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Comparing k-means and dp-means clustering

July 6, 2012

A recently published paper explains a Bayesian approach to clustering. Revisiting k-means: New Algorithms via Bayesian Nonparametrics motivates and explores the idea of using a scale parameter \lambda to control the creation of new clusters during clustering rather than requiring the Data Scientist to set the number of clusters, k, as in k-means.  John Myles White coded this in R and shows some example clusterings with varying \lambda, but doesn’t dig into quantitiative comparisons. (BTW, subscribe to his blog.)

After looking at John’s plots, you may ask if there is any better motivation for choosing a scale parameter than the number of clusters–both seem ad hoc and to require experienced judgement to get the “best” result.  (I get fidgety when people say they just used k-means and it worked great–k-means always gives an answer, so “success” in the simple sense doesn’t mean much.)

In what ways could dp-means be an improvement over k-means?

  • Parameter choice.  The scale of the upper and lower bounds can be calculated from the data.  In general, we can bound \lambda at the high end with the range of the sample data and at the lower end, some measure of the nearness of the nearest data points, or possible, the smallest expected cluster size.
  • Time cost to minimize error.  K-means time cost is approximately linear in k, and at first glace the time-scaling of dp-means with number of clusters (not with \lambda) appears to scale linearly as well (with dp-means, smaller \lambda corresponds to more clusters), but it is not clear that this is better or worse than k-means in practical cases.

There are no proofs here, just numerical exploration and intuition building.  I coded dp-means in Python in a way that let me leave as much common code between k-means and dp-means and get lots of diagnostics.  These implementations aren’t optimized.  The code and examples shown here are available on github.

First, a 2-d version with three nicely separated clusters.  Here’s the original data,

A couple of the clusters are spread along one dimension to make it a little more interesting. Here’s an example of training dp-means:

And the mean-squared error per sample point:

In my versions of by k-means and dp-means, the algorithm stops when the change of error between iterations drops below a pre-defined tolerance. Download the code and play with training dp-means with varying scale parameter to see how decreasing  \lambda increases the number of clusters.

Ok, let’s get on with the comparison…in this example, we have 3 features and 5 overlapping clusters.

The error vs. parameter plots for dp-means and k-means are shown below.

The parameter for k-means is the number of clusters while parameter I am plotting for dp-means is 1 /\lambda (approximately the reciprocal of the minimum cluster size), so they cannot really be compared. However, in this graph it is easy to see where the number of clusters in dp-means match those in k-means.

For dp-means, there are no changes in the error if we set the parameter \lambda > \sqrt{3}(x_{max}-x_{min}) because no cluster will be larger than a cube containing data.  Both k-means and dp-means continue to improve with additional clusters until each sample point is at the center of its own cluster.

The classic “elbow” at  k = 3  indicates separated clusters found by k-means.  Around 1 / \lambda \approx 3 there is a “lap” (continuing with the body metaphors) for dp-means.  Is this a reliable heuristic for training dp-means?  It results in 11 clusters.

The dp-means algorithm achieves 4 clusters (fairly consistently) around  \lambda \approx 1.7.

With respect to parameter, dp-means may come out slightly ahead, but it might be something of a matter of taste.

How about the time cost of lower error? I both algorithms we have to search the space for the parameter value and cluster centers that give the minimum error. This means running the algorithm repeatedly, where we achieve a range of local minima on each iteration and choose the lowest value as our best fit.  So one way to look at the time-cost of each algorithm is to compare the minimum error for a range of total search iterations.

The graphs below plot  \log(error) vs.  \log(time) for dp-means and k-means for 4, 10, and 20 search iterations.  Dp-means is slightly more efficient in each case, but only slightly.

Conclusion. I will continue to explore dp-means because of the parameter advantages, but the time advantages seem negligible.  What do you think?

R, e.g.: Grid of aligned time series plots in R

May 29, 2012
tags: ,

Maybe this is a counter example.  The outcome of this activity illustrates one of my points for  my introductory “R, For Example” post. Specifically, the format of the data is nearly everything.  Here’s the backstory of the data.  I’ll wait.  Okay, here’s the R problem…

The goal was to create a stacked chart of aligned time series plots like this:

The plots have different y-scales–and this is where the trouble starts. ggplot does a great job of generating every appropriate y-tick marks and giving everything that ggplot prettiness. But if you do this plot naively, you get a plot where the x-ranges are identical, but not aligned.  Here was my original graph,

The arrow shows the alignment problem. This is because printing the scales takes up different space, depending on the magnitude (decade, really) of the tick labels.

I imagined the easy way to fix this was a custom formatter, so I write a quick bit of code to format the y-tick labels with the right number of leading spaces.

# Fix it by manually formatting the y-tick labels
lalb <- function(x) {
lx <- sprintf('%04d', x) # Format the strings as HH:MM:SS
lx <- gsub('^000', ' ', lx) # Remove leading 00: if present
lx <- gsub('^00', ' ', lx) # Remove leading 00: if present
lx <- gsub('^0', ' ', lx) # Remove leading 0 if present
}

Quick and easy, right? Nope. The tick labels use proportionally spaced fonts, so this gets hack gets us closer, but not quite there.  In the end, I had to add some artificial padding to the tick label. I ended up adding “8” to the plot with the largest scale and this pushed everything far enough right to get it pretty close.  The final results is shown in the first graph of the post.

