/* ----------------------------------------------------------------------- *//**
 *
 * @file logistic.sql_in
 *
 * @brief SQL functions for logistic regression
 * @date January 2011
 *
 * @sa For a brief introduction to logistic regression, see the
 *     module description \ref grp_logreg.
 *
 *//* ----------------------------------------------------------------------- */

m4_include(`SQLCommon.m4')

/**
@addtogroup grp_logreg

<div class="toc"><b>Contents</b><ul>
<li class="level1"><a href="#train">Training Function</a></li>
<li class="level1"><a href="#examples">Examples</a></li>
<li class="level1"><a href="#background">Technical Background</a></li>
<li class="level1"><a href="#literature">Literature</a></li>
<li class="level1"><a href="#related">Related Topics</a></li>
</ul></div>

@brief Models the relationship between one or more predictor variables and a
binary categorical dependent variable by predicting the probability of the
dependent variable using a logistic function.

Binomial logistic regression models the relationship between a dichotomous
dependent variable and one or more predictor variables. The dependent variable
may be a Boolean value or a categorial variable that can be represented with a
Boolean expression. The probabilities describing the possible outcomes of a
single trial are modeled, as a function of the predictor variables,
using a logistic function.

@anchor train
@par Training Function
The logistic regression training function has the following format:
<pre class="syntax">
logregr_train( source_table,
               out_table,
               dependent_varname,
               independent_varname,
               grouping_cols,
               max_iter,
               optimizer,
               tolerance,
               verbose
             )
</pre>
\b Arguments
<DL class="arglist">
  <DT>source_table</DT>
  <DD>TEXT. The name of the table containing the training data.</DD>

  <DT>out_table</DT>
  <DD>TEXT. Name of the generated table containing the output model.

    The output table produced by the logistic regression training function contains the following columns:

    <table class="output">
      <tr>
        <th>&lt;...&gt;</th>
        <td>Text. Grouping columns, if provided in input. This could be multiple columns
          depending on the \c grouping_col input.</td>
      </tr>

      <tr>
        <th>coef</th>
        <td>FLOAT8. Vector of the coefficients of the regression.</td>
      </tr>

      <tr>
        <th>log_likelihood</th>
        <td>FLOAT8. The log-likelihood \f$ l(\boldsymbol c) \f$.</td>
      </tr>

      <tr>
        <th>std_err</th>
        <td>FLOAT8[]. Vector of the standard error of the coefficients.</td>
      </tr>

      <tr>
        <th>z_stats</th>
        <td>FLOAT8[]. Vector of the z-statistics of the coefficients.</td>
      </tr>

      <tr>
        <th>p_values</th>
        <td>FLOAT8[]. Vector of the p-values of the coefficients.</td>
      </tr>

      <tr>
        <th>odds_ratios</th>
        <td>FLOAT8[]. The odds ratio, \f$ \exp(c_i) \f$.</td>
      </tr>

      <tr>
        <th>condition_no</th>
        <td>FLOAT8[]. The condition number of the \f$X^{*}X\f$
          matrix. A high condition number is usually an indication that there may be
          some numeric instability in the result yielding a less reliable model. A high
          condition number often results when there is a significant amount of
          colinearity in the underlying design matrix, in which case other regression
          techniques may be more appropriate.</td>
      </tr>

      <tr>
        <th>num_iterations</th>
        <td>INTEGER. The number of iterations actually completed. This would be different
          from the \c nIterations argument if a \c tolerance parameter is provided and the
          algorithm converges before all iterations are completed.</td>
      </tr>
      <tr>
        <th>num_rows_processed</th>
        <td>INTEGER. The number of rows actually processed, which is equal to the total
            number of rows in the source table minus the number of skipped rows.</td>
      </tr>
      <tr>
        <th>num_missing_rows_skipped</th>
        <td>INTEGER. The number of rows skipped during the training. A row will be skipped
    if the independent_varname is NULL or contains NULL values.</td>
      </tr>
    </table>
  </DD>

  <DT>dependent_varname</DT>
  <DD>TEXT. Name of the dependent variable column (of type BOOLEAN) in the
    training data or an expression evaluating to a BOOLEAN.</DD>

  <DT>independent_varname</DT>
  <DD>TEXT. Expression list to evaluate for the
    independent variables. An intercept variable is not assumed. It is common to
    provide an explicit intercept term by including a single constant \c 1 term in
    the independent variable list.</DD>

