The MSE loss

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The mean squared error loss quantifies the error between a target variable $\vy$ and an estimate $\hat{\vy}$ for its value.

This loss function is defined as the mean of the squares of the individual losses between each components of $\vy$ and $\hat{\vy}$ . Let $\sn$ be the length of the vector $\vy$ .

$\lmse(\vy, \hat{\vy}) = \frac{1}{\sn} \sum_{\si = 1}^{\sn} (\vy_\si - \hat{\vy}_\si)^2$

The sum in the definition above is equal to the squared euclidean norm, so we can rewrite the definition as:

$\lmse(\vy, \hat{\vy}) = \frac{1}{\sn} \normtwo{\vy - \hat{\vy}}^2$

The difference vector is often named the residual and noted $\epsilon$ . It is the error vector between $\vy$ and the predicted value $\hat{\vy}$ :

$\epsilon = \vy - \hat{\vy}$

Using this vocabulary, the mean squared error loss is the squared norm of the residual, with a correction factor to account for the dimension:

$\lmse(\vy, \hat{\vy}) = \frac{1}{\sn} \normtwo{\epsilon}^2$ .

This can be visualized on the graph below.

TODO: make the graph.

The machine-learning notation

In our linear regression articles, we usually note the MSE loss like this:

$\lmse(\trainset, \vw)$

Where $\trainset$ is the trainset and $\vw$ is some vector of parameters.

In this situation, the vector $\vy$ is the output vector corresponding to our trainset. The estimator $\hat{\vy}$ is the predicted value:

$\hat{\vy} = \mx\vw$

where $\mx$ is the design matrix.

So we have:

$\lmse(\trainset, \vw) = \lmse(\vy, \mx\vw)$ .