Monday, October 6, 2014

overfitting


In statistics and machine learning, overfitting occurs when a statistical model describes random error or noise instead of the underlying relationship. Overfitting generally occurs when a model is excessively complex, such as having too many parameters relative to the number of observations. A model which has been overfit will generally have poor predictive performance, as it can exaggerate minor fluctuations in the data.

The possibility of overfitting exists because the criterion used for training the model is not the same as the criterion used to judge the efficacy of a model. In particular, a model is typically trained by maximizing its performance on some set of training data. However, its efficacy is determined not by its performance on the training data but by its ability to perform well on unseen data. Overfitting occurs when a model begins to memorize training data rather than learning to generalize from trend. As an extreme example, if the number of parameters is the same as or greater than the number of observations, a simple model can learn to perfectly predict the training data simply by memorizing the training data in its entirety. Such a model will typically fail drastically on unseen data, as it has not learned to generalize at all.

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