Lesson: A better way to do this is to load the data in column form and make each publisher a type (in a single column) instead of making each publisher its own column. R likes tall data frames. Then a ggplot-generated grid of plots would be aligned perfectly.

Here’s the code:

#!/usr/bin/env Rscript
 library(ggplot2)
 library(gridExtra)
 library(scales)

# data in columns, joined on date field
 x<-read.table("./joined.csv", header=TRUE, sep=",")
 x$date = as.POSIXct(x$time)
 summary(x)

# Make some times series plots
 p1 <- ggplot(data=x) +
 geom_line(aes(date, twcount), color="red") +
 opts(title="Twitter", axis.title.x = theme_blank())
 p3 <- ggplot(data=x) +
 geom_line(aes(date, wpcccount + wpoccount), color="red") +
 opts(title="Wordpress Comments", axis.title.x = theme_blank())
 p4 <- ggplot(data=x) +
 geom_line(aes(date, ngcount), color="red") +
 opts(title="Newsgator")+ xlab("Time (UTC)")

png(filename = "./timelines_noalign.png", width = 550, height = 750, units = 'px', res = 100)
 print(
 grid.arrange(p1, p3, p4 ,ncol = 1,
 main=textGrob("Earthquake - Mexico - 20 March 2012", gp=gpar(fontsize=14, lineheight=18)) )
 )

# Fix it by manually formatting the y-tick labels
 lalb <- function(x) {
 lx <- sprintf('%04d', x) # Format the strings as HH:MM:SS
 lx <- gsub('^000', ' ', lx) # Remove leading 00: if present
 lx <- gsub('^00', ' ', lx) # Remove leading 00: if present
 lx <- gsub('^0', ' ', lx) # Remove leading 0 if present
 }

# Unfortunately, do to proportional spaced fonts?, spaces dont' quite do ti. Add a manual adjustment.
 p1 <- ggplot(data=x) +
 geom_line(aes(date, twcount), color="red") +
 opts(title="Twitter", axis.title.x = theme_blank(), axis.title.y = theme_text(hjust=8)) +
 ylab("") + scale_y_continuous(labels = lalb)
 p3 <- ggplot(data=x) +
 geom_line(aes(date, wpcccount + wpoccount), color="red") +
 opts(title="Wordpress Comments", axis.title.x = theme_blank()) +
 ylab("") + scale_y_continuous(labels = lalb)
 p4 <- ggplot(data=x) +
 geom_line(aes(date, ngcount), color="red") +
 opts(title="Newsgator")+ xlab("Time (UTC)") +
 ylab("") + scale_y_continuous(labels = lalb)

png(filename = "./timelines_align.png", width = 550, height = 750, units = 'px', res = 100)
 print(
 grid.arrange(p1, p3, p4 ,ncol = 1,
 main=textGrob("Earthquake - Mexico - 20 March 2012", gp=gpar(fontsize=14, lineheight=18)) )
 )
 dev.off()

Data and code on github.

Social Media Pulse

May 25, 2012
tags: ,

Social media stories evolve according to a particular pattern when surprise events are experience by many social media users at once.  An example from Twitter was the earthquake in Oaxaca, MX on 20 March 2012.  The Twitter volume for terms “quake” and “terremoto” are shown in the figure.

The Social Media Pulse for simultaneously observed events can be modeled as a Stationary Poisson Point Process.  The model yields a Gamma distribution,

f_S(t)=\frac{\beta^{-\alpha}(t-t_0)^{\alpha-1}\exp(\frac{-(t-t_0)}{\beta}) }{\Gamma(\alpha)}

and the rate,

 

r(t)=N_{activities}f_S(t)

 

(Another, slightly more tractable model analytically for the The Social Media Pulse is to fit with a double exponential, r(t) = r_0(1-\exp(-\alpha (t - t_0))\exp(-\beta (t-t_0)))

Doing this enables consistent comparison of a story across social media publishers as well as comparisons of various stories.

A detailed writeup of the pulse parameters and fitting is available at Social Media Pulse and additional discussion of social media firehoses can be found in my Gnip blog series Taming the Social Media Firehose.

Python code on Github.

Dimension reduction for machine learning – simple example of SVD, PCA, pathology

May 14, 2012

Of the fast and loose practices in machine learning that I cringe at, throwing one’s favorite tool at high-dimensional data and expecting algorithms to learn to generalize well.

Part of the problem is we don’t always know if the features we chose are meaningful to the learning problem. Another part of the problem is that a useful regression requires that our sample fills the space adequately to regress.  (An n-sphere has a volume that scales as  V \approx R^n .  This means that if you feel comfortable with 10 samples for a 1-d linear regression, you should have in your mind a million samples for a 6-d regression.)

