In machine learning, when are using some validation methods (e.g. CV or Bootstrap methods) to evaluate the performance of the machine learning algorithms. Apart from the prediction accuracy, other things to evaluate the bias/variance of the machine learning algorithms. For ex, I read somewhere that with cross validation methods, the bias of the machine learning algorithm could be reduced but the variance goes high.

My question is we measure the variance by calculating how the performance estimates varies but how can we measure the bias of a machine learning algorithm? I read that the bias is the difference between the predicted value and the ground truth, but how can we measure it from a score (e.g. RMSE value)? Plz if someone could explain in simple way as I have read dozen of articles about that and could not grasp the concept.

One confusion in my mind: If bias is the difference between the predicted and ground truth (i.e. actual value), then what is the difference between it and RMSE value because RMSE (or other metrics like AUC) is also the difference of the predicted and actual values? I am sorry if the question seems very novice.

Thank you


1 Answer 1


We have to start step by step. We assume that there are random variables $X_1, X_2, ..., X_n, X$, $Y_1, Y_2, ..., Y_n, Y$ and $\text{Eps}_1, ..., \text{Eps}_n, \text{Eps}$ and that the pairs $(X, Y)$ and $(X_i, Y_i)$ are iid (identically, independently distributed). We also assume that there is a function $f$ such that for all $i$, $$Y_i = f(X_i) + \text{Eps}_i$$ and such that $$Y = f(X) + \text{Eps}$$

In reality, we assume that there is one single $\omega$ in the complicated original probability space $\Omega$ such that if we are given a real dataset with actual values $x_i, y_i$ then $X_i(\omega) = x_i$ and $Y_i(\omega) = y_i$ and we define $\epsilon_i = \text{Eps}_i(\omega)$.

CAUTION: Many applied statisticians do either not know or do not care about the difference between a random variable (i.e. a function) and one single value of that random variable. This can sometimes lead to confusion! In our setup, $X_i, Y_i$ and $E_i$ are random variables and $x_i, y_i$ and $\epsilon_i$ are concrete values. This is important because e.g. for concrete values we cannot compute an expectation, expressions like $E[y|x]$ or so do not make sense: First of all there is no $y$ and no $x$ and secondly, if there were, it would not be random variables but single values.

The problem is that the function $f$ is hidden from us (we only know the $x_i, y_i$ and try to recover it as good as possible from that). Hence we try different approximations $\hat{f}$ and evaluate which one is the best. Let's assume that we have decided for one particular $\hat{f}$. That could be one very particular decision tree, one very particular neural network with fixed weights, etc. Then we reason like this: If $\hat{f}$ was a good representative for $f$ then it should somehow be able to reproduce/explain the data $x_i, y_i$ that we observed. So what we do is we compute

$$E[Y_i - \hat{f}(X_i)]$$

for an arbitrary but fixed $i$ (this expression does not change when we change $i$ because of the idd assumption above). However, this would lead to only measuring how well $f$ does on one single training example in the end. However, since $(X,Y)$ is also iid, we may also choose $(X, Y)$ instead of $(X_i, Y_i)$ in this expression. i.e. we will measure $$E[Y - \hat{f}(X)]$$

However, there is a problem with this expression: if $\hat{f}(X)$ sometimes overshoots (i.e. is bigger than $Y$) and sometimes smaller but is never actually close to $Y$ then we get a value close to $0$ but the function we have selected is totally shitty. Hence, we need to make this number in the expectation positive. We could evaluate $$E[|Y - \hat{f}(X)|]$$ but for technical reasons we sometimes rather use $$E[(Y - \hat{f}(X))^2]$$ It turns out that this expression can be written as $$E[(Y - \hat{f}(X))^2] = \text{Var}(\text{Eps}) + \text{Var}(\hat{f}(X)) + E[f(X) - \hat{f}(X)]$$

There is two things that you mix up right now (I guess): The Bias-Variance-Dilemma and 'checking how good $\hat{f}$ reproduces the data'.

