Machine Learning Training: Hands-on Sessions
December 2021
Hands-on
This notebook provides hands-on sessions for the European Central Bank Machine Learning Training: “Machine learning for econometricians.”
The hands-on session use the programming language R. To run the codes you will need to download and install R and RStudio. More details on how to install R are available in the next chapter.
The schedule is the following:
Session | Subject | Schedule | |
---|---|---|---|
Session 1 | Gradient descent and overfitting | 1 December 9.30-11.30 | |
Session 2 | Random forest and SVM | 17 December 15.30-17.30 | |
Session 3 | Deep learning | 21 December 14.30-16.30 |
Required packages
After you have successfully installed R, you will need to install a few packages.
Session 1:
Optimisation:
Required packages: tidyverse, numDeriv, plot3D
If these are not installed, please run the following instructions in R:
install.packages("tidyverse", "numDeriv", "plot3D")
Overfitting:
Required packages: tidyverse, readxl, kableExtra, randomForest, ISLR, glmnet
If these are not installed, please run the following instructions in R:
install.packages( c("tidyverse", "readxl", "kableExtra", "randomForest", "ISLR", "glmnet") )
Session 2: Random forest and SVM: 17 December 15.30-17.30
Trees and Ensemble Methods:
Required packages: tidyverse, lubridate, arsenal, cowplot, corrplot, rpart, rpart.plot, ggtext, foreach
If these are not installed, please run the following instructions in R:
install.packages(c("tidyverse", "lubridate", "arsenal", "cowplot", "corrplot", "rpart", "rpart.plot", "ggtext", "foreach", "ipred", "lattice", "caret", "randomForest"))
Support Vector Machines:
Required packages: tidyverse, e1071
If these are not installed, please run the following instructions in R:
install.packages(c("tidyverse", "e1071"))
Session 3: Deep learning: 21 December 14.30-16.30
Single notebook:
Required packages: tidyverse, fastDummies, reshape2, keras
install.packages("tidyverse") install.packages("fastDummies") install.packages("reshape2")
To install Keras: please run the following instructions in R:
install.packages("tensorflow") install.packages("keras") library(keras) ::install_tensorflow() tensorflow::tf_config() tensorflowinstall_keras()
On one of my machines, I had to install Miniconda:
unlink(reticulate::miniconda_path(), recursive = TRUE) ::install_miniconda(path = reticulate::miniconda_path(), reticulateupdate = TRUE, force = FALSE) ::install_keras() keras