How to calculate Akaike Information Criterion and BIC from a Neural Network?

조회 수: 114(최근 30일)
Javier Bastante
Javier Bastante 2017년 2월 13일
답변: David Franco 2017년 8월 28일
I know "aic" function exists, but I don't know how to use it with fitting neural networks.
Any help?
Thank you in advance

답변(2개)

David Franco
David Franco 2017년 8월 28일
After training the network and simulating the outputs:
[net,tr] = train(net,inputs,targets);
output = sim(net,inputs);
Get the parameters and calculate de criterions (Sarle, 1995):
% Getting the training targets
trainTargets = gmultiply(targets,tr.trainMask);
SSE = sse(net,trainTargets,output); % Sum of Squared Errors for the training set
n = length(tr.trainInd); % Number of training cases
p = length(getwb(net)); % Number of parameters (weights and biases)
% Schwarz's Bayesian criterion (or BIC) (Schwarz, 1978)
SBC = n * log(SSE/n) + p * log(n)
% Akaike's information criterion (Akaike, 1969)
AIC = n * log(SSE/n) + 2 * p
% Corrected AIC (Hurvich and Tsai, 1989)
AICc = n * log(SSE/n) + (n + p) / (1 - (p + 2) / n)
References:
  • Akaike, H. (1969), "Fitting Autoregressive Models for Prediction". Annals of the Institute of Statistical Mathematics, 21, 243-247.
  • Hurvich, C.M., and Tsai, C.L. (1989), "Regression and time-series model selection in small samples". Biometrika, 76, 297-307.
  • Sarle, W.S. (1995), "Stopped Training and Other Remedies for Overfitting". Proceedings of the 27th Symposium on the Interface of Computing Science and Statistics, 352-360.
  • Schwarz, G. (1978), "Estimating the Dimension of a Model". Annals of Statistics, 6, 461-464.

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