1: Checking how good $\hat{f}$ reproduces the data

In order to check how good $\hat{f}$ reproduces the data we try to approximize $E[(Y - \hat{f}(X))^2]$: By the law of large numbers we know that $$\frac{1}{n} \sum_{i=1}^n (Y_i - \hat{f}(X_i))^2$$ converges in expectation against the expression above. In very simple words, this means that if $n$ is large enough then for 'almost all' (and we hope that this includes the $\omega$ above) elements in $\omega' \in \Omega$, $$\frac{1}{n} \sum_{i=1}^n (Y_i - \hat{f}(X_i))^2 ~~ \text{evaluated at $\omega'$}$$ is very close to $$E[(Y-\hat{f}(X))^2]$$ So when we insert $\omega$ then we get that $$\frac{1}{n} \sum_{i=1}^n (Y_i - \hat{f}(X_i))^2(\omega) = \frac{1}{n} \sum_{i=1}^n (Y_i(\omega) - \hat{f}(X_i(\omega)))^2(\omega) = \frac{1}{n} \sum_{i=1}^n (y_i - \hat{f}(x_i))^2$$ is very close to what we want to estimate, namely $$E[(Y-\hat{f}(X))^2]$$ Hence: If the training set is good enough, then evaluating the RMSE of $\hat{f}$ on that training set will be very close to the (much more complicated) expression $E[(Y-\hat{f}(X))^2]$ that describes how goof $\hat{f}$ resembles $f$.

2: Choosing the right $\hat{f}$

So which $\hat{f}$ should we choose in order to make $E[(Y-\hat{f}(X))^2]$ small? Which weights should we put on a neural network, which splits should we select in a decision tree? And first and foremost: which class of models should we use? Simple linear regression? Random forests? Neural networks? The second point is about that: selecting the right 'class' of models (not necessarily the single instance of the model). If the class is linear regression then $\text{Var}(\hat{f}(X))$ will be small and $E[f(X) - \hat{f}(X)]$ will potentially be big (the actual function is wiggly but $\hat{f}$ is just linear then they will probably do different things often). If the function class is more complex like neural networks, random forests, gradient boosting (you name it), then it is able to resemble $f$ better, i.e. $E[f(X) - \hat{f}(X)]$ will be small but then $\text{Var}(\hat{f}(X))$ will be big. The key is to find the right class (not too complicated and not too simple) so that the sum of both, $E[f(X) - \hat{f}(X)] + \text{Var}(\hat{f}(X))$ is small (then also $E[(Y-\hat{f}(X))^2]$ becomes small because of the decomposition above).

However, while point 1 gives a rather practical guide on how to find the right $\hat{f}$ (just choose the one with the lowest RMSE), the second point is rather a motivation on why we need to use regularization whenever we choose for more complex models but it does not say anything about how to do it. There are theoretical results about it involving the Vapnik dimension and shattering coefficients and so forth but that would lead too far for this post.

NOTE: It seems tempting to choose an $\hat{f}$ with RMSE=0. Why would that be pretty bad usually? (Hint: train and test set)

NOTE2: It is not like 'when choosing cross validation instead of splitting the data only once then the variance goes up/down'! It is about the quality of the estimate for the variance. When we split the dataset more often (in the extreme case: leave-one-out CV) then we can estimate the variances better / more reliably. They do not go up/down! Whether they are low/high depends on the model class and the model, not on the way how we evaluate it!

  • $\begingroup$ thank you for your effort here. As I am a beginner, I do not understand the complex mathematics behind this. My understanding of the machine learning is limited to the implementation in R language. I mean I use R language (especially caret library by max) to split train/test data, train the model and do prediction. I want to know if we can quantify the degree of bias etc after our model perform predictions. For example, if you read the abstract of this paper, it shows that hold-out method produce 40-200% more bias than the bootstrap method. How they quantified that. $\endgroup$
    – khan1
    Feb 3, 2021 at 22:11
  • $\begingroup$ The paper I mentioned above is available here: chakkrit.com/assets/papers/tantithamthavorn2016mvt.pdf $\endgroup$
    – khan1
    Feb 3, 2021 at 22:11
  • $\begingroup$ This paper also mention that "the bias of a model validation technique is often measured in terms of the difference between a performance estimate that is derived from a model validation technique and the model performance on unseen data. " .. I did not understand how we can measure this when we get result (e.g. RMSE value) with test data ? $\endgroup$
    – khan1
    Feb 3, 2021 at 22:18
  • $\begingroup$ I am not entirely sure what you want to do / what you want to know: The paper is about model evaluation techniques. Do you have a data science problem and wonder about what model evaluation technique you want to use? Note: I adressed the second question: what is the difference of bias (deviation from $f(X)$)and RMSE (estimation of deviation from $Y = f(X) + $ error). Notice that they define the bias differently: their bias is the difference of the estimation of the RMSE using the evaluation technique from the estimation of the RMSE using unseen data... $\endgroup$ Feb 4, 2021 at 10:30
  • $\begingroup$ yes I have the same problem as described in the paper. I need to identify the bias produced by different validation methods e.g. hold out method, bootstrap etc. Currently I have the RMSE values produced by these validation methods. If I have an RMSE value (e.g. RMSE= 0.55) with a hold-out method, how can I quantify the bias of the hold out method? $\endgroup$
    – khan1
    Feb 4, 2021 at 12:17

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