[MLE] W3 Solving the problem of overfitting
The problem of overfitting Consider the problem of predicting y from x ∈ R. The leftmost figure below shows the result of fitting a \(y = θ_0+θ_1x\) to a dataset . We see that the data doesn’t really lie on straight line, and so the fit is not very good. Instead, if we had added an extra feature \(x_2\) , and fit \(y=θ_0+θ_1x+θ_2x^2\) , then we obtain a slightly better fit to the data (See middle figure). Naively, it might seem that the more features we add, the better. However, there is also a danger in adding too many features: The rightmost figure is the result of fitting a 5th order polynomial y=\(θ_0+θ_1x+θ_2x^2+θ_3x^3+θ_4x^4\). We see that even though the fitted curve passes through the data perfectly, we would not expect this to be a very good predictor of, say, housing prices (y) for different living areas (x). Without formally defining what these terms mean, we’ll say the figure on the left shows an instance of underfitting —in which the data clearly shows structure not capt...