Exploring the stability of systems of ordinary differential equations – an example using the Lotka-Volterra system of equations

Stability when dealing with dynamical systems is important
because we generally like the systems we make decisions on to be predictable.
As such, we’d like to know whether a small change in initial conditions could
lead to similar behavior. Do our solutions all tend to the same point? Would
slightly different initial conditions lead to the same or to a completely
different point for our systems.

This blogpost will consider the stability of dynamical systems of the form:



The equilibria of which are denoted by x* and y*,

I will use the example of the Lotka-Volterra system of
equations, which is the most widely known method of modelling many predator-prey/parasite-host interactions encountered in natural systems. The Lotka-Volterra predator-prey equations were discovered independently by both Alfred Lotka and Vito Volterra in 1925-26. Volterra got to these equations while trying to explain why, immediately after WWI, the number of predatory fish was much larger than before the war.

The system is described by the following equations:



Where a, b, c, d > 0 are the parameters describing the
growth, death, and predation of the fish.

In the absence of predators, the prey population (x) grows
exponentially with an intrinsic rate of growth b.

Total predation is proportional to the abundance of prey and
the abundance of predators, at a constant predation rate a.

New predator abundance is proportional to the total
predation (axy) at a constant conversion rate c.

In the absence of prey, the predator population decreases at
a mortality rate d.

The system demonstrates an oscillating behavior, as
presented in the following figure for parameters a=1, b=1, c=2, d=1.


Volterra’s explanation for the rise in the numbers of
predatory fish was that fishing reduces the rate of increase of the prey
numbers and thus increases the rate of decrease of the predator. Fishing does
not change the interaction coefficients. So, the number of predators is
decreased by fishing and the number of prey increases as a consequence. Without
any fishing activity (during the war), the number of predators increased which
also led to a decrease in the number of prey fish.

To determine the stability of a system of this form, we
first need to estimate its equilibria, i.e. the values of x and y for which:


An obvious equilibrium exists at x=0 and y=0, which kinda
means that everything’s dead.

We’ll first look at a system that’s still alive, i.e x>0
and y>0:






Looking at these expressions for the equilibria we can also
see that the isoclines for zero growth for each of the species are straight
lines given by b/a for the prey and d/ca for the predator, one horizontal and
one vertical in the (x,y) plane.

In dynamical systems, the behavior of the system near an
equilibrium relates to the eigenvalues of the Jacobian (J) of F(x,y) at the equilibrium.
If the eigenvalues all have real parts that are negative, then the equilibrium
is considered to be a stable node; if the eigenvalues all have real parts that
are positive, then the equilibrium is considered to be an unstable node. In the
case of complex eigenvalues, the equilibrium is considered a focus point and
its stability is determined by the sign of the real part of the eigenvalue.

I found the following graphic from scholarpedia to be a
useful illustration of these categorizations.


So we can now evaluate the stability of our equilibria.
First we calculate the Jacobian of our system and then plug in our estimated


To find the eigenvalues of this matrix we need to find the
values of λ that satisfy: det⁡(J-λI)=0  where I is
the identity matrix and det denotes the determinant.


Our eigenvalues are therefore complex with their real parts equal to 0. The equilibrium is therefore a focus point, right between instability and asymptotic stability. What this means for the points that start out near the equilibrium is that they tend to both converge towards the equilibrium and away from it. The solutions of this system are therefore periodic, oscillating around the equilibrium point, with a period image021, with no trend either towards the
equilibrium or away from it.


One can arrive at the same conclusion by looking at the
trace (τ) of the Jacobian and its determinant (Δ).



The trace is exactly zero and the determinant is positive
(both d,b>0) which puts the system right in between stability and

Now let’s look into the equilibrium where x*=0 and y*=0, aka
the total death.





Both b and d are positive real numbers which means that the
eigenvalues will always have real values of different signs. This makes the
(0,0) an unstable saddle point. This is important because if the equilibrium of
total death were a stable point, initial low population levels would tend to
converge towards their extinction. The fact that this equilibrium is unstable
means that the dynamics of the system make it difficult to achieve total death
and that prey and predator populations could be infinitesimally close to zero
and still recover.

Now consider a system where we’ve somehow killed all the
predators (y=0). The prey would continue to grow exponentially with a growth
rate b. This is generally unrealistic for real-life systems because it assumed
infinite resources for the prey. A more realistic model would consider the prey
to exhibit a logistic growth, with a carrying capacity K. The carrying capacity of a biological species is the maximum population size of the species that can be sustained indefinitely given the necessary resources.

The model therefore becomes:



Where a, b, c, d, K > 0.

To check for this system’s stability we have to go through
the same exercise.

The predator equation has remained the same so:


For zero prey growth:





Calculating the eigenvalues becomes a tedious exercise at
this point and the time of writing is 07:35PM on a Friday. I’d rather apply a
small trick instead and use the isoclines to derive the stability of the system. The isocline for the predator zero-growth has remained the same (d/ca), which is a straight line (vertical on the (x,y) vector plane we draw before). The isocline for the prey’s zero-growth has changed to:


Which is again a straight line with a slope of –b/aK, i.e.,
it’s decreasing when moving from left to right (when the prey is increasing). Now looking at the signs in the Jacobian of the first system:


We see no self-dependence for each of the two species (the
two 0), we see that as the predator increases the prey decreases (-) and that
as the prey increases the predator increases too (+).

For our logistic growth the signs in the Jacobian change to:


Because now there’s a negative self-dependence for the prey-as its numbers increase its rate of growth decreases. This makes the trace (τ) of the Jacobian negative and the determinant positive, which implies that our system is now a stable system. Plotting the exact same dynamic system but now including a carrying capacity, we can see how the two populations converge to specific numbers.



Let your Makefile make your life easier

This semester I’m taking my first official CS class here at Cornell, CS 5220 Applications of Parallel Computers taught by Dave Bindel (for those of you in the Reed group or at Cornell, I would definitely recommend taking this class, which is offered every other year, once you have some experience coding in C or C++). In addition to the core material we’ve been learning in the class, I’ve been learning a lot by examining the structure and syntax of the code snippets written by the instructor and TA that are offered as starting points and examples for our class assignments. One element in particular  that stood out to me from our first assignment was the many function calls made through the makefile. This post will first take a closer look into the typical composition of a makefile and then examine how we can harness the structure of a makefile to help improve workflow on complicated projects.

Dissecting a typical makefile

On the most basic level, a makefile simply consists of series of rules that each have an associated set of actions. Makefiles are how you use the “make” utility, a software package installed on all linux systems. Make has its own syntax similar to bash but with some distinct idiosyncrasies. For example, make allows you to store a snippet of code in whats called a “macro” (these are pretty much analogous to variables in most other languages).  A macro to store the flags you would like to run with your compiler could be defined like this:

CFLAGS  = -g -Wall

To referenced the CFLAGS macro, use a dollar sign and brackets, like this:


There are a series of “special” predifined macros that can be used in any makefile which are fairly common, you can find them here.

Now that we’ve discussed makefile syntax, lets take a look at how rules are structured within a makefile. A rule specified by a makefile has the following shape:

target: prerequisites

The target is usually the name of the file that is generated by  a program, for example an executable or object file. A prerequisite is the specified input used to create the target (which can often depend on several files). The recipe is the action that make carries out for the intended target (note: this must be indented at every line).

For example, a rule to build an executable called myProg from a c file called myProg.c using the gcc compiler with flags defined in CFLAGS might look like this:

myProg: myProg.c
    gcc $(CFLAGS) $<

Make the makefile do the work

The most common rules within makefiles call the compiler to build code (hence the name “makefile”) and many basic makefiles are used for this sole purpose. However, a rule simply sends a series commands specified by its recipe to the command line and a rule can actually specify any action or series of actions that you want. A ubiquitous example of a rule that specifies an action is “clean”, which may be implemented like this:

    rm -rf *.o $(PROGRAM)

Where PROGRAM is a macro containing the names of the executable compiled by the makefile.

In this example, the rule’s target is an action rather than an output file. You can call “clean” by simply typing “make clean” into the command line and you will remove all .o files and the executable PROGRAM from your working directory.

Utilizing this application of rules, we can now have our makefile do a lot of our command line work for us. For example, we could create a rule called “run” which submits a series of pbs jobs into a cluster.

    qsub job-$*.pbs

We can then enter “make run” into the command line to execute this rule, which will submit the .pbs jobs for us (note that this will not perform any of the other rules defined in the makefile). Using this rule may be handy if we have a large number of jobs to submit.

Alternatively we could  make a rule called “plot” which calls a plotting function from python:

    python plotter.py $(PLOTFILES)

Where PLOTFILES is a macro containing the name of files to be plotted and plotter.py is a python function that takes the file names as input.

Those are just two examples (loosely based on a makefile given in CS 5220) of how you can use a makefile to do your command line work for you, but the possibilities are endless!! Ok, maybe that’s getting a bit carried away, but I do find this functionality to be a simple and elegant way to improve the efficiency of your workflow on complex projects.

For some background on makefiles, I’d recommend taking a look a Billy’s post from last year. I also found the GNU make user manual helpful as well as this tutorial from Swarthmore that has some nice example makefiles.

Water Programming Blog Guide (Part 2)

Water Programming Blog Guide (Part 1)

This second part of the blog guide will cover the following topics:

  1. Version control using git
  2. Generating maps and working with spatial data in python
  3. Reviews on synthetic streamflow and synthetic weather generation
  4. Conceptual posts

1. Version Control using git

If you are developing code it’s worth the time to gain familiarity with git to maintain reliable and stable development.  Git allows a group of people to work together developing large projects minimizing the chaos when multiple people are editing the same files.   It is also valuable for individual projects as it allows you to have multiple versions of a project, show the changes that you have made over time and undo those changes if necessary.  For a quick introduction to git terminology and functionality, check out  Getting Started: Git and GitHub. The Intro to git Part 1: Local version control and  Intro to git Part 2: Remote Repositories  posts will guide you through your first git project (local or remote) while providing a set of useful commands.  Other specialized tips can be found in: Git branch in bash prompt and GitHub Pages. And if you are wondering how to use git with pycharm, you’ll find these couple of posts useful: A Guide to Using Git in PyCharm – Part 1A Guide to Using Git in PyCharm – Part 2

2. Generating maps and working with spatial data in python

To learn more about python’s capabilities on this subject,  this  lecture  summarizes key python libraries relevant for spatial analysis.  Also,  Julie and the Jons have documented their efforts when working with spatial data and with python’s basemap, leaving us with some valuable examples:

Working with raster data

Python – Extract raster data value at a point

Python – Clip raster data with a shapefile

Using arcpy to calculate area-weighted averages of gridded spatial data over political units (Part 1) , (Part 2)