One strategy for dealing with high-dimensionality is to rotate and scale the data set along axes of high sample variation. Two closely related mathematical tools are available to help with this: Singular Value Decomposition (SVD) and Principal Component Analysis). I won’t add anything to the mathematics described in these articles.  The purpose here is

  1. Explore some questions with a simple example
  2. Explore the link between SVD and PCA with some simple data to understand how it works, and build a little bit of intuition on what linear transformation can do for machine learning.
  3. Demonstrate how this strategy could work to reduce the dimentionality of a problem (This really turns out to be reducing the dimentionality of the representation of the problem.)
  4. Show how this strategy can easily go wrong in order to build intuition about when and how this might work for a real machine learning problem.
There is a link to the all of the code at the bottom.  To get this output, install IPython, the matplotlib, scipy, numpy, scikits.learn packages, then paste code into a session.  Or just edit the script to include the output you want and run from the command line.
Here we go…first SVD.

 In [23]: ########################
 In [24]: # Demo Part 1
 In [25]: ########################
 In [26]: # SVD: decompose a matrix X into product of unitary matrix (U), diagonal
 In [27]: # matrix (S) and vector V, a rotation, (if it helps, think:
 In [28]: # basis vectors, scaling, rotation) such that X.T = W x S x V_t.
 In [29]: #
 In [30]: # In machine learning, X will be a matrix of samples (4, rows)
 In [31]: # and features (3, columns) for our learning examples.
 In [32]: X_t = mat([ [ 1, 3, -10 ],
 ....: [ 0, 2, 1 ],
 ....: [ -1, -3, 9 ],
 ....: [ 0, -2, 0 ] ])
 In [33]: X = X_t.T
 In [34]: # The scipy library makes this step easy
 In [35]: W, s, V_t = linalg.svd( X )
 In [36]: S = linalg.diagsvd(s, len(X), len(V_t))
 In [37]: recon = dot( dot( W, S), V_t)
 In [38]: # Are these equal (to within rounding)?
 In [39]: abs(X - recon)
 Out[39]:
 matrix([[ 4.44089210e-16, 1.73472348e-16, 6.66133815e-16,
 1.59594560e-16],
 [ 8.88178420e-16, 2.22044605e-16, 4.44089210e-16,
 1.33226763e-15],
 [ 1.77635684e-15, 4.44089210e-16, 5.32907052e-15,
 6.73940070e-16]])
 In [40]: # maximum error
 In [41]: np.max(abs(X - recon))
 Out[41]: 5.3290705182007514e-15
 In [42]: # One key to understanding the link to PCA is
 In [43]: # understanding the diagonal matrix, S
 In [44]: S
 Out[44]:
 array([[ 14.19266482, 0. , 0. , 0. ],
 [ 0. , 2.9255743 , 0. , 0. ],
 [ 0. , 0. , 0.09633518, 0. ]])
 In [45]: # Given that the features have zero-mean:
 In [46]: [np.mean(i) for i in X]
 Out[46]: [0.0, 0.0, 0.0]
 In [47]: # s is an ordered vector that tells us the "significance" of each dimension
 In [48]: # in the rotated space. (Yes, I arranged it that way. To be clear,
 In [49]: # you can do SVD on a matrix without zero-mean features, but the dimension
 In [50]: # reduction part we are about to do requires it.)
 In [52]: # We can selectively set lower numbers to
 In [53]: # zero to reduce dimension.
 In [54]: s_red = s
 In [55]: s_red[2] = 0
 In [56]: # Approximately reconstruct our original matrix, but with
 In [57]: # a reduced-dimension representation
 In [58]: S_red = linalg.diagsvd(s_red, len(X), len(V_t))
 In [59]: S_red
 Out[59]:
 array([[ 14.19266482, 0. , 0. , 0. ],
 [ 0. , 2.9255743 , 0. , 0. ],
 [ 0. , 0. , 0. , 0. ]])
 In [60]: recon_red = dot( dot( W, S_red), V_t)
 In [61]: abs(X - recon_red)
 Out[61]:
 matrix([[ 0.04297068, 0.04061026, 0.05215936, 0.05451977],
 [ 0.00118308, 0.00111809, 0.00143606, 0.00150105],
 [ 0.00412864, 0.00390185, 0.00501149, 0.00523828]])
 In [62]: # maximum error
 In [63]: np.max(abs(X - recon_red))
 Out[63]: 0.054519772460470559
 In [64]: # ratio of errors
 In [65]: np.max(abs(X - recon))/np.max(abs(X - recon_red))
 Out[65]: 9.7745648554652029e-14
 In [66]:
 In [66]: # We "lost" 14 orders of magnitude in precision of the reconstruction, but this turns
 In [67]: # out to be okay for some machine learning problems.

So that is a very simple SVD example.  Now use the same representation for a simple machine learning problem.   Classify to groups of data in a two dimensional space using Logistic Regression.   (Logistic regression is very good a solving problems just like this without SVD or PCA, so this is merely to get at how it all works together.)

