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Last active June 3, 2016 02:34
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ml.md

An idiosyncratic guide to teaching yourself practical machine learning, without links:

  • Find a binary classification dataset; maybe you have one internally.
  • Implement a simple decision tree algorithm, like CART.
  • Write some code to validate your model; produce an ROC curve and understand the tradeoff it embodies.
  • Compare the ROC for your training set with the ROC for a holdout and understand what it means that they differ.
  • Experiment with some hyperparameters: how does the comparison above change as you adjust the depth of the tree or other stopping criteria?
  • Combine your decision tree algorithm with bagging to produce a random forest. How does its ROC compare?
  • Do the same hyperparameter tuning here. (How many trees?) Reflect on overfitting and on the bias/variance tradeoff.

Now go spend 3 years doing feature engineering. Reflect on how nice immutable logs are.

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