Generating maps

Making Watershed Maps in Python

Plotting geographic data from geojson files using Python

Generating map animations

Python makes the world go ’round

Making Movies of Time-Evolving Global Maps with Python

3. Reviews on synthetic streamflow and weather generation

We are lucky to have thorough reviews on synthetic weather and synthetic streamflow generation written by our experts Julie and Jon L.  The series on synthetic weather generation consists of five parts. Part I and Part II cover parametric and non-parametric methods, respectively. Part III covers multi-site generation.  Part IV discusses how to modify both parametric and non-parametric methods to simulate weather with climate change projections and finally Part V covers how to simulate weather with seasonal climate forecasts:

Synthetic Weather Generation: Part I , Part II , Part III , Part IV , Part V

The synthetic streamflow review provides a historical perspective while answering key questions on “Why do we care about synthetic streamflow generation?  “Why do we use it in water resources planning and management? and “What are the different methods available?

Synthetic streamflow generation

4.  Conceptual posts

Multi-objective evolutionary algorithms (MOEAs)

We frequently use multi-objective evolutionary algorithms due to their power and flexibility to solve multi-objective problems in water resources applications, so you’ll find sufficient documentation in the blog on basic concepts, applications and performance metrics:

MOEAs: Basic Concepts and Reading

You have a problem integrated into your MOEA, now what?

On constraints within MOEAs

MOEA Performance Metrics

Many Objective Robust Decision Making (MORDM) and Problem framing

The next post discusses the MORDM framework which combines many objective evolutionary optimization, robust decision making, and interactive visual analytics to frame and solve many objective problems under uncertainty.  This is a valuable reading along with the references within.  The second post listed provides a systematic way of thinking about problem formulation and defines the key components of a many-objective problem:

Many Objective Robust Decision Making (MORDM): Concepts and Methods

“The Problem” is the Problem Formulation! Definitions and Getting Started

Econometric analysis and handling multi-variate data

To close this second part of the blog guide, I leave you with a couple selected topics  from the Econometrics and Multivariate statistics courses at Cornell documented by Dave Gold:

A visual introduction to data compression through Principle Component Analysis

Dealing With Multicollinearity: A Brief Overview and Introduction to Tolerant Methods


Introduction To Econometrics: Part II- Violations of OLS Assumptions & Methods for Fixing them

Regression is the primary tool used in econometrics to infer relationships between a group of explanatory variables, X and a dependent variable, y. My previous post focused on the mechanics of Ordinary Least Squares (OLS) Regression and outlined key assumptions that, if true, make OLS estimates the Best Linear Unbiased Estimator (BLUE) for the coefficients in the regression:

y = \beta X+\epsilon

This post will discuss three common violations of OLS assumptions, and explain tools that have been developed for dealing with these violations. We’ll start with a violation of the assumption of a linear relationship between X and y, then discuss heteroskedasticity in the error terms and the issue of endogeniety.


If the relationship between X and y is not linear, OLS can no longer be used to estimate beta. A nonlinear regression of y on X has the form:

y = g(X\beta)+\epsilon

Where  g(X\beta) is the functional form of the nonlinear relationship between X and y and epsilon is the error term. Beta can be estimated using Nonlinear Least Squares regression (NLS). Similar  to OLS regression, NLS seeks to minimize the sum of the square error term.

\hat{\beta} = argmin(\beta)  \epsilon'\epsilon = (y-g(x\beta))^2

To solve for beta, we again take the derivative and set it equal to zero, but for the nonlinear system there is no closed form solution, so the estimators have to be found using numerical optimization techniques.

The variance of a NLS estimator is:

\hat{Var}_{\hat{\beta}_{NLS}} = \hat{\sigma^2}(\hat{G}'\hat{G})^{-1}

Where G is a matrix of partial derivatives of g with respect to each Beta.

Modern numerical optimization techniques can solve many NLS equations quite easily making NLS a common alternative to OLS regression especially when there is a hypothesized functional form for the relationship between X and y.


Heteroskedasticity arises within a data set when the errors do not have a constant variance with respect to X. In equation form, under heteroskedasticity:

E(\epsilon_i^2|X ) \neq \sigma^2

The presence of heteroskedasticity  increases the variance of Beta estimators found using OLS regression, reducing the efficiency of the estimator and causing it to no longer be the BLUE. As put by Allison (2012), OLS on heteroskedastic data puts “equal weight on all observations when, in fact, observations with larger disturbances contain less information”.

To fix this problem, econometric literature provides two options which both use a form of weighting to correct for differences in variance amongst the error terms:

  1. Use the OLS estimate for beta, but calculate the variance of beta with a robust variance-covariance matrix .
  2. Estimate Beta using Feasible Generalized Least Squares (FGLS)

Let’s begin with the first strategy, using OLS beta estimates with a robust variance-covariance matrix. The robust variance-covariance matrix can be derived using the Generalized Method of Moments (GMM) for the sake of brevity, I’ll omit the derivation here and skip to the final result:

\hat{var}(\hat{\beta}) = (X'X)^{-1}(X'\hat{D}X)(X'X)^{-1}

Where \hat{D} is a matrix of square residuals from the OLS regression:

D matrix

The second strategy, estimation using FGLS, requires a more involved process for estimating beta. FGLS can be accomplished through 3 steps:

  1. Use OLS to find OLS estimate for beta and calculate the residuals:

\hat{\epsilon}_i = y_i-x_i \hat{\beta}_{OLS}

2. Regress the error term on a subset of X, which we will call Z, to get an estimate of a new parameter, theta (denoted with a tilde, but wordpress makes it difficult for me to add this in the middle of a paragraph). We then use this parameter to estimate the variance of the error term, sigma squared,  for each observation:

\hat{\sigma}^2_i = z_i\tilde{\theta}

A diagonal matrix, D (different than the D used for the robust variance-covariance matrix), is then constructed using these variance estimates.