 In [68]: ########################
 In [69]: # Demo Part 2
 In [70]: ########################
 In [71]: from scikits.learn import linear_model
 In [72]: import scipy
 In [73]: from copy import copy
 In [74]: # Classification problem where points are linearly classifiable
 In [75]: # in 2 dim.
 In [76]: N=200
 In [77]: x = np.random.normal(0,4,N)
 In [78]: y1 = 3*x + np.random.normal(3,1,N)
 In [79]: y2 = 3*x + np.random.normal(-3,1,N)
 In [80]: y_avg = np.mean(np.append(y1, y2, 1))
 In [81]: figure()
 In [82]: plot(x,y1 - y_avg, 'bo');
 In [83]: plot(x,y2 - y_avg, 'ro');
 In [84]: title("Original data sets (0-average)")

Image

Boundary between groups at  y(x) \approx 3x

In [85]: # features x and y are rows in this matrix
In [86]: X = np.append([x,y1 - y_avg],[x,y2 - y_avg],1)
In [87]: X_t = X.T
In [88]: # y1 group 0; y2 group 1
In [89]: truth = np.append(scipy.ones([1, N]), scipy.zeros([1, N]), 1)
In [90]: # 2d model works very well
In [91]: lr = linear_model.LogisticRegression()
In [92]: lr.fit(np.asarray(X_t),truth[0])
Out[92]:
LogisticRegression(C=1.0, intercept_scaling=1, dual=False, fit_intercept=True,
 penalty='l2', tol=0.0001)
In [93]: lr.score(np.asarray(X_t),truth[0])
Out[93]: 1.0
In [94]: lr.predict(np.asarray(X_t))
Out[94]:
array([1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0], dtype=int32)
In [95]: # Now try dimension reduciton with SVD
In [96]: W, s, V_t = linalg.svd( X )
In [97]: s
Out[97]: array([ 273.98689602, 19.47579928])
In [98]: # both transformed representations are the same before trimming:
In [99]: S = linalg.diagsvd(s, len(X), len(V_t))
In [100]: np.max(abs(X.T*matrix(W) - matrix(V_t).T*matrix(S).T))
Out[100]: 6.7501559897209518e-14
In [101]: # Now work with the transformed coordinates. It might not have been clear
In [102]: # from above what the transformed coordinate system was. We can get there
In [103]: # by either the product of the first two or last two terms.
In [104]: X_prime = matrix(V_t).T*matrix(S).T
In [105]: x_prime = np.asarray(X_prime.T[0])
In [106]: y_prime = np.asarray(X_prime.T[1])
In [107]: figure()
In [108]: plot(x_prime, y_prime, 'go');
In [109]: title("Features after SVD Transformation")
Out[109]: <matplotlib.text.Text at 0x11b956890>

Image

Boundary between groups at  y(x) \approx 0

In [110]: # Linearly classifiable in 1-d? Try all new basis directions (extremes of variation)
In [111]: # Min variation - Training along y-dim nearly perfect
In [112]: ypt = np.asarray(y_prime.T)
In [113]: lr.fit(ypt, truth[0])
Out[113]:
LogisticRegression(C=1.0, intercept_scaling=1, dual=False, fit_intercept=True,
 penalty='l2', tol=0.0001)
In [114]: lr.score(ypt, truth[0])
Out[114]: 0.99750000000000005
In [115]: lr.predict(ypt)
Out[115]:
array([1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0], dtype=int32)
In [116]: # Max variation - Nothing here
In [117]: xpt = np.asarray(x_prime.T)
In [118]: lr.fit(xpt, truth[0])
Out[118]:
LogisticRegression(C=1.0, intercept_scaling=1, dual=False, fit_intercept=True,
 penalty='l2', tol=0.0001)
In [119]: lr.score(xpt, truth[0])
Out[119]: 0.58250000000000002
In [120]: lr.predict(xpt)
Out[120]:
array([1, 1, 0, 0, 0, 1, 1, 1, 1, 1, 0, 0, 0, 0, 1, 0, 1, 0, 0, 0, 0, 1, 0,
 1, 0, 1, 1, 0, 1, 1, 0, 1, 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 1, 1, 0, 0,
 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 1, 1, 0, 1, 1, 0, 0, 1, 0, 1, 1, 0, 0,
 0, 1, 0, 1, 1, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1,
 0, 0, 0, 1, 1, 1, 1, 0, 0, 1, 1, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1,
 0, 0, 1, 0, 1, 0, 0, 1, 0, 0, 0, 0, 1, 0, 0, 1, 0, 1, 0, 0, 1, 0, 1,
 1, 1, 0, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 0, 1, 0, 1, 1, 1, 1, 0, 1, 1,
 1, 1, 1, 1, 1, 0, 0, 1, 1, 0, 1, 0, 1, 0, 1, 1, 1, 0, 0, 0, 1, 1, 0,
 1, 1, 1, 0, 1, 1, 1, 1, 1, 0, 0, 1, 1, 0, 1, 1, 1, 1, 0, 0, 0, 1, 1,
 1, 1, 1, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 1, 0, 1, 1,
 0, 1, 0, 1, 1, 1, 0, 0, 1, 0, 0, 1, 0, 1, 0, 0, 0, 0, 1, 1, 0, 0, 1,
 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 0, 0, 1, 0, 0, 0, 1, 0, 0, 1, 1, 0,
 0, 0, 0, 0, 0, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0,
 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 1, 1, 0, 0, 0, 1, 0, 0, 1, 0, 1, 0, 0,
 1, 0, 0, 0, 0, 1, 0, 0, 1, 0, 1, 0, 0, 0, 0, 1, 1, 0, 0, 1, 0, 1, 0,
 0, 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 0, 1, 0, 0,
 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 0, 0, 0, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1,
 1, 0, 0, 0, 1, 1, 0, 1, 0], dtype=int32)

Notice that the transformation made the problem “easier” in that it was solved with 1-d instead of 2-d machine learning and that the two groups appear even more separated after the transformation than before.

