Comparing Models
- Let's get started!
Unlike Lord of the Rings, in machine learning there is no one ring (model) to rule them all. Different classes of models are good at modeling the underlying patterns of different types of datasets. For instance, decision trees work well in cases where your data has a complex shape:
Whereas linear models work best where the dataset is linearly separable:
Before we begin, let’s dive a little deeper into the disparity between model selection in the real world vs for competitive data science.
Model selection in competitive data science vs real world
As William Vorhies said in his blog post “The Kaggle competitions are like formula racing for data science. Winners edge out competitors at the fourth decimal place and like Formula 1 race cars, not many of us would mistake them for daily drivers. The amount of time devoted and the sometimes extreme techniques wouldn’t be appropriate in a data science production environment.”
Kaggle models are indeed like racing cars, they're not built for everyday use. Real world production models are more like a Lexus - reliable but not flashy.
Kaggle competitions and the real world optimize for very different things, with some key differences being:
Problem Definition
The real world allows you to define your problem and choose the metric that encapsulates the success of your model. This allows you to optimize for a more complex utility function than just a singular metric, where Kaggle competitions come with a single pre-defined metric and don't let you define the problem efficiently.
Metrics
In the real world we care about inference and training speeds, resource and deployment constraints and other performance metrics, whereas in Kaggle competitions the only thing we care about is the one evaluation metric. Imagine we have a model with 0.98 accuracy that is very resource and time intensive, and another with 0.95 accuracy that is much faster and less compute intensive. In the real world, for a lot of domains we might prefer the 0.95 accuracy model because maybe we care more about the time to inference. In Kaggle competitions, it doesn't matter how long it takes to train the model or how many GPUs it requires, higher accuracy is always better.
Interpretability
Similarly in the real world, we prefer simpler models that are easier to explain to stakeholders, whereas in Kaggle we pay no heed to model complexity. Model interpretability is important because it allows to take concrete actions to solve the underlying problem. For example, in the real world looking at our model and being able to see a correlation between a feature (e.g. potholes on a street), and the problem (e.g. likelihood of car accident on the street), is more helpful than increasing the prediction accuracy by 0.005%.
Data Quality
Finally in Kaggle competitions, our dataset is collected and wrangled for us. Anyone who's done data science knows that is almost never the case in real life. But being able to collect and structure our data also gives us more control over the data science process.
Incentives
All this incentivizes a massive amount of time spent tuning our hyperparameters to extract the last drops of performance from our model, and at times convoluted feature engineer methodologies. While Kaggle competitions are an excellent way to learn data science and feature engineering, they don't address real world concerns like model explainability, problem definition, or deployment constraints.
A Royal Rumble of Models
It’s time to start selecting models!
When picking our initial set of models to test, we want to be mindful of a few things:
Pick a diverse set of initial models
Different classes of models are good at modeling different kinds of underlying patterns in data. So a good first step is to quickly test out a few different classes of models to know which ones capture the underlying structure of your dataset most efficiently! Within the realm of our problem type (regression, classification, clustering) we want to try a mixture of tree based, instance based, and kernel based models. Pick a model from each class to test out. We'll talk more about the different model types in the 'models to try' section below.
Try a few different parameters for each model
While we don't want to spend too much time finding the optimal set of hyper-parameters, we do want to try a few different combinations of hyper-parameters to allow each model class to have the chance to perform well.
Choose the strongest contenders
We can use the best performing models from this stage to give us intuition around which class of models we want to further dive into. Your Weights and Biases dashboard will guide you to the class of models that performed best for your problem.
Dive deeper into models in the best performing model classes.
Next we select more models belonging to the best performing classes of models we shortlisted above! For example if linear regression seemed to work best, it might be a good idea to try lasso or ridge regression as well.
Explore the hyper-parameter space in more detail.
At this stage, I'd encourage you to spend some time tuning the hyper-parameters for your candidate models. (The next post in this series will dive deeper into the intuition around selecting the best hyper-parameters for your models.) At the end of this stage you should have the best performing versions of all your strongest models.
Making the final selection - Kaggle
Pick final submissions from diverse models.
Ideally we want to select the best models from more than one class of models. This is because if you make your selections from just one class of models and it happens to be the wrong one, all your submissions will perform poorly. Kaggle competitions usually allow you to pick more than one entry for your final submission. I'd recommend choosing predictions made by your strongest models from different classes to build some redundancy into your submissions.
The leaderboard is not your friend, your cross-validation scores are.
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