In the previous articles we have discussed the basic concept of simple linear regression; how to measure the error of the regression model so that we can use the gradient descent method to find the global optimum of the regression problem; develop the multivariate linear regression model for real world problems; and how to choose learning rate and initial values of the weight to start the algorithm. We can try to solve real world problem using linear regression at this point.
Choosing Learning Rate We introduced an important parameter, the learning rate \(\alpha\), in Linear Regression 2 – Gradient Descent without discussing how to choose its value. In fact, the choice of the learning rate affects the performance of the algorithm significantly. It determines the convergence speed of the gradient descent algorithm, which is the number of iteration to reach the minimum. The below figures, we call it learning graph, show how different learning rates impact the speed of the algorithm.
Why We Need Gradient Descent In the previous article, Linear Regression 1 – Simple Linear Regression and Cost Function, we introduced the concept of simple linear regression, which is basically to find a regression line model $$M_w(x) = w_0 + w_1x_1$$ so that the prediction \(M_w(x)\) is as close to the \(y\) of our training data \((x,y)\) as possible. To find the best fit regression line, we are actually finding the optimal combination of the weight parameters \(w_0\) and \(w_1\) and trying to minimize the errors between the predictions and the actual values of target feature \(y\).
Error-based Learning Imagine you are just starting to learn skipping and may occasionally trip over the rope or even fall down. You then try to slightly adjust the jumping speed, height, strength of your arms, your foot balance skill, etc. You may trip again and then continue adjusting your posture and movement. And one day, you find skipping is just a piece of cake! You have just learnt that from making countless errors but failing better each time, by tuning your motion little by little.