Lesson 1: Look at all of the dimensions–in this case the smallest variation axis rather than the largest variation axis solves the problem.  This is going to catch anyone who blindly applies PCA for machine learning.  See Part 3.


In [121]: ########################
In [122]: # Demo Part 3
In [123]: ########################
In [124]: # Use PCA idea to reduce to 1-D
In [125]: s_red = copy(s)
In [126]: s_red[1] = 0
In [127]: S_red = linalg.diagsvd(s_red, len(X), len(V_t))
In [128]: X_prime = matrix(V_t).T*matrix(S_red).T
In [129]: x_prime = np.asarray(X_prime.T[0])
In [130]: y_prime = np.asarray(X_prime.T[1])
In [131]: figure()
Out[131]: <matplotlib.figure.Figure at 0x1193e7450>
In [132]: plot(x_prime, y_prime, 'yo');
In [133]: title("Reduce S by removing s[1] = %2.5f"%s[1])

All original group information lost.

In [134]: # Try all new basis directions (not just greatest variations)
In [135]: # 1-D: Max variation - Training along x-dim performs poorly
In [136]: ypt = np.asarray(y_prime.T)
In [137]: lr.fit(ypt, truth[0])
Out[137]:
LogisticRegression(C=1.0, intercept_scaling=1, dual=False, fit_intercept=True,
 penalty='l2', tol=0.0001)
In [138]: lr.score(ypt, truth[0])
Out[138]: 0.5
In [139]: lr.predict(ypt)
Out[139]:
array([1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1], dtype=int32)
In [140]: # This is the other extrema to "principal" components
In [141]: s_red = copy(s)
In [142]: s_red[0] = 0
In [143]: S_red = linalg.diagsvd(s_red, len(X), len(V_t))
In [144]: X_prime = matrix(V_t).T*matrix(S_red).T
In [145]: x_prime = np.asarray(X_prime.T[0])
In [146]: y_prime = np.asarray(X_prime.T[1])
In [147]: figure()
Out[147]: <matplotlib.figure.Figure at 0x11c74f6d0>
In [148]: plot(x_prime, y_prime, 'mo');
In [149]: title("Reduce S by removing value s[0] = %2.5f"%s[0])

Image

Trivial classification, now in 1-d.

In [150]: # 1-D: Min variation - Training along y-dim nearly perfect
In [151]: ypt = np.asarray(y_prime.T)
In [152]: lr.fit(ypt, truth[0])
Out[152]:
LogisticRegression(C=1.0, intercept_scaling=1, dual=False, fit_intercept=True,
 penalty='l2', tol=0.0001)
In [153]: lr.score(ypt, truth[0])
Out[153]: 0.99750000000000005
In [154]: lr.predict(ypt)
Out[154]:
array([1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
 0, 0, 0, 0, 0, 0, 0, 0, 0], dtype=int32)

So our 1-d model performs great. Quoting from Wikipedia,

“PCA essentially rotates the set of points around their mean in order to align with the principal components. This moves as much of the variance as possible (using an orthogonal transformation) into the first few dimensions. The values in the remaining dimensions, therefore, tend to be small and may be dropped with minimal loss of information.”

The problem with following this without skepticism is that, according to the guidelines of PCA, our problem depends on using the “wrong” dimension.  (The properties are not quite as arbitrary as they may seem. For example, race data for long distances that includes both men and women have this quality because the variation within gender of total race times can be greater than the variation between gender times.)

Code on Github

R, e.g.: Bokal’s cheese balls

May 9, 2012

Recently, someone in the office (Bokal?) was eating cheese balls from a barrel.

My first reaction was “Is this food?”  My second was slightly less judgmental and more fertile for R exploration “In what context does this food live?” This sent me off to the web and R.  I found a fairly comprehensive data set for various food and plotted Bokal’s Cheese ball in context for fat, carbs and protein–mostly what food is (fiber?). I didn’t get mass-density information, so I plotted by energy density.

And the scatter plots show more clearly that Cheese balls are out on the edge–only possible with heroic technological means.

#!/usr/bin/env Rscript
#
# Scott Hendrickson
#   2012-01-27
#

library(ggplot2)
library(gridExtra)

# read in nutritional data
cnt<-read.table("./foodNutritionalData.csv", header=TRUE, sep=",")
cnt$edensity <- cnt$Energy/cnt$Weight
cnt$feratio <- cnt$Fat/cnt$Energy
cnt$peratio <- cnt$Protein/cnt$Energy
cnt$ceratio <- cnt$Carbohydrate/cnt$Energy

summary(cnt)

# single out Bokal's cheese balls
cnt$Type <- "Everything Else"
# this record was entered first in the file
cnt$Type[c(1)] <- "Bokal's Cheese Balls"
# cnt[1,]

#order and context by energy density
cntbyedensity <- cnt[order(cnt$edensity),]
ordr <- match("Bokal's Cheese Balls",  cntbyedensity$Type)
print(cntbyedensity[ (ordr - 5): (ordr + 5), ], width = ,digits = 3)

