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\subsection{Multinomial Logistic Regression}
\noindent{\bf Description}
Our logistic regression script performs both binomial and multinomial logistic regression.
The script is given a dataset $(X, Y)$ where matrix $X$ has $m$~columns and matrix $Y$ has
one column; both $X$ and~$Y$ have $n$~rows. The rows of $X$ and~$Y$ are viewed as a collection
of records: $(X, Y) = (x_i, y_i)_{i=1}^n$ where $x_i$ is a numerical vector of explanatory
(feature) variables and $y_i$ is a categorical response variable.
Each row~$x_i$ in~$X$ has size~\mbox{$\dim x_i = m$}, while its corresponding $y_i$ is an
integer that represents the observed response value for record~$i$.
The goal of logistic regression is to learn a linear model over the feature vector
$x_i$ that can be used to predict how likely each categorical label is expected to
be observed as the actual~$y_i$.
Note that logistic regression predicts more than a label: it predicts the probability
for every possible label. The binomial case allows only two possible labels, the
multinomial case has no such restriction.
Just as linear regression estimates the mean value $\mu_i$ of a numerical response
variable, logistic regression does the same for category label probabilities.
In linear regression, the mean of $y_i$ is estimated as a linear combination of the features:
$\mu_i = \beta_0 + \beta_1 x_{i,1} + \ldots + \beta_m x_{i,m} = \beta_0 + x_i\beta_{1:m}$.
In logistic regression, the
label probability has to lie between 0 and~1, so a link function is applied to connect
it to $\beta_0 + x_i\beta_{1:m}$. If there are just two possible category labels, for example
0~and~1, the logistic link looks as follows:
\Prob[y_i\,{=}\,1\mid x_i; \beta] \,=\,
\frac{e^{\,\beta_0 + x_i\beta_{1:m}}}{1 + e^{\,\beta_0 + x_i\beta_{1:m}}};
\Prob[y_i\,{=}\,0\mid x_i; \beta] \,=\,
\frac{1}{1 + e^{\,\beta_0 + x_i\beta_{1:m}}}
Here category label~0 serves as the \emph{baseline}, and function
$\exp(\beta_0 + x_i\beta_{1:m})$
shows how likely we expect to see ``$y_i = 1$'' in comparison to the baseline.
Like in a loaded coin, the predicted odds of seeing 1~versus~0 are
$\exp(\beta_0 + x_i\beta_{1:m})$ to~1,
with each feature $x_{i,j}$ multiplying its own factor $\exp(\beta_j x_{i,j})$ to the odds.
Given a large collection of pairs $(x_i, y_i)$, $i=1\ldots n$, logistic regression seeks
to find the $\beta_j$'s that maximize the product of probabilities
\hbox{$\Prob[y_i\mid x_i; \beta]$}
for actually observed $y_i$-labels (assuming no regularization).
Multinomial logistic regression~\cite{Agresti2002:CDA} extends this link to $k \geq 3$ possible
categories. Again we identify one category as the baseline, for example the $k$-th category.
Instead of a coin, here we have a loaded multisided die, one side per category. Each non-baseline
category $l = 1\ldots k\,{-}\,1$ has its own vector $(\beta_{0,l}, \beta_{1,l}, \ldots, \beta_{m,l})$
of regression parameters with the intercept, making up a matrix $B$ of size
$(m\,{+}\,1)\times(k\,{-}\,1)$. The predicted odds of seeing non-baseline category~$l$ versus
the baseline~$k$ are $\exp\big(\beta_{0,l} + \sum\nolimits_{j=1}^m x_{i,j}\beta_{j,l}\big)$
to~1, and the predicted probabilities are:
l < k:\quad\Prob[y_i\,{=}\,\makebox[0.5em][c]{$l$}\mid x_i; B] \,\,\,{=}\,\,\,&
\frac{\exp\big(\beta_{0,l} + \sum\nolimits_{j=1}^m x_{i,j}\beta_{j,l}\big)}%
{1 \,+\, \sum_{l'=1}^{k-1}\exp\big(\beta_{0,l'} + \sum\nolimits_{j=1}^m x_{i,j}\beta_{j,l'}\big)};
\Prob[y_i\,{=}\,\makebox[0.5em][c]{$k$}\mid x_i; B] \,\,\,{=}\,\,\,& \frac{1}%
{1 \,+\, \sum_{l'=1}^{k-1}\exp\big(\beta_{0,l'} + \sum\nolimits_{j=1}^m x_{i,j}\beta_{j,l'}\big)}.
The goal of the regression is to estimate the parameter matrix~$B$ from the provided dataset
$(X, Y) = (x_i, y_i)_{i=1}^n$ by maximizing the product of \hbox{$\Prob[y_i\mid x_i; B]$}
over the observed labels~$y_i$. Taking its logarithm, negating, and adding a regularization term
gives us a minimization objective:
f(B; X, Y) \,\,=\,\,
-\sum_{i=1}^n \,\log \Prob[y_i\mid x_i; B] \,+\,
\frac{\lambda}{2} \sum_{j=1}^m \sum_{l=1}^{k-1} |\beta_{j,l}|^2
The optional regularization term is added to mitigate overfitting and degeneracy in the data;
to reduce bias, the intercepts $\beta_{0,l}$ are not regularized. Once the~$\beta_{j,l}$'s
are accurately estimated, we can make predictions about the category label~$y$ for a new
feature vector~$x$ using Eqs.~(\ref{eqn:mlogreg:nonbaseprob}) and~(\ref{eqn:mlogreg:baseprob}).
\noindent{\bf Usage}
{\tt{}-f }path/\/{\tt{}MultiLogReg.dml}
{\tt{} -nvargs}
{\tt{} X=}path/file
{\tt{} Y=}path/file
{\tt{} B=}path/file
{\tt{} Log=}path/file
{\tt{} icpt=}int
{\tt{} reg=}double
{\tt{} tol=}double
{\tt{} moi=}int
{\tt{} mii=}int
{\tt{} fmt=}format
\noindent{\bf Arguments}
\item[{\tt X}:]
Location (on HDFS) to read the input matrix of feature vectors; each row constitutes
one feature vector.
\item[{\tt Y}:]
Location to read the input one-column matrix of category labels that correspond to
feature vectors in~{\tt X}. Note the following:\\
-- Each non-baseline category label must be a positive integer.\\
-- If all labels are positive, the largest represents the baseline category.\\
-- If non-positive labels such as $-1$ or~$0$ are present, then they represent the (same)
baseline category and are converted to label $\max(\texttt{Y})\,{+}\,1$.
\item[{\tt B}:]
Location to store the matrix of estimated regression parameters (the $\beta_{j, l}$'s),
with the intercept parameters~$\beta_{0, l}$ at position {\tt B[}$m\,{+}\,1$, $l${\tt ]}
if available. The size of {\tt B} is $(m\,{+}\,1)\times (k\,{-}\,1)$ with the intercepts
or $m \times (k\,{-}\,1)$ without the intercepts, one column per non-baseline category
and one row per feature.
\item[{\tt Log}:] (default:\mbox{ }{\tt " "})
Location to store iteration-specific variables for monitoring and debugging purposes,
see Table~\ref{table:mlogreg:log} for details.
\item[{\tt icpt}:] (default:\mbox{ }{\tt 0})
Intercept and shifting/rescaling of the features in~$X$:\\
{\tt 0} = no intercept (hence no~$\beta_0$), no shifting/rescaling of the features;\\
{\tt 1} = add intercept, but do not shift/rescale the features in~$X$;\\
{\tt 2} = add intercept, shift/rescale the features in~$X$ to mean~0, variance~1
\item[{\tt reg}:] (default:\mbox{ }{\tt 0.0})
L2-regularization parameter (lambda)
\item[{\tt tol}:] (default:\mbