Learn how to use Minimum Description Length, the supervised technique for calculating Attribute Importance.
19.1 About MDL
Introduces Minimum Description Length (MDL) algorithm.
MDL is an information theoretic model selection principle. It is an important concept in information theory (the study of the quantification of information) and in learning theory (the study of the capacity for generalization based on empirical data).
MDL assumes that the simplest, most compact representation of the data is the best and most probable explanation of the data. The MDL principle is used to build Oracle Data Mining attribute importance models.
19.1.1 Compression and Entropy
Data compression is the process of encoding information using fewer bits than what the original representation uses. The MDL Principle is based on the notion that the shortest description of the data is the most probable. In typical instantiations of this principle, a model is used to compress the data by reducing the uncertainty (entropy) as discussed below. The description of the data includes a description of the model and the data as described by the model.
Entropy is a measure of uncertainty. It quantifies the uncertainty in a random variable as the information required to specify its value. Information in this sense is defined as the number of yes/no questions known as bits (encoded as 0 or 1) that must be answered for a complete specification. Thus, the information depends upon the number of values that variable can assume.
For example, if the variable represents the sex of an individual, then the number of possible values is two: female and male. If the variable represents the salary of individuals expressed in whole dollar amounts, then the values can be in the range $0-$10B, or billions of unique values. Clearly it takes more information to specify an exact salary than to specify an individual's sex.
18.104.22.168 Values of a Random Variable: Statistical Distribution
Information (the number of bits) depends on the statistical distribution of the values of the variable as well as the number of values of the variable. If we are judicious in the choice of Yes/No questions, then the amount of information for salary specification cannot be as much as it first appears. Most people do not have billion dollar salaries. If most people have salaries in the range $32000-$64000, then most of the time, it requires only 15 questions to discover their salary, rather than the 30 required, if every salary from $0-$1000000000 were equally likely. In the former example, if the persons were known to be pregnant, then their sex is known to be female. There is no uncertainty, no Yes/No questions need be asked. The entropy is 0.
22.214.171.124 Values of a Random Variable: Significant Predictors
Suppose that for some random variable there is a predictor that when its values are known reduces the uncertainty of the random variable. For example, knowing whether a person is pregnant or not, reduces the uncertainty of the random variable sex-of-individual. This predictor seems like a valuable feature to include in a model. How about name? Imagine that if you knew the name of the person, you would also know the person's sex. If so, the name predictor would seemingly reduce the uncertainty to zero. However, if names are unique, then what was gained? Is the person named Sally? Is the person named George?... We would have as many Yes/No predictors in the name model as there are people. Therefore, specifying the name model would require as many bits as specifying the sex of each person.
19.1.2 Model Size
Minimum Description Length (MDL) takes into consideration the size of the model as well as the reduction in uncertainty due to using the model. Both model size and entropy are measured in bits. For our purposes, both numeric and categorical predictors are binned. Thus the size of each single predictor model is the number of predictor bins. The uncertainty is reduced to the within-bin target distribution.
19.1.3 Model Selection
Minimum Description Length (MDL) considers each attribute as a simple predictive model of the target class. Model selection refers to the process of comparing and ranking the single-predictor models.
MDL uses a communication model for solving the model selection problem. In the communication model there is a sender, a receiver, and data to be transmitted.
These single predictor models are compared and ranked with respect to the MDL metric, which is the relative compression in bits. MDL penalizes model complexity to avoid over-fit. It is a principled approach that takes into account the complexity of the predictors (as models) to make the comparisons fair.
19.1.4 The MDL Metric
Attribute importance uses a two-part code as the metric for transmitting each unit of data. The first part (preamble) transmits the model. The parameters of the model are the target probabilities associated with each value of the prediction.
For a target with j values and a predictor with k values, ni (i= 1,..., k) rows per value, there are Ci, the combination of j-1 things taken ni-1 at a time possible conditional probabilities. The size of the preamble in bits can be shown to be Sum(log2(Ci)), where the sum is taken over k. Computations like this represent the penalties associated with each single prediction model. The second part of the code transmits the target values using the model.
It is well known that the most compact encoding of a sequence is the encoding that best matches the probability of the symbols (target class values). Thus, the model that assigns the highest probability to the sequence has the smallest target class value transmission cost. In bits, this is the Sum(log2(pi)), where the pi are the predicted probabilities for row i associated with the model.
The predictor rank is the position in the list of associated description lengths, smallest first.
19.2 Data Preparation for MDL
Learn about preparing data for Minimum Description Length (MDL).
MDL handles missing values naturally as missing at random. The algorithm replaces sparse numerical data with zeros and sparse categorical data with zero vectors. Missing values in nested columns are interpreted as sparse. Missing values in columns with simple data types are interpreted as missing at random.
If you choose to manage your own data preparation, keep in mind that MDL usually benefits from binning. However, the discriminating power of an attribute importance model can be significantly reduced when there are outliers in the data and external equal-width binning is used. This technique can cause most of the data to concentrate in a few bins (a single bin in extreme cases). In this case, quantile binning is a better solution.