3. Finally, we use the matrix D to find our FGLS estimator for beta:

\hat{\beta}_{FGLS} = (X'\hat{D}^{-1}X)^{-1}(X'\hat{D}^{-1}y)

The variance of of the FGLS beta etimate is then defined as:

\hat{var}(\hat{\beta}_{FGLS} = (X'\hat{D}X)^{-1}


Endogeneity arises when explanatory variables are correlated with the error term in a regression. This may be a result of simultaneity, when errors and explanatory variables are effected by the same exogenous influences, omitted variable bias,  when an important variable is left out of a regression, causing the over- or underestimation of the effect of other explanatory variables and the error term, measurement error or a lag in the dependent variable. Endogeniety can be hard to detect and may cause regression large errors in regression results.

A common way of correcting for endogeniety is through Instrumental Variables (IVs). Instrumental variables are explanatory variables that are highly correlated with variables that cause endogeniety but are exogenous to the system. Examples include using proximity to cardiac care centers as an IV for heart surgery when modeling health or state cigarette taxes as an IV for maternal smoking rate when modeling infant birth weight (Angrist and Kruger, 2001). For an expansive but accessible overview of IVs and their many applications, see Angrist and Kruger (2001).

A common technique for conducting a regression using IVs is 2 Stage Least Squares (2SLS) regression. The two stages of 2SLS are as follows:

  1. Define Z as a new set of explanatory variables, which omits the endogenous variables and includes the IVs (which are usually not included in the original OLS regression).
  2. Project Z onto the column space of X.
  3. Estimate the 2SLS using this projection:

\hat{\beta}_{2SLS} = [X'Z(Z'Z)^{-1}Z'X]^{-1}[X'Z(Z'Z)^{-1}Z'y]

Using 2SLS regression to correct for endogeneity is fairly simple, however identifying good IVs for an endogenous variable can be extremely difficult. Finding a good IV (or set of IVs) can be enough to get one published in an economics journal (at least that’s what my economist friend told me).

Concluding thoughts

These two posts have constituted an extremely brief introduction to the field of econometrics meant for engineers who may be interested in learning about common empirical tools employed by economists. We covered the above methods in much more detail in class and also covered other topics such as panel data, Generalize Method Of Moments estimation, Maximum Likelihood Estimation, systems of equations in regression and discrete choice modeling. Overall, I found the course (AEM 7100) to be a useful introduction to a field that I hope to learn more about over the course of my PhD.


Allison, Paul D. (2012). “Multiple regression: a primer. Pine Forge. Thousand Oaks, CA: Press Print.

Angrist, J.; Krueger, A. (2001). “Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments”. Journal of Economic Perspectives. 15 (4): 69–85. doi:10.1257/jep.15.4.69.

An Introduction To Econometrics: Part 1- Ordinary Least Squares Regression

I took a PhD level econometrics course this semester in the Applied Economics and Management department here at Cornell and I thought I’d share some of what I learned. Overall, I enjoyed the course and learned a great deal. It was very math and theory heavy, but the Professor Shanjun Li did a nice job keeping the class lively and interesting. I would recommend the class to future EWRS students who may be looking for some grounding in econometrics, provided they’ve taken some basic statics and linear algebra courses.

So lets start with the basics, what does the term “econometrics” even mean? Hansen (2010) defined econometrics as “the unified study of economic models, mathematical statistics and economic data”. After taking this introductory course, I’m inclined to add my own definition: econometrics is “a study of the problems with regression using Ordinary Least Squares (OLS) and how to solve them”. This is obviously a gross oversimplification of the field, however, regression through OLS was the primary tool used for finding insights and patterns within data, and we spent the vast majority of the course examining it. In this post I’ll briefly summarize OLS mechanics and classical OLS assumptions. In my next post, I’ll detail methods for dealing with violations of OLS assumptions. My hope is that reading this may help you understand some key terminology and the reasoning behind why certain econometric tools are employed.

OLS mechanics

Our primary interest when creating an econometric model is to estimate some dependent variable, y, using a observations from a set of independent variables, X. Usually y is a vector of length n, where n is the number of observations, and X is a matrix of size (n x k) where k is the number of explanatory variables (you can think of X as a table of observations, where each column contains a different variable and each row represents an observation of that variable). The goal of OLS regression is to estimate the coefficients, beta, for the model:

y = X\beta+\epsilon

Where beta is a k by 1 vector of coefficients on X and epsilon is a k by 1 vector of error terms.

OLS regression estimates beta by minimizing the sum of the square error term (hence the name “least squares”). Put in matrix notation, OLS estimates beta using the equation:

\hat{\beta} = argmin_{\beta} SSE_N(\beta) = \epsilon ' \epsilon

The optimal beta estimate can be found through the following equations:

\epsilon = y-X\hat{\beta}

\epsilon ' \epsilon =  (y-X\hat{\beta})'(y-X\hat{\beta})

Taking the derivative and setting it equal to zero:

2X'y+2X'X\hat{\beta} = 0

Then solving for the beta estimate:

\hat{\beta} = (X'X)^{-1}X'y


Estimation of y using OLS regression can be visualized as the orthogonal projection of the vector y onto the column space of X. The estimated error term, epsilon, is the orthogonal distance between the projection and the true vector y.  Figure 1 shows this projection for a y that is regressed on two explanatory variables, X1 and X2.


