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variance

nounAlso: standard deviation, σ, σ², var, second central moment

In plain wordsA number that grows the more widely something's possible values scatter away from its average, and is zero if it never varies. Its square root, the standard deviation, uses the same units as the values themselves.

  1. The averageexpected value, n.: The long-run average you would get if a chancy situation could be repeated many times — 3.5 for a fair die, even though no single roll shows 3.5., weighted by probability, of the square of a random variablerandom variable, n.: A quantity whose value depends on chance, such as the number rolled on a die or the next word a chatbot will write.'s departure from its own mean, Var(X) = E[(X − E[X])²], which can also be computed as E[X²] − (E[X])²; taking its square root gives the standard deviation σ, a measure of spread in the variable's own units. Variance is zero only for constants, adds across independent variables and scales with the square of any multiplier, so averaging n independent samples divides it by n — the basis of mini-batchmini-batch, n.: A small random handful of training examples that a model learns from in a single step. Training works through many such handfuls instead of studying the whole dataset at once. gradient estimates and of error bars. It shapes much of deep-learning practice: weight initializationweight initialization, n.: Choosing the random starting values of a neural network's internal numbers before training. Good starting values keep signals from fading away or blowing up as they pass through many layers. schemes choose weight variances that keep activationsactivation, n.: The numbers a neural network computes inside itself as it processes an input — a reading of which of its artificial neurons are firing, and how strongly, at that moment. and gradients from exploding or vanishing across layers; batch normalizationbatch normalization, n.: A layer that rescales the numbers flowing through a network so that, across each batch of training examples, they keep a steady average and spread. It makes deep networks train faster and more reliably. and layer normalizationlayer normalization, n.: A layer that rescales the numbers inside a network, separately for each example, so they keep a steady average and spread. It, or a simpler variant, is a standard part of the models behind today's chatbots. rescale activations to unit variance; AdamAdam, prop. n.: The most widely used method for training neural networks. It smooths the direction of updates over time and automatically sets a separate step size for each setting based on how large its recent changes have been. divides each update by the square root of a running estimate of the gradient's second moment; and policy-gradient methods use baselines to reduce the variance of their estimates. In the bias–variance tradeoffbias–variance tradeoff, n.: The balancing act between models too simple to capture a pattern and models so flexible that they also learn the noise. The best predictions usually come from somewhere in between., 'variance' is a fitted model's sensitivity to the particular training sample.

    Across five seeds the score varied with a standard deviation of 1.3 points, so a 0.5-point gain means little.

Var⁡(X)=E[(X−E[X])2]=E[X2]−E[X]2\operatorname{Var}(X) = \mathbb{E}\big[(X - \mathbb{E}[X])^2\big] = \mathbb{E}[X^2] - \mathbb{E}[X]^2

Origin

Karl Pearson introduced 'standard deviation' in 1893–1894. Ronald Fisher named its square the 'variance' in a 1918 paper on Mendelian inheritance and built the analysis of variance on it (Statistical Methods for Research Workers, 1925). The underlying mean squared deviation goes back to Gauss and Laplace.

Related

See also
  • expected valueexpected value, n.: The long-run average you would get if a chancy situation could be repeated many times — 3.5 for a fair die, even though no single roll shows 3.5.
  • covariancecovariance, n.: A measure of whether two quantities tend to rise and fall together, move in opposite directions, or show no consistent relationship.
  • normal distributionnormal distribution, n.: The familiar bell-shaped curve: most values cluster near the average, and values become rapidly rarer the farther they lie from it. Measurement errors and adult heights roughly follow it.
  • bias–variance tradeoffbias–variance tradeoff, n.: The balancing act between models too simple to capture a pattern and models so flexible that they also learn the noise. The best predictions usually come from somewhere in between.
  • weight initializationweight initialization, n.: Choosing the random starting values of a neural network's internal numbers before training. Good starting values keep signals from fading away or blowing up as they pass through many layers.
  • central limit theoremcentral limit theorem, n.: The mathematical reason bell curves are everywhere: add up many small independent random effects and the total is almost always bell-shaped, whatever the individual effects look like.

Sources

  1. Fisher, R. A. (1918). The Correlation between Relatives on the Supposition of Mendelian Inheritance. Transactions of the Royal Society of Edinburgh, 52.

Mentioned in

bias–variance tradeoffbias–variance tradeoff, n.: The balancing act between models too simple to capture a pattern and models so flexible that they also learn the noise. The best predictions usually come from somewhere in between., central limit theoremcentral limit theorem, n.: The mathematical reason bell curves are everywhere: add up many small independent random effects and the total is almost always bell-shaped, whatever the individual effects look like., coefficient of determinationcoefficient of determination, n.: A score for numerical predictions showing how much of the variation in the true values a model accounts for, compared with always guessing the average: 1 is perfect, 0 is no better than the average., confidence intervalconfidence interval, n.: A range of plausible values for something being estimated, such as 'accuracy 82 percent, give or take 2 points', reflecting the uncertainty that comes from measuring only a sample., expected valueexpected value, n.: The long-run average you would get if a chancy situation could be repeated many times — 3.5 for a fair die, even though no single roll shows 3.5., Monte Carlo methodMonte Carlo method, n.: Estimating an answer by running many random trials and averaging the results — like estimating the odds in a card game by dealing thousands of hands instead of calculating., normal distributionnormal distribution, n.: The familiar bell-shaped curve: most values cluster near the average, and values become rapidly rarer the farther they lie from it. Measurement errors and adult heights roughly follow it., random variablerandom variable, n.: A quantity whose value depends on chance, such as the number rolled on a die or the next word a chatbot will write., samplingsampling, n.: Picking some items at random from a larger set or from a range of possibilities — surveying 1,000 voters, say, or letting an AI choose its next word by a weighted lottery., covariancecovariance, n.: A measure of whether two quantities tend to rise and fall together, move in opposite directions, or show no consistent relationship., importance samplingimportance sampling, n.: A shortcut for estimating averages: draw samples from a convenient source, then reweight each one to correct for how much more or less likely it would be under the source you actually care about.