# arrow - horizontal arrow pointing to the x value of point offset by aoffset
# point(x,y); point$dx, point$dy size; ad direction; xoffset arrow point offset; xhf, xhf arrow size fractions
arrow <- function(point, ad=1, xoffset=0, xhf=0.3, yhf=0.3) {
	xhead <- xhf * point$dx
	yhead <- (1. + yhf) * point$dy
	data.frame(
    x = c(	point$x-ad*xoffset,
	 	point$x-ad*xhead, point$x-ad*xhead,
		point$x-ad*point$dx, point$x-ad*point$dx,
		point$x-ad*xhead, point$x-ad*xhead,
		point$x-ad*xoffset),
    y = c(	point$y,
		point$y+yhead,
		point$y-point$dy/2., point$y-point$dy/2.,
		point$y+point$dy/2., point$y+point$dy/2.,
		point$y-yhead,
		point$y)
    )
}

## Plots

pnt_o <- data.frame( x <- c(cnt[1,"edensity"]), y <- c(80), dx <- 4, dy <- 20 )
arrow_o <- arrow( pnt_o, -1 )
ptext_o <- data.frame(label="Bokal's Cheese Balls", x=pnt_o$x + 2,  y=pnt_o$y)
lx_o <- c(cnt$edensity[1], cnt$edensity[1])
ly_o <- c(10, 90)

o <-qplot(edensity, data=cnt, geom="histogram",
	binwidth = 0.2,
	xlab="Energy Density (cal/g)",
	ylab="Number of Foods") +
	geom_line(aes(lx_o,ly_o), color="red") +
  	geom_polygon(aes(x,y), data=arrow_o, fill="yellow") +
	geom_text(aes(x, y, label=label), ptext_o)
#
pnt_a <- data.frame( x <- c(cnt[1,"feratio"]), y <- c(150), dx <- 0.07, dy <- 60 )
arrow_a <- arrow( pnt_a , -1)
ptext_a <- data.frame(label="Bokal's Cheese Balls", x=pnt_a$x + 0.035,  y=pnt_a$y)
lx_a <- c(cnt$feratio[1], cnt$feratio[1])
ly_a <- c(50, 200)

a <- qplot(feratio, data=cnt, geom="histogram",
	binwidth = 0.004,
	xlab="Fat/Energy (g/cal)",
	ylab="Number of Foods") +
  	geom_line(aes(lx_a,ly_a), color="red") +
  	geom_polygon(aes(x,y), data=arrow_a, fill="yellow") +
	geom_text(aes(x, y, label=label), ptext_a)
#
pnt_b <- data.frame( x <- c(cnt[1,"peratio"]), y <- c(110), dx <- 0.14, dy <- 30 )
arrow_b <- arrow( pnt_b ,-1 )
ptext_b <- data.frame(label="Bokal's Cheese Balls", x=pnt_b$x + 0.07,  y=pnt_b$y)
lx_b <- c(cnt$peratio[1], cnt$peratio[1])
ly_b <- c(80, 140)

b <- qplot(peratio, data=cnt, geom="histogram",
	binwidth = 0.005,
	xlab="Protein/Energy (g/cal)",
	ylab="Number of Foods") +
  	geom_line(aes(lx_b,ly_b), color="red") +
  	geom_polygon(aes(x,y), data=arrow_b, fill="yellow") +
	geom_text(aes(x, y, label=label), ptext_b)
#
pnt_c <- data.frame( x <- c(cnt[1,"ceratio"]), y <- c(100), dx <- 0.24, dy <- 30 )
arrow_c <- arrow( pnt_c ,-1 )
ptext_c <- data.frame(label="Bokal's Cheese Balls", x=pnt_c$x + 0.12,  y=pnt_c$y)
lx_c <- c(cnt$ceratio[1], cnt$ceratio[1])
ly_c <- c(20, 120)

c <- qplot(ceratio, data=cnt, geom="histogram",
	binwidth = 0.005,
	xlab="Carb/Energy (g/cal)",
	ylab="Number of Foods") +
  	geom_line(aes(lx_c,ly_c), color="red") +
  	geom_polygon(aes(x,y), data=arrow_c, fill="yellow") +
	geom_text(aes(x, y, label=label), ptext_c)

png(filename = "./denrat.png", width = 520, height = 900, units = 'px')
print(
   grid.arrange(o, a, b, c, ncol=1)
)
dev.off()

# this would work better with volume density
#p <- ggplot(cnt, aes(Energy, Fat),
#	xlab="Energy (cal)",
#	ylab="Fat (g)")

# try some fat-energy relationships
#p + geom_point(aes(color = Type )) +
#	scale_x_log2() +
#	scale_y_log2()

#p + geom_point(aes(color = Type, size = edensity )) +
#	scale_x_log2() +
#	scale_y_log2()

# context for Bokal's cheese balls
q <- ggplot(cnt, aes(x = edensity))
q1 <- q +
	geom_point(aes(edensity, feratio, color = Type)) +
	xlab("Energy Density (cal/g)") +
	ylab("Fat/Energy (g/cal)") +
	geom_point(aes(edensity, feratio), data=cnt[1,], size = 4, color="red")
q2 <- q +
	geom_point(aes(edensity, peratio, color = Type)) +
	xlab("Energy Density (cal/g)") +
	ylab("Protein/Energy (g/cal)") +
	geom_point(aes(edensity, peratio), data=cnt[1,], size = 4, color="red")
q3 <- q +
	geom_point(aes(edensity, ceratio, color = Type)) +
	xlab("Energy Density (cal/g)") +
	ylab("Carb/Energy (g/cal)") +
	geom_point(aes(edensity, ceratio), data=cnt[1,], size = 4, color="red")

png(filename = "./relrat.png", width = 520, height = 900, units = 'px')
print(
   grid.arrange(q1, q2, q3, ncol=1)
)
dev.off()

(Bonus here would be some R-ish way to define and see “near” foods”)

Data and source on Github.