Figure 1: OLS regression as an orthogonal projection of vector y onto the column space of matrix X. The error term, \hat{\epsilon}, is the orthogonal distance between y and X\hat{\beta}. (Image source: Wikipedia commons)

 Assumptions and properties of OLS regression

The Gauss-Markov Theorem states that under a certain set of assumptions, the OLS estimator is the Best Linear Unbiased Estimator (BLUE) for vector y.

To understand the full meaning of the Gauss-Markov theorem, it’s important to define two fundamental properties that can be used to describe estimators, consistency and efficiency. An estimator is consistent if its value will converge to the true parameter value as the number of observations goes to infinity. An estimator is efficient if its asymptotic variance is no larger than the asymptotic variance of any other possible consistent estimator for the parameter. In light of these definitions, the Gauss-Markov Theorem can be restated as: estimators found using OLS will be the most efficient consistent estimator for beta as long as the classical OLS assumptions hold. The remainder of this post will be devoted to describing the necessary assumptions for the OLS estimator to be the BLUE and detailing fixes for when these assumptions are violated.

The four classical assumptions for OLS to be the BLUE are:

  1. Linearity: The relationship between X and y is linear, following the functional form:

y = X\beta+\epsilon.

2. Strict exogeneity: The error \epsilon terms should be independent of the value of the explanatory variables, X. Put in equation form, this assumption requires:

E(\epsilon_i|X) = 0

E(\epsilon_i) =0

3.  No perfect multicollinearity: columns of X should not be correlated with each other (see my earlier post on dealing with mulitcollinearity for fixes for violations of this assumption).

4. Spherical Error: Error terms should be homoskedastic, meaning they are evenly distributed around the X values. Put in equation form:

E(\epsilon_i^2|X) =\sigma^2

Where \sigma^2 is a constant value.

E(\epsilon_i \epsilon_j|X)=0

Using assumption 4, we can define the variance of \hat{\beta} as:

var(\hat{\beta}_{OLS}) = \sigma^2(X'X)^{-1}

If assumptions 1-4 hold, then the OLS estimate for beta is the BLUE, if however, any of the assumptions are broken, we must employ other methods for estimating our regression coefficients.

In my next post I’ll detail the methods econometricians use when these assumptions are violated.


Hansen, Bruce. “Econometrics”. 2010. University of Wisconsin


A visual introduction to data compression through Principle Component Analysis

Principle Component Analysis (PCA) is a powerful tool that can be used to create parsimonious representations of a multivariate data set. In this post I’ll code up an example from Dan Wilks’ book Statistical Methods in the Atmospheric Sciences to visually illustrate the PCA process. All code can be found at the bottom of this post.

As with many of the examples in Dr. Wilks’ excellent textbook, we’ll be looking at minimum temperature data from Ithaca and Canandaigua, New York  (if anyone is interested, here is the distance between the two towns).  Figure 1 is a scatter plot of the minimum temperature anomalies at each location for the month of January 1987.


Figure 1: Minimum temperature anomalies in Ithaca and Canandaigua, New York in January 1987

As you can observe from Figure 1, the two data sets are highly correlated, in fact, they have a Pearson correlation coefficient of 0.924. Through PCA, we can identify the primary mode of variability within this data set (its largest “principle component”) and use it to create a single variable which describes the majority of variation in both locations. Let x define the matrix of our minimum temperature anomalies in both locations. The eigenvectors (E) of the covariance matrix of x describe the primary modes variability within the data set. PCA uses these eigenvectors to  create a new matrix, u,  whose columns contain the principle components of the variability in x.

u = xE

Each element in u is a linear combination of the original data, with eigenvectors in E serving as a kind of weighting for each data point. The first column of u corresponds to the eigenvector associated with the largest eigenvalue of the covariance matrix. Each successive column of u represents a different level of variability within the data set, with u1 describing the direction of highest variability, u2 describing the direction of the second highest variability and so on and so forth. The transformation resulting from PCA can be visualized as a rotation of the coordinate system (or change of basis) for the data set, this rotation is shown in Figure 2.

PCA visualization

Figure 2: Geometric interpretation of PCA

As can be observed in Figure 2, each data point can now be described by its location along the newly rotated axes which correspond to its corresponding value in the newly created matrix u. The point (16, 17.8), highlighted in Figure 2, can now be described as (23, 6.6) meaning that it is 23 units away from the origin in the direction of highest variability and 6.6 in the direction of second highest variability. As shown in Figure 2, the question of “how different from the mean” each data point is can mostly be answered by looking at its  corresponding u1 value.

Once transformed, the original data can be recovered through a process known as synthesis. Synthesis  can be thought of as PCA in reverse. The elements in the original data set x, can be approximated using the eigenvalues of the covariance matrix and the first principle component, u1.

\tilde{x} = \tilde{u}\tilde{E}^T


\tilde{x}\hspace{.1cm} is\hspace{.1cm} the\hspace{.1cm} reconstructed\hspace{.1cm} data\hspace{.1cm} set

\tilde{u}\hspace{.1cm} is\hspace{.1cm} the\hspace{.1cm} PCs\hspace{.1cm} used \hspace{.1cm} for \hspace{.1cm} reconstruction\hspace{.1cm} (in\hspace{.1cm} our\hspace{.1cm} case\hspace{.1cm} the\hspace{.1cm} first\hspace{.1cm} column)

\tilde{E}\hspace{.1cm} is \hspace{.1cm} the \hspace{.1cm} eigenvector\hspace{.1cm} of \hspace{.1cm} the \hspace{.1cm} PCs \hspace{.1cm} used

For our data set, these reconstructions seem to work quite well, as can be observed in Figure 3.