  <DT>grouping_cols (optional)</DT>
  <DD>TEXT, default: NULL. An expression list used to group
    the input dataset into discrete groups, running one regression per group.
    Similar to the SQL "GROUP BY" clause. When this value is NULL, no
    grouping is used and a single result model is generated.</DD>

  <DT>max_iter (optional)</DT>
  <DD>INTEGER, default: 20. The maximum number of iterations that are allowed.</DD>

  <DT>optimizer (optional)</DT>
  <DD>TEXT, default: 'irls'. The name of the optimizer to use:
    <table class="output">
      <tr>
        <th>'newton' or 'irls'</th>
        <td>Iteratively reweighted least squares</td>
      </tr>
      <tr>
        <th>'cg'</th>
        <td>conjugate gradient</td>
      </tr>
      <tr>
        <th>'igd'</th>
        <td>incremental gradient descent.</td>
      </tr>
    </table>
  </DD>

  <DT>tolerance (optional)</DT>
  <DD>FLOAT8, default: 0.0001. The difference between
    log-likelihood values in successive iterations that should indicate
    convergence. A zero disables the convergence criterion, so that execution
    stops after \c n iterations have completed.</DD>

  <DT>verbose (optional)</DT>
  <DD>BOOLEAN, default: FALSE. Provides verbose output of the results of training.</DD>
</DL>

<dd>@note For p-values, we just return the computation result directly.
Other statistical packages, like 'R', produce the same result, but on printing the
result to screen, another format function is used and any p-value that is
smaller than the machine epsilon (the smallest positive floating-point number
'x' such that '1 + x != 1') will be printed on screen as "< xxx" (xxx is the
value of the machine epsilon). Although the result may look different, they are
in fact the same.
</dd>

@anchor examples
@examp
-# Create the training data table.
<pre class="example">
CREATE TABLE patients( id INTEGER NOT NULL,
                       second_attack INTEGER,
                       treatment INTEGER,
                       trait_anxiety INTEGER);
COPY patients FROM STDIN WITH DELIMITER '|';
  1 |             1 |         1 |            70
  3 |             1 |         1 |            50
  5 |             1 |         0 |            40
  7 |             1 |         0 |            75
  9 |             1 |         0 |            70
 11 |             0 |         1 |            65
 13 |             0 |         1 |            45
 15 |             0 |         1 |            40
 17 |             0 |         0 |            55
 19 |             0 |         0 |            50
  2 |             1 |         1 |            80
  4 |             1 |         0 |            60
  6 |             1 |         0 |            65
  8 |             1 |         0 |            80
 10 |             1 |         0 |            60
 12 |             0 |         1 |            50
 14 |             0 |         1 |            35
 16 |             0 |         1 |            50
 18 |             0 |         0 |            45
 20 |             0 |         0 |            60
\.
</pre>
-# Train a regression model.
<pre class="example">
SELECT madlib.logregr_train( 'patients',
                             'patients_logregr',
                             'second_attack',
                             'ARRAY[1, treatment, trait_anxiety]',
                             NULL,
                             20,
                             'irls'
                           );
</pre>
-# View the regression results.
<pre class="example">
-- Set extended display on for easier reading of output
\\x on
SELECT * from patients_logregr;
</pre>
Result:
<pre class="result">
coef           | {5.59049410898112,2.11077546770772,-0.237276684606453}
log_likelihood | -467.214718489873
std_err        | {0.318943457652178,0.101518723785383,0.294509929481773}
z_stats        | {17.5281667482197,20.7919819024719,-0.805666162169712}
p_values       | {8.73403463417837e-69,5.11539430631541e-96,0.420435365338518}
odds_ratios    | {267.867942976278,8.2546400100702,0.788773016471171}
condition_no   | 179.186118573205
num_iterations | 9
</pre>

-# Alternatively, unnest the arrays in the results for easier reading of output:
<pre class="example">
\\x off
SELECT unnest(array['intercept', 'treatment', 'trait_anxiety']) as attribute,
       unnest(coef) as coefficient,
       unnest(std_err) as standard_error,
       unnest(z_stats) as z_stat,
       unnest(p_values) as pvalue,
       unnest(odds_ratios) as odds_ratio
    FROM patients_logregr;
</pre>

@anchor notes
@par Notes
All table names can be optionally schema qualified (current_schemas() would be
searched if a schema name is not provided) and all table and column names
should follow case-sensitivity and quoting rules per the database.
(For instance, 'mytable' and 'MyTable' both resolve to the same entity, i.e. 'mytable'.
If mixed-case or multi-byte characters are desired for entity names then the
string should be double-quoted; in this case the input would be '"MyTable"').