R, e.g.: New Years Eve Tweets

May 5, 2012

First, simple plotting with ggplot.

New Year’s eve is an interesting time to look at twitter volumes because the event moves from time zone to time zone over a 24 hour period.  Below are hourly NY-related tweets by UTC.

The three major humps in volume correspond to the Americas, Europe and Asia.

Not too surprisingly, comparing 2010 and 2011 shows twitter usage growing in most timezones. In the 2010 vs. 2011 scatter plot there are three outliers for growth.

(Basic skill to add here is to exclude the outliers from the linear regression in some R-ish way, rather than manually. Use this to estimate volumes based on the other points and output the difference.)

#!/usr/bin/env Rscript
#
# Plot time series volume data

# install.packages("ggplot2", dependencies = TRUE )
# install.packages("gridExtra", dependencies = TRUE )

library(ggplot2)
library(gridExtra)

X <-read.delim("./twitter.timeline.csv.byhour.csv", sep=",", header=TRUE)
# parse datetime strings
X$date <- as.POSIXct(X$time)

summary(X)

# ts is unix style timestamp
sub0 <- X[ (X$ts > 1293814803 & X$ts  < 1293901203)  , ]
sub1 <- X[ (X$ts > 1325350803 & X$ts  < 1325437203)  , ]

summary(sub0)
summary(sub1)

p0 <- qplot(sub0$date, sub0$count, geom="bar", stat="identity", xlab="2010:  12/31 - 1/1 GMT", ylab="tweets/hr") + scale_y_continuous(limits = c(0, 1100000))
p1 <- qplot(sub1$date, sub1$count, geom="bar", stat="identity", xlab="2011:  12/31 - 1/1 GMT", ylab="tweets/hr") + scale_y_continuous(limits = c(0, 1100000))

png(filename = "./NYTweets-World-2011.png", width = 600, height = 600, units = 'px')
print(
    p1
)
dev.off()

png(filename = "./NYTweets-World-2011v2010.png", width = 600, height = 600, units = 'px')
print(
    grid.arrange(p0, p1, ncol = 1, main="Compare 2010 vs 2011")
)
dev.off()

png(filename = "./NYTweets-Growth-2011v2010.png", width = 600, height = 600, units = 'px')
print(
qplot(sub0$count, sub1$count, xlab="2010 tweets/hr", ylab="2011 tweets/hr") +
     geom_smooth(method=lm,se=FALSE) +
     scale_y_continuous(limits = c(0, 1100000)) +
     scale_x_continuous(limits = c(0, 1100000))
)
dev.off()

Data and Source Gist.

R, for example… Moving here

May 3, 2012

R is a statistical computation language.  As a programming language, I am not too fond of it, but for many quick analysis and visualization problems, R is just the tool.  The ggplot package from Hadley Wickham produces very good looking plots quickly.

3 + \epsilon observations about R:

  • I thought I would master the basics in about 20% of the time it has actually taken. It seems R has a steep learning curve as they say.  May this is only true when you are coming from other object/procedural languages (my experience is with C, Java, Python, C++…)?
  • Nearly every frustration I have experience with R comes from not understanding the required form the data and not knowing the tools for transform data. When you get the data in the right structure, many powerful packages will give sophisticated answers in a line or two.
  • When I start writing functions and loop in R, it is type to move to Python/NumPy/SciPy/Matplotlib.
  • (There is an art to searching for things related to “R” on the web–almost as bad as searching for the game of “go”.)

I started posting R examples on Tumblr. The idea behind “R, for example…” is to provide input data, code and output to quickly walk through a short analysis illustrating new (to me) or useful R. But the Tumblr platform really isn’t very friendly to math, data and plots.  Going forward, R examples will appear here on Skippy Records.

Text-formatted tables of numbers

November 2, 2011

This is a simple Python text formatting project.  After searching for this capability for a little while, I decided to write my own as the following requirements seemed to be unique:

  • Create a table of numbers from a CSV file
  • Control the number of significant figures (significant digits) displayed
  • Format numbers with “,” and ” ” like this 123,456.789 123
  • Align columns on decimal points–this is best for readability
  • Fit the columns automatically based on data and formatting
There are many code snippets that do one part or another of this, but I didn’t find anything that fulfilled all the requirements.   So I created  couple of simple classes to accomplish the task.  One caveat is that the output needs to be displayed in a constant-space font.  Some example output:
      483,000. |       471.7 |     0.460 6 | 0.000 449 8
      966,000. |       943.4 |     0.921 3 | 0.000 899 7
    1,449,000. |     1,415.  |     1.382   | 0.001 349  
    1,932,000. |     1,887.  |     1.843   | 0.001 799  
    2,415,000. |     2,358.  |     2.303   | 0.002 249  
    2,898,000. |     2,830.  |     2.764   | 0.002 699  
    3,381,000. |     3,302.  |     3.224   | 0.003 149  
    3,864,000. |     3,773.  |     3.685   | 0.003 599  
    5,796,000. |     5,660.  |     5.528   | 0.005 398  
    7,728,000. |     7,547.  |     7.370   | 0.007 197  
    9,660,000. |     9,434.  |     9.213   | 0.008 997  
   19,320,000. |    18,870.  |    18.43    | 0.017 99   
   38,640,000. |    37,730.  |    36.85    | 0.035 99   
   57,960,000. |    56,600.  |    55.28    | 0.053 98   
   77,280,000. |    75,470.  |    73.70    | 0.071 97   
   96,600,000. |    94,340.  |    92.13    | 0.089 97   
  144,900,000. |   141,500.  |   138.2     | 0.134 9    
  193,200,000. |   188,700.  |   184.3     | 0.179 9    
  289,800,000. |   283,000.  |   276.4     | 0.269 9    
  386,400,000. |   377,300.  |   368.5     | 0.359 9    
  579,600,000. |   566,000.  |   552.8     | 0.539 8    
  772,800,000. |   754,700.  |   737.0     | 0.719 7    
  966,000,000. |   943,400.  |   921.3     | 0.899 7    
1,159,000,000. | 1,132,000.  | 1,106.      | 1.080      

You can download the code at GitHub: https://github.com/DrSkippy/Text-Format-Table

Investment lifetime…Three follow-up thoughts

October 1, 2011

(1) I think on the whole my life has been much easier than either of my parent’s lives.  At least easier in the sense that the context of stability, motivation, rich experiences and economic support they provided was at a higher level than their parents provided them.   One of the points of my post was to illustrate how there may be some differences in how I think of luck vs. direct outcomes of my actions.  My parents don’t acknowledge luck much while I identify it as key to most of what I have accomplished.  Luck as to where I was born, that I was born to my parents, that I didn’t die of cholera as an infant, …

(2) This one seemed obvious, but in case it didn’t quite come out:  The charts shown are of much of the same data–it is the window on the data that may be an explanation for the difference in perceptions.

(3) Something I did not point out, but also probably contributes to a difference in perceptions is that, during the time period represented in my window of investing, the very wealthy got decidedly wealthier.  Clearly, we can be sure that the wealthy were not relying on the stock market to grow their wealth in the way that I was to grow my investments.

Where were the very wealthy investing? I don’t know.

But many of my contemporaries have been encouraged to and have practiced investing their new-style pensions (401Ks) in the stock market, which isn’t likely to go anywhere for at least a few more years.  Among other things, this makes Bush’s proposal to privatize Social Security by “letting” us invest in the public markets seem rather cynical.

Investment-lifetime comparison: me vs. my father

September 11, 2011

Like many of my contemporaries, I often find myself at political odds with my parents. I always find this strange, because I don’t feel that I rejected the values of my parents. My concerns for the workings of the economy and the country, my concerns that we practice responsible stewardship of the Earth, my feelings of what kinds of business behavior is moral and good for society and what isn’t, my concerns for security and what we trade for it, etc. came fairly directly from my parents. I learned my ethical patterns and moral sensitivities from Mom and Dad. However, I am pretty sure we reliably vote for different politicians (and a different set of ideas!). I have only anecdotes, but this pattern seems to be repeated with many of my contemporaries.

What experiences were different for my parent’s generation and mine? Can any of these differences help account for similar values leading to opposing politics? I am not sure this explains much, but below is a pair of charts that illustrate one way in which my parent’s experience and my experience lead us to see things differently. I did the analysis below out of curiosity, but I decided to write it up after I realized a similar analysis could be done with health care costs or income gains, neither of which have evolved in our favor in the last 15 years. (For broader perspective and context on where the S&P is now relative to the past, check out advisorperspectives.)

The scenario I modeled was investing for retirement: Imagine that at 30 years old, both my father and I have resources and get serious about investing. We invest the same amount of money every year until age 65, for my father, this is the period from 1966-2001, for me, the period from 1996-2031.

During the 30 years my father invested, the stock market did this:

He ends up with 7.23 times the money he put into the market. (Simple model: invest and compound gains (losses) on the first day of each year.)

During my investment lifetime, the stock market has done this:

And I am faced with the realisation that I currently have 1.18 times what I have put into the market–I have gained 18% in the last 15 years.

One clear perspective difference is that my father is looking back on the last 20 years of gains as the model for what his and his peer’s individual investments got him. I, on the other had am looking forward to 20 years of investments with uncertainty. My 15% gains are more appropriately compared to my father’s 41% during his first 15 years of investing. Clearly, the bulk of my father’s gains come in the second half of the cycle, the last 20 years. But at the point I am in my life, he was well ahead.

I doubt the important difference is so much how things happened in the past as how things appear to be going forward. What sort of action do I believe will significantly and positively influence the outcome of prosperity for myself and my family and my community? Is this very different from the sorts of actions my father believed were effective at the same point in his life?

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