Data compression through PCA can be a useful alternative tolerant methods for dealing with multicollinearity, which I discussed in my previous post. Rather than running a constrained regression, one can simply compress the data set to eliminate sources of multicollinearity. PCA can also be a helpful tool for identifying patterns within your data set or simply creating more parsimonious representations of a complex set of data. Matlab code used to create the above plots can be found below.

% Ithaca_Canandagua_PCA
% By: D. Gold
% Created: 3/20/17

% This script will perform Principle Component analysis on minimum
% temperature data from Ithaca and Canadaigua in January, 1987 provided in 
% Appendix A of Wilks (2011). It will then estimate minimum temperature
% values of both locations using the first principle component.

%% create data sets
clear all

% data from appendix Wilks (2011) Appendix A.1
Ith = [19, 25, 22, -1, 4, 14, 21, 22, 23, 27, 29, 25, 29, 15, 29, 24, 0,... 
 2, 26, 17, 19, 9, 20, -6, -13, -13, -11, -4, -4, 11, 23]';

Can = [28, 28, 26, 19, 16, 24, 26, 24, 24, 29, 29, 27, 31, 26, 38, 23,... 
 13, 14, 28, 19, 19, 17, 22, 2, 4, 5, 7, 8, 14, 14, 23]';

%% center the data, plot temperature anomalies, calculate covariance and eigs

% center the data
x(:,1) = Ith - mean(Ith);
x(:,2) = Can - mean(Can);

% plot anomalies
xlabel('Ithaca min temp anomaly ({\circ}F)')
ylabel('Canandagua min temp anomaly ({\circ}F)')

% calculate covariance matrix and it's corresponding Eigenvalues & vectors
S = cov(x(:,1),x(:,2));
[E, Lambda]=eigs(S);

% Identify maximum eigenvalue, it's column will be the first eigenvector
max_lambda = find(max(Lambda)); % index of maximum eigenvalue in Lambda
idx = max_lambda(2); % column of max eigenvalue

%% PCA
U = x*E(:,idx);

%% synthesis
x_syn = E(:,idx)*U'; % reconstructed values of x

% plot the reconstructed values against the original data
plot(1:31,x(:,1) ,1:31, x_syn(1,:),'--')
xlim([1 31])
xlabel('Time (days)')
ylabel('Ithaca min. temp. anomalies ({\circ}F)')
legend('Original', 'Reconstruction')
plot(1:31, x(:,2),1:31, x_syn(2,:)','--')
xlim([1 31])
xlabel('Time (days)')
ylabel('Canadaigua min. temp. anomalies ({\circ}F)')
legend('Original', 'Reconstruction')



Wilks, D. S. (2011). Statistical methods in the atmospheric sciences. Amsterdam: Elsevier Academic Press.

Dealing With Multicollinearity: A Brief Overview and Introduction to Tolerant Methods

This semester I’m taking a Multivariate statistics course taught by Professor Scott Steinschneider in the BEE department at Cornell. I’ve been really enjoying the course thus far and thought I would share some of what we’ve covered in the class with a blog post. The material below on multicollinearity is from Dr. Steinschneider’s class, presented in my own words.

What is Multicollinearity?

Multicollinearity is the condition where two or more predictor variables in a statistical model are linearly related (Dormann et. al. 2013). The existence of multicollinearity in your data set can result in an increase of the variance of regression coefficients leading to unstable estimation of parameter values. This in turn can lead to erroneous identification of relevant predictors within a regression and detracts from a model’s ability to extrapolate beyond the range of the sample it was constructed with. In this post, I’ll explain how multicollinearity causes problems for linear regression by Ordinary Least Squares (OLS), introduce three metrics for detecting multicollinearity and detail two “Tolerant Methods” for dealing with multicollinearity within a data set.

How does multicollinearity cause problems in OLS regression?

To illustrate the problems caused by multicollinearity, let’s start with a linear regression:

y=x\beta +\epsilon


y=x\beta +\epsilon

x = a \hspace{.1 cm} vector \hspace{.1 cm} of \hspace{.1 cm} predictor \hspace{.1 cm} variables

\beta = a \hspace{.1 cm} vector \hspace{.1 cm} of \hspace{.1 cm} coefficients

\epsilon =  a \hspace{.1 cm} vector \hspace{.1 cm} of \hspace{.1 cm} residuals

The Gauss-Markov theorem states that the Best Linear Unbiased Estimator (BLUE) for each  coefficient can be found using OLS:

\hat{\beta}_{OLS} = (x^Tx)^{-1}x^Ty

This  estimate will have a variance defined as:

var(\hat{\beta}_{OLS}) =\sigma^2 (x^Tx)^{-1}


\sigma^2 = the \hspace{.1 cm} variance\hspace{.1 cm} of \hspace{.1 cm} the\hspace{.1 cm} residuals

If you dive into the matrix algebra, you will find that the term (xTx) is equal to a matrix with ones on the diagonals and the pairwise Pearson’s correlation coefficients (ρ) on the off-diagonals:

(x^Tx) =\begin{bmatrix} 1 & \rho \\ \rho & 1 \end{bmatrix}

As the correlation values increase, the values within (xTx)-1 also increase. Even with a low residual variance, multicollinearity can cause large increases in estimator variance. Here are a few examples of the effect of multicollinearity using a hypothetical regression with two predictors:

 \rho = .3 \rightarrow (x^Tx)^{-1} =\begin{bmatrix} 1 & \rho \\ \rho & 1 \end{bmatrix}^{-1} = \begin{bmatrix} 1.09 & -0.33 \\ -0.33 & 1.09 \end{bmatrix}

 \rho = .9 \rightarrow (x^Tx)^{-1} =\begin{bmatrix} 1 & \rho \\ \rho & 1 \end{bmatrix}^{-1} = \begin{bmatrix} 5.26 & -4.73 \\ -5.26 & -4.73 \end{bmatrix}

 \rho = .999 \rightarrow (x^Tx)^{-1} =\begin{bmatrix} 1 & \rho \\ \rho & 1 \end{bmatrix}^{-1} = \begin{bmatrix} 500.25 & -499.75 \\ -499.75 & 500.25\end{bmatrix}

So why should you care about the variance of your coefficient estimators? The answer depends on what the purpose of your model is. If your only goal is to obtain an accurate measure of the predictand, the presence of multicollinearity in your predictors might not be such a problem. If, however, you are trying to identify the key predictors that effect the predictand, multicollinearity is a big problem.

OLS estimators with large variances are highly unstable, meaning that if you construct estimators from different data samples you will potentially get wildly different estimates of your coefficient values (Dormann et al. 2013). Large estimator variance also undermines the trustworthiness of hypothesis testing of the significance of coefficients. Recall that the t value used in hypothesis testing for an OLS regression coefficient is a function of the sample standard deviation (the square root of the variance) of the  OLS estimator.

t_{n-2} =\frac{\hat{\beta_j}-0}{s_{\beta_j}}

An estimator with an inflated standard deviation, s_{\beta_j}, will thus yield a lower t value, which could lead to the false rejection of a significant predictor (ie. a type II error). See Ohlemüller et al. (2008) for some examples where hypothesis testing results are undermined by multicollinearity.

Detecting Multicollinearity within a data set

Now we know how multicollinearity causes problems in our regression, but how can we tell if there is multicollinearity within a data set? There are several commonly used metrics for which basic guidelines have been developed to determine whether multicollinearity is present.

The most basic metric is the pairwise Pearson Correlation Coefficient between predictors, r. Recall from your intro statistics course that the Pearson Correlation Coefficient is a measure of the linear relationship between two variables, defined as:


A common rule of thumb is that multicollinearity may be a problem in a data set if any pairwise |r| > 0.7 (Dormann et al. 2013).

Another common metric is known as the Variance Inflation Factor (VIF). This measure is calculated by regressing each predictor on all others being used in the regression.

VIF(\beta_j) = \frac{1}{1-R^2_j}

Where Rj2 is the R2 value generated by regressing predictor xj on all other predictors. Multicollinearity is thought to be a problem if VIF > 10 for any given predictor (Dormann et al. 2012).

A third metric for detecting multicollinearity in a data set is the Condition Number (CN) of the predictor matrix defined as the square root of the ratio of the largest and smallest eigenvalues in the predictor matrix:


CN> 15 indicates the possible presence of multicollinearity, while a CN > 30 indicates serious multicollinearity problems (Dormann et al. 2013).

Dealing with Multicollinearity using Tolerant Methods

In a statistical sense, there is no way to “fix” multicollinearity. However, methods have been developed to mitigate its effects. Perhaps the most effective way to remedy multicollinearity is to make a priori judgements about the relationship between predictors and remove or consolidate predictors that have known correlations. This is not always possible however, especially when the true functional forms of relationships are not known (which is often why regression is done in the first place). In this section I will explain two “Tolerant Methods” for dealing with multicollinearity.

The purpose of Tolerant Methods is to reduce the sensitivity of regression parameters to multicollinearity. This is accomplished through penalized regression. Since multicollinearity can result in large and opposite signed  estimator values for correlated predictors, a penalty function is imposed to keep the value of predictors below a pre-specified value.

\sum_{j=1}^{p}|\beta|^l \leq c

Where c is the predetermined value representing model complexity, p is the number of predictors and l is either 1 or 2 depending on the type of tolerant method employed (more on this below).

Ridge Regression

Ridge regression uses the L2 norm, or Euclidean distance, to constrain model coefficients (ie. l = 2 in the equation above). The coefficients created using ridge regression are defined as:

\hat{\beta}_{r} = (x^Tx+\lambda I)^{-1}x^Ty

Ridge regression adds a constant, λ, to the term xTx to construct the estimator. It should be noted that both x and y should be standardized before this estimator is constructed. The Ridge regression coefficient is the result of a constrained version of the ordinary least squares optimization problem. The objective is to minimize the sum of square errors for the regression while meeting the complexity constraint.

\hat{\beta_r} \begin{cases} argmin(\beta) \hspace{.1cm}\sum_{i=1}^{N} \epsilon_i^2  \\  \sum_{j=1}^{p}|\beta_j|^2 \leq c \end{cases}

To solve the constrained optimization, Lagrange multipliers can be employed. Let z equal the Residual Sum of Squares (RSS) to be minimized:

argmin(\beta) \hspace{.3cm}  z= (y-x\beta)^T(y-x\beta)+\lambda(\sum_{i=1}^{N}|\beta_j|^2-c)

This can be rewritten in terms of the L2 norm of β:

z = (y-x\beta)^T(y-x\beta)+\lambda||\beta||^2_2

Taking the derivative with respect to β and solving:

0 = \frac{\partial z}{\partial \beta} = -2x^T(y-x\beta)+2\lambda\beta

x^Ty = x^Tx\beta+\lambda\beta=(x^Tx+\lambda I)\beta

\hat{\beta}_{r} = (x^Tx+\lambda I)^{-1}x^Ty

Remember that the Gauss-Markov theorem states that the OLS estimate for regression coefficients is the BLUE, so by using ridge regression, we are sacrificing some benefits of OLS estimators in order to constrain estimator variance. Estimators constructed using ridge regression are in fact biased, this can be proven by calculating the expected value of ridge regression coefficients.

E[\hat{\beta_r}]=(I+\lambda(x^Tx)^{-1})\beta \neq \beta

For a scenario with two predictors, the tradeoff between reduced model complexity and increase bias in the estimators can be visualized graphically by plotting the estimators of the two beta values against each other. The vector of beta values estimated by regression are represented as points on this plot  (\hat{\beta}=[\beta_1, \beta_2]).  In Figure 1,\beta_{OLS} is plotted in the upper right quadrant and represents estimator that produces the smallest RSS possible for the model. The ellipses centered around  are representations of the increasing RSS resulting from the combination of β1 and β2  values, each RSS is a function of a different lambda value added to the regression.  The circle centered around the origin represents the chosen level of model complexity that is constraining the ridge regression. The ridge estimator is the point where this circle intersects a RSS ellipse. Notice that as the value of c increases, the error introduced into the estimators decreases and vice versa.


Figure 1: Geometric Interpretation of a ridge regression estimator. The blue dot indicates the OLS estimate of Beta, ellipses centered around the OLS estimates represent RSS contours for each Beta 1, Beta 2 combination (denoted on here as z from the optimization equation above). The model complexity is constrained by distance c from the origin. The ridge regression estimator of Beta is shown as the red dot, where the RSS contour meets the circle defined by c.

The c value displayed in Figure 1 is only presented to explain the theoretical underpinnings of ridge regression. In practice, c is never specified, rather, a value for λ is chosen a priori to model construction. Lambda is usually chosen through a process known as k-fold cross validation, which is accomplished through the following steps:

  1. Partition data set into K separate sets of equal size
  2. For each k = 1 …k, fit model with excluding the kth set.
  3. Predict for the kth set
  4. Calculate the cross validation error (CVerror)for kth set: CV^{\lambda_0}_k = E[\sum(y-\hat{y})^2]
  5. Repeat for different values of , choose a that minimizes   CV^{\lambda_0} = \frac{1}{k}CV^{\lambda_0}_k

Lasso Regression

Another Tolerant Method for dealing with multicollinearity known as Least Absolute Shrinkage and Selection Operator (LASSO) regression, solves the same constrained optimization problem as ridge regression, but uses the L1 norm rather than the L2 norm as a measure of complexity.

\hat{\beta}_{Lasso} \begin{cases} argmin(\beta) \hspace{.1cm}\sum_{i=1}^{N} \epsilon_i^2 \\ \sum_{j=1}^{p}|\beta_j|^1 \leq c \end{cases}

LASSO regression can be visualized similarly to ridge regression, but since c is defined by the sum of absolute values of beta, rather than sum of squares, the area it constrains is diamond shaped rather than circular.  Figure 2 shows the selection of the beta estimator from LASSO regression. As you can see, the use of the L1 norm means LASSO regression selects one of the predictors and drops the other (weights it as zero). This has been argued to provide a more interpretable estimators (Tibshirani 1996).


Figure 2: Geometric interpretation of Lasso Regression Estimator. The blue dot indicates the OLS estimate of Beta, ellipses centered around the OLS estimate represents RSS contours for each Beta 1, Beta 2 combination (denoted as z from the optimization equation). The mode complexity is constrained by the L1 norm representing model complexity. The Lasso estimator of Beta is shown as the red dot, the location where the RSS contour intersects the diamond defined by c.

Final thoughts

If you’re creating a model with multiple predictors, it’s important to be cognizant of potential for multicollinearity within your data set. Tolerant methods are only one of many possible remedies for multicollinearity (other notable techniques include data clustering and Principle Component Analysis) but it’s important to remember that no known technique can truly “solve” the problem of multicollinearity. The method chosen to deal with multicollinearity should be chosen on a case to case basis and multiple methods should be employed if possible to help identify the underlying structure within the predictor data set (Dormann et. al. 2013)


Dormann, C. F., Elith, J., Bacher, S., Buchmann, C., Carl, G., Carré, G., Marquéz, J. R. G., Gruber, B., Lafourcade, B., Leitão, P. J., Münkemüller, T., McClean, C., Osborne, P. E., Reineking, B., Schröder, B., Skidmore, A. K., Zurell, D. and Lautenbach, S. 2013, “Collinearity: a review of methods to deal with it and a simulation study evaluating their performance.” Ecography, 36: 27–46. doi:10.1111/j.1600-0587.2012.07348.x

Ohlemüller, R. et al. 2008. “The coincidence of climatic and species rarity: high risk to small-range species from climate change.” Biology Letters. 4: 568 – 572.

Tibshirani, Robert 1996. “Regression shrinkage and selection via the lasso.” Journal of the Royal Statistical Society. Series B (Methodological): 267-288.