Linear regression is one of the most fundamental techniques in machine learning and statistics. It’s often considered the starting point for understanding more complex models like neural networks. At its core, linear regression is a method for modeling the relationship between a dependent variable (the outcome you want to predict) and one or more independent variables (the inputs or features).
Let’s start from the beginning. Suppose you have some data, and this data represents some relationship you want to understand or predict. For example, you might have data on how house prices depend on square footage. Your goal could be to predict the price of a house given its size. Linear regression assumes that this relationship between the independent variable (square footage) and the dependent variable (house price) can be described using a straight line, which is the simplest kind of relationship possible.
Mathematically, in the case of a single independent variable, linear regression assumes the following form:
y=w⋅x+bWhere:
- y is the dependent variable (the predicted house price).
- x is the independent variable (the square footage).
- w is the slope of the line, also called the coefficient or weight, which indicates how much y changes with respect to x.
- b is the intercept, or bias, which represents the value of y when x=0 (essentially, it shifts the line up or down).
The model is called linear regression because the relationship between the input and the output is a straight line. The goal of linear regression is to find the values of w and b that best fit the data, meaning they minimize the difference between the predicted values (y) and the actual observed values.
What Does "Best Fit" Mean?
In the context of linear regression, "best fit" means minimizing the prediction error, or the difference between the model’s predictions and the actual values in your data. This is typically measured using a loss function like mean squared error (MSE), which you are already familiar with. In the context of linear regression, the MSE is given by:
L(w,b)=n1i=1∑n(yi−y^i)2Where:
- yi are the actual values (the actual house prices in your dataset).
- y^i are the predicted values (the values the model predicts given the inputs).
- n is the number of data points.
The task of linear regression is to find the values of w (the slope) and b (the intercept) that minimize this loss function. When we talk about minimizing the loss function, what we mean is that we are trying to adjust the parameters w and b such that the sum of squared differences between the actual and predicted values is as small as possible.
This process of minimizing the loss function can be done using methods like gradient descent, the same way it's done in neural networks. In fact, the optimization procedure is quite similar: by calculating the gradient (the partial derivatives of the loss function with respect to the parameters), we can update w and b step by step to reduce the error.
Multiple Linear Regression
The example so far has considered just one independent variable, but linear regression can be extended to cases where there are multiple inputs. This is called multiple linear regression. The model then looks like this:
y=w1x1+w2x2+⋯+wnxn+bHere, x1,x2,…,xn represent the various input features (for example, square footage, number of bedrooms, age of the house, etc.), and w1,w2,…,wn are the corresponding weights for each feature. The goal remains the same: to find the set of weights and intercept that minimize the prediction error for the entire dataset.
The Role of Linear Regression in Machine Learning
Linear regression plays a foundational role in machine learning for several reasons. First, it is relatively simple to understand and implement. The underlying assumptions of linear regression (that the relationship between variables is linear, and that errors are normally distributed) make it easier to work with, particularly for those who are just starting in the field of predictive modeling.
Second, linear regression helps build intuition about more complex models, like neural networks. In fact, you could think of a neural network as an extension of linear regression, where instead of having a simple linear relationship between inputs and outputs, the model has multiple layers of non-linear transformations (thanks to activation functions like ReLU or sigmoid). In neural networks, instead of just finding the best-fitting line, the network learns to capture highly complex, non-linear patterns in the data.
Linear regression is also useful in scenarios where interpretability is important. Unlike many complex models (e.g., neural networks or deep learning models), the coefficients w1,w2,…,wn in linear regression have a straightforward interpretation: they represent how much the output changes when a particular input changes, holding all other inputs constant. For example, in the case of predicting house prices, w1 might represent how much the house price increases (or decreases) per additional square foot.
Solving Linear Regression Using Analytical Methods
Interestingly, unlike most machine learning models that require iterative methods like gradient descent to optimize, linear regression has a closed-form solution when the loss function is the sum of squared errors. This solution is given by the normal equation:
w=(XTX)−1XTyHere, X is the matrix of input features, y is the vector of observed values (e.g., house prices), and w is the vector of weights. By directly solving this equation, we can obtain the optimal weights for our linear model without needing to use an iterative optimization process like gradient descent. However, for large datasets, calculating the inverse of the matrix XTX can become computationally expensive, which is why methods like gradient descent are often preferred in practice.
Limitations of Linear Regression
Despite its simplicity, linear regression has several limitations. First, it assumes that the relationship between the input features and the output is linear, which is often not the case in real-world problems. For instance, house prices might not increase linearly with square footage after a certain point. Second, linear regression is sensitive to outliers, which can disproportionately influence the model, especially if the outliers have large values for the input variables.
Moreover, linear regression assumes that there is no multicollinearity (i.e., strong correlation between independent variables). If the input features are highly correlated, it can become difficult to determine which feature is truly driving the changes in the dependent variable, leading to instability in the estimated coefficients.
Conclusion: How Linear Regression Fits Into the Bigger Picture
Linear regression is an essential building block in both statistics and machine learning. It provides a simple yet powerful framework for understanding the relationships between variables, and it forms the foundation for more complex techniques, such as neural networks. By learning how to fit a linear model to data, you not only gain a tool for making predictions but also develop a deep understanding of how models "learn" from data by minimizing error, a concept that extends directly into more sophisticated models like neural networks.
Though its assumptions can be limiting in complex scenarios, linear regression is a go-to method for straightforward tasks where interpretability and simplicity are key. The intuition developed through understanding linear regression—modeling data, calculating gradients, minimizing loss, and interpreting coefficients—applies directly to more advanced techniques in machine learning, which are essentially extensions of these same ideas but with more complex and powerful structures.