@anchor background
@par Technical Background

(Binomial) logistic regression refers to a stochastic model in which the
conditional mean of the dependent dichotomous variable (usually denoted
\f$ Y \in \{ 0,1 \} \f$) is the logistic function of an affine function of the
vector of independent variables (usually denoted \f$ \boldsymbol x \f$). That
is,
\f[
    E[Y \mid \boldsymbol x] = \sigma(\boldsymbol c^T \boldsymbol x)
\f]
for some unknown vector of coefficients \f$ \boldsymbol c \f$ and where
\f$ \sigma(x) = \frac{1}{1 + \exp(-x)} \f$ is the logistic function. Logistic
regression finds the vector of coefficients \f$ \boldsymbol c \f$ that maximizes
the likelihood of the observations.

Let
- \f$ \boldsymbol y \in \{ 0,1 \}^n \f$ denote the vector of observed dependent
  variables, with \f$ n \f$ rows, containing the observed values of the
  dependent variable,
- \f$ X \in \mathbf R^{n \times k} \f$ denote the design matrix with \f$ k \f$
  columns and \f$ n \f$ rows, containing all observed vectors of independent
  variables \f$ \boldsymbol x_i \f$ as rows.

By definition,
\f[
    P[Y = y_i | \boldsymbol x_i]
    =   \sigma((-1)^{y_i} \cdot \boldsymbol c^T \boldsymbol x_i)
    \,.
\f]
Maximizing the likelihood
\f$ \prod_{i=1}^n \Pr(Y = y_i \mid \boldsymbol x_i) \f$
is equivalent to maximizing the log-likelihood
\f$ \sum_{i=1}^n \log \Pr(Y = y_i \mid \boldsymbol x_i) \f$, which simplifies to
\f[
    l(\boldsymbol c) =
        -\sum_{i=1}^n \log(1 + \exp((-1)^{y_i}
            \cdot \boldsymbol c^T \boldsymbol x_i))
    \,.
\f]
The Hessian of this objective is \f$ H = -X^T A X \f$ where
\f$ A = \text{diag}(a_1, \dots, a_n) \f$ is the diagonal matrix with
\f$
    a_i = \sigma(\boldsymbol c^T \boldsymbol x)
          \cdot
          \sigma(-\boldsymbol c^T \boldsymbol x)
    \,.
\f$
Since \f$ H \f$ is non-positive definite, \f$ l(\boldsymbol c) \f$ is convex.
There are many techniques for solving convex optimization problems. Currently,
logistic regression in MADlib can use one of three algorithms:
- Iteratively Reweighted Least Squares
- A conjugate-gradient approach, also known as Fletcher-Reeves method in the
  literature, where we use the Hestenes-Stiefel rule for calculating the step
  size.
- Incremental gradient descent, also known as incremental gradient methods or
  stochastic gradient descent in the literature.

We estimate the standard error for coefficient \f$ i \f$ as
\f[
    \mathit{se}(c_i) = \left( (X^T A X)^{-1} \right)_{ii}
    \,.
\f]
The Wald z-statistic is
\f[
    z_i = \frac{c_i}{\mathit{se}(c_i)}
    \,.
\f]

The Wald \f$ p \f$-value for coefficient \f$ i \f$ gives the probability (under
the assumptions inherent in the Wald test) of seeing a value at least as extreme
as the one observed, provided that the null hypothesis (\f$ c_i = 0 \f$) is
true. Letting \f$ F \f$ denote the cumulative density function of a standard
normal distribution, the Wald \f$ p \f$-value for coefficient \f$ i \f$ is
therefore
\f[
    p_i = \Pr(|Z| \geq |z_i|) = 2 \cdot (1 - F( |z_i| ))
\f]
where \f$ Z \f$ is a standard normally distributed random variable.

The odds ratio for coefficient \f$ i \f$ is estimated as \f$ \exp(c_i) \f$.

The condition number is computed as \f$ \kappa(X^T A X) \f$ during the iteration
immediately <em>preceding</em> convergence (i.e., \f$ A \f$ is computed using
the coefficients of the previous iteration). A large condition number (say, more
than 1000) indicates the presence of significant multicollinearity.

@anchor literature
@literature

A somewhat random selection of nice write-ups, with valuable pointers into
further literature.

[1] Cosma Shalizi: Statistics 36-350: Data Mining, Lecture Notes, 18 November
    2009, http://www.stat.cmu.edu/~cshalizi/350/lectures/26/lecture-26.pdf

[2] Thomas P. Minka: A comparison of numerical optimizers for logistic
    regression, 2003 (revised Mar 26, 2007),
    http://research.microsoft.com/en-us/um/people/minka/papers/logreg/minka-logreg.pdf

[3] Paul Komarek, Andrew W. Moore: Making Logistic Regression A Core Data Mining
    Tool With TR-IRLS, IEEE International Conference on Data Mining 2005,
    pp. 685-688, http://komarix.org/ac/papers/tr-irls.short.pdf

[4] D. P. Bertsekas: Incremental gradient, subgradient, and proximal methods for
    convex optimization: a survey, Technical report, Laboratory for Information
    and Decision Systems, 2010,
    http://web.mit.edu/dimitrib/www/Incremental_Survey_LIDS.pdf

[5] A. Nemirovski, A. Juditsky, G. Lan, and A. Shapiro: Robust stochastic
    approximation approach to stochastic programming, SIAM Journal on
    Optimization, 19(4), 2009, http://www2.isye.gatech.edu/~nemirovs/SIOPT_RSA_2009.pdf


@anchor related
@par Related Topics

File logistic.sql_in documenting the training function

logregr_train()

elastic_net_train()

\ref grp_linreg

\ref grp_mlogreg

\ref grp_robust

\ref grp_clustered_errors

\ref grp_validation

\ref grp_marginal

@internal
@sa Namespace logistic (documenting the driver/outer loop implemented in
    Python), Namespace
    \ref madlib::modules::regress documenting the implementation in C++
@endinternal
*/

DROP TYPE IF EXISTS MADLIB_SCHEMA.__logregr_result;
CREATE TYPE MADLIB_SCHEMA.__logregr_result AS (
    coef            DOUBLE PRECISION[],
    log_likelihood  DOUBLE PRECISION,
    std_err         DOUBLE PRECISION[],
    z_stats         DOUBLE PRECISION[],
    p_values        DOUBLE PRECISION[],
    odds_ratios     DOUBLE PRECISION[],
    condition_no    DOUBLE PRECISION,
    status          INTEGER,
    num_processed   BIGINT,
    num_iterations  INTEGER
);

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_cg_step_transition(
    DOUBLE PRECISION[],
    BOOLEAN,
    DOUBLE PRECISION[],
    DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_cg_step_transition'
LANGUAGE C IMMUTABLE;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_irls_step_transition(
    DOUBLE PRECISION[],
    BOOLEAN,
    DOUBLE PRECISION[],
    DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_irls_step_transition'
LANGUAGE C IMMUTABLE;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_igd_step_transition(
    DOUBLE PRECISION[],
    BOOLEAN,
    DOUBLE PRECISION[],
    DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_igd_step_transition'
LANGUAGE C IMMUTABLE;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_cg_step_merge_states(
    state1 DOUBLE PRECISION[],
    state2 DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_cg_step_merge_states'
LANGUAGE C IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_irls_step_merge_states(
    state1 DOUBLE PRECISION[],
    state2 DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_irls_step_merge_states'
LANGUAGE C IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_igd_step_merge_states(
    state1 DOUBLE PRECISION[],
    state2 DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_igd_step_merge_states'
LANGUAGE C IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_cg_step_final(
    state DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_cg_step_final'
LANGUAGE C IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_irls_step_final(
    state DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_irls_step_final'
LANGUAGE C IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_igd_step_final(
    state DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION[]
AS 'MODULE_PATHNAME', 'logregr_igd_step_final'
LANGUAGE C IMMUTABLE STRICT;

------------------------------------------------------------------------

/**
 * @internal
 * @brief Perform one iteration of the conjugate-gradient method for computing
 *        logistic regression
 */
CREATE AGGREGATE MADLIB_SCHEMA.__logregr_cg_step(
    /*+ y */ BOOLEAN,
    /*+ x */ DOUBLE PRECISION[],
    /*+ previous_state */ DOUBLE PRECISION[]) (

    STYPE=DOUBLE PRECISION[],
    SFUNC=MADLIB_SCHEMA.__logregr_cg_step_transition,
    m4_ifdef(`__GREENPLUM__',`prefunc=MADLIB_SCHEMA.__logregr_cg_step_merge_states,')
    FINALFUNC=MADLIB_SCHEMA.__logregr_cg_step_final,
    INITCOND='{0,0,0,0,0,0}'
);


/**
 * @internal
 * @brief Perform one iteration of the iteratively-reweighted-least-squares
 *        method for computing linear regression
 */
CREATE AGGREGATE MADLIB_SCHEMA.__logregr_irls_step(
    /*+ y */ BOOLEAN,
    /*+ x */ DOUBLE PRECISION[],
    /*+ previous_state */ DOUBLE PRECISION[]) (

    STYPE=DOUBLE PRECISION[],
    SFUNC=MADLIB_SCHEMA.__logregr_irls_step_transition,
    m4_ifdef(`__GREENPLUM__',`prefunc=MADLIB_SCHEMA.__logregr_irls_step_merge_states,')
    FINALFUNC=MADLIB_SCHEMA.__logregr_irls_step_final,
    INITCOND='{0,0,0,0}'
);

------------------------------------------------------------------------

/**
 * @internal
 * @brief Perform one iteration of the incremental gradient
 *        method for computing logistic regression
 */
CREATE AGGREGATE MADLIB_SCHEMA.__logregr_igd_step(
    /*+ y */ BOOLEAN,
    /*+ x */ DOUBLE PRECISION[],
    /*+ previous_state */ DOUBLE PRECISION[]) (

    STYPE=DOUBLE PRECISION[],
    SFUNC=MADLIB_SCHEMA.__logregr_igd_step_transition,
    m4_ifdef(`__GREENPLUM__',`prefunc=MADLIB_SCHEMA.__logregr_igd_step_merge_states,')
    FINALFUNC=MADLIB_SCHEMA.__logregr_igd_step_final,
    INITCOND='{0,0,0,0,0}'
);

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_cg_step_distance(
    /*+ state1 */ DOUBLE PRECISION[],
    /*+ state2 */ DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION AS
'MODULE_PATHNAME', 'internal_logregr_cg_step_distance'
LANGUAGE c IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_cg_result(
    /*+ state */ DOUBLE PRECISION[])
RETURNS MADLIB_SCHEMA.__logregr_result AS
'MODULE_PATHNAME', 'internal_logregr_cg_result'
LANGUAGE c IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_irls_step_distance(
    /*+ state1 */ DOUBLE PRECISION[],
    /*+ state2 */ DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION AS
'MODULE_PATHNAME', 'internal_logregr_irls_step_distance'
LANGUAGE c IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_irls_result(
    /*+ state */ DOUBLE PRECISION[])
RETURNS MADLIB_SCHEMA.__logregr_result AS
'MODULE_PATHNAME', 'internal_logregr_irls_result'
LANGUAGE c IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_igd_step_distance(
    /*+ state1 */ DOUBLE PRECISION[],
    /*+ state2 */ DOUBLE PRECISION[])
RETURNS DOUBLE PRECISION AS
'MODULE_PATHNAME', 'internal_logregr_igd_step_distance'
LANGUAGE c IMMUTABLE STRICT;

------------------------------------------------------------------------

CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.__logregr_igd_result(
    /*+ state */ DOUBLE PRECISION[])
RETURNS MADLIB_SCHEMA.__logregr_result AS
'MODULE_PATHNAME', 'internal_logregr_igd_result'
LANGUAGE c IMMUTABLE STRICT;

------------------------------------------------------------------------

/**
 * @brief Compute logistic-regression coefficients and diagnostic statistics
 *
 * To include an intercept in the model, set one coordinate in the
 * <tt>independentVariables</tt> array to 1.
 *
 * @param source_table Name of the source relation containing the training data
 * @param out_table Name of the output relation to store the model results
 *
 *                   Columns of the output relation are as follows:
 *                    - <tt>coef FLOAT8[]</tt> - Array of coefficients, \f$ \boldsymbol c \f$
 *                    - <tt>log_likelihood FLOAT8</tt> - Log-likelihood \f$ l(\boldsymbol c) \f$
 *                    - <tt>std_err FLOAT8[]</tt> - Array of standard errors,
 *                      \f$ \mathit{se}(c_1), \dots, \mathit{se}(c_k) \f$
 *                    - <tt>z_stats FLOAT8[]</tt> - Array of Wald z-statistics, \f$ \boldsymbol z \f$
 *                    - <tt>p_values FLOAT8[]</tt> - Array of Wald p-values, \f$ \boldsymbol p \f$
 *                    - <tt>odds_ratios FLOAT8[]</tt>: Array of odds ratios,
 *                      \f$ \mathit{odds}(c_1), \dots, \mathit{odds}(c_k) \f$
 *                    - <tt>condition_no FLOAT8</tt> - The condition number of
 *                          matrix \f$ X^T A X \f$ during the iteration
 *                          immediately <em>preceding</em> convergence
 *                          (i.e., \f$ A \f$ is computed using the coefficients
 *                          of the previous iteration)
 * @param dependent_varname Name of the dependent column (of type BOOLEAN)
 * @param independent_varname Name of the independent column (of type DOUBLE
 *        PRECISION[])
 * @param grouping_col Comma delimited list of column names to group-by
 * @param max_iter The maximum number of iterations
 * @param optimizer The optimizer to use (either
 *        <tt>'irls'</tt>/<tt>'newton'</tt> for iteratively reweighted least
 *        squares or <tt>'cg'</tt> for conjugent gradient)
 * @param tolerance The difference between log-likelihood values in successive
 *         iterations that should indicate convergence. This value should be
 *         non-negative and a zero value here disables the convergence criterion,
 *         and execution will only stop after \c maxNumIterations iterations.
 * @param verbose If true, any error or warning message will be printed to the
 *         console (irrespective of the 'client_min_messages' set by server).
 *         If false, no error/warning message is printed to console.
 *
 *
 * @usage
 *  - Get vector of coefficients \f$ \boldsymbol c \f$ and all diagnostic
 *    statistics:\n
 *    <pre>SELECT logregr_train('<em>sourceName</em>', '<em>outName</em>'
 *           '<em>dependentVariable</em>', '<em>independentVariables</em>');
 *          SELECT * from outName;
 *    </pre>
 *  - Get vector of coefficients \f$ \boldsymbol c \f$:\n
 *    <pre>SELECT coef from outName;</pre>
 *  - Get a subset of the output columns, e.g., only the array of coefficients
 *    \f$ \boldsymbol c \f$, the log-likelihood of determination
 *    \f$ l(\boldsymbol c) \f$, and the array of p-values \f$ \boldsymbol p \f$:
 *    <pre>SELECT coef, log_likelihood, p_values FROM outName;</pre>
 *
 * @note This function starts an iterative algorithm. It is not an aggregate
 *       function. Source, output, and column names have to be passed as strings
 *       (due to limitations of the SQL syntax).
 *
 * @internal
 * @sa This function is a wrapper for logistic::compute_logregr(), which
 *     sets the default values.
 */
CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.logregr_train (
    source_table        VARCHAR,
    out_table           VARCHAR,
    dependent_varname   VARCHAR,
    independent_varname VARCHAR,
    grouping_cols       VARCHAR,
    max_iter            INTEGER,
    optimizer           VARCHAR,
    tolerance           DOUBLE PRECISION,
    verbose             BOOLEAN
) RETURNS VOID AS $$
PythonFunction(regress, logistic, logregr_train)
$$ LANGUAGE plpythonu;

------------------------------------------------------------------------

CREATE FUNCTION MADLIB_SCHEMA.logregr_train (
    source_table        VARCHAR,
    out_table           VARCHAR,
    dependent_varname   VARCHAR,
    independent_varname VARCHAR)
RETURNS VOID AS $$
    SELECT MADLIB_SCHEMA.logregr_train($1, $2, $3, $4, NULL::VARCHAR, 20, 'irls', 0.0001, False);
$$ LANGUAGE sql VOLATILE;

------------------------------------------------------------------------

CREATE FUNCTION MADLIB_SCHEMA.logregr_train (
    source_table        VARCHAR,
    out_table           VARCHAR,
    dependent_varname   VARCHAR,
    independent_varname VARCHAR,
    grouping_cols       VARCHAR)
RETURNS VOID AS $$
    SELECT MADLIB_SCHEMA.logregr_train($1, $2, $3, $4, $5, 20, 'irls', 0.0001, False);
$$LANGUAGE sql VOLATILE;

------------------------------------------------------------------------

CREATE FUNCTION MADLIB_SCHEMA.logregr_train (
    source_table        VARCHAR,
    out_table           VARCHAR,
    dependent_varname   VARCHAR,
    independent_varname VARCHAR,
    grouping_cols       VARCHAR,
    max_iter            INTEGER)
RETURNS VOID AS $$
    SELECT MADLIB_SCHEMA.logregr_train($1, $2, $3, $4, $5, $6, 'irls', 0.0001, False);
$$LANGUAGE sql VOLATILE;

------------------------------------------------------------------------

CREATE FUNCTION MADLIB_SCHEMA.logregr_train (
    source_table        VARCHAR,
    out_table           VARCHAR,
    dependent_varname   VARCHAR,
    independent_varname VARCHAR,
    grouping_cols       VARCHAR,
    max_iter            INTEGER,
    optimizer           VARCHAR)
RETURNS VOID AS $$
    SELECT MADLIB_SCHEMA.logregr_train($1, $2, $3, $4, $5, $6, $7, 0.0001, False);
$$ LANGUAGE sql VOLATILE;

------------------------------------------------------------------------

CREATE FUNCTION MADLIB_SCHEMA.logregr_train (
    source_table        VARCHAR,
    out_table           VARCHAR,
    dependent_varname   VARCHAR,
    independent_varname VARCHAR,
    grouping_cols       VARCHAR,
    max_iter            INTEGER,
    optimizer           VARCHAR,
    tolerance           DOUBLE PRECISION)
RETURNS VOID AS $$
    SELECT MADLIB_SCHEMA.logregr_train($1, $2, $3, $4, $5, $6, $7, $8, False);
$$ LANGUAGE sql VOLATILE;

-----------------------------------------------------------------------

-- Help messages

CREATE FUNCTION MADLIB_SCHEMA.logregr_train ()
RETURNS TEXT AS $$
BEGIN
    RETURN MADLIB_SCHEMA.logregr_train(NULL);
END;
$$ LANGUAGE plpgsql VOLATILE;

CREATE FUNCTION MADLIB_SCHEMA.logregr_train(
    message    TEXT
) RETURNS TEXT AS $$
    PythonFunction(regress, logistic, logregr_help_msg)
$$ LANGUAGE plpythonu VOLATILE;

------------------------------------------------------------------------

/**
 * @brief Evaluate the usual logistic function in an under-/overflow-safe way
 *
 * @param x
 * @returns \f$ \frac{1}{1 + \exp(-x)} \f$
 *
 * Evaluating this expression directly can lead to under- or overflows.
 * This function performs the evaluation in a safe manner, making use of the
 * following observations:
 *
 * In order for the outcome of \f$ \exp(x) \f$ to be within the range of the
 * minimum positive double-precision number (i.e., \f$ 2^{-1074} \f$) and the
 * maximum positive double-precision number (i.e.,
 * \f$ (1 + (1 - 2^{52})) * 2^{1023}) \f$, \f$ x \f$ has to be within the
 * natural logarithm of these numbers, so roughly in between -744 and 709.
 * However, \f$ 1 + \exp(x) \f$ will just evaluate to 1 if \f$ \exp(x) \f$ is
 * less than the machine epsilon (i.e., \f$ 2^{-52} \f$) or, equivalently, if
 * \f$ x \f$ is less than the natural logarithm of that; i.e., in any case if
 * \f$ x \f$ is less than -37.
 * Note that taking the reciprocal of the largest double-precision number will
 * not cause an underflow. Hence, no further checks are necessary.
 */
CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.logistic(x DOUBLE PRECISION)
RETURNS DOUBLE PRECISION
LANGUAGE sql
AS $$
   SELECT CASE WHEN -$1 < -37 THEN 1
               WHEN -$1 > 709 THEN 0
               ELSE 1 / (1 + exp(-$1))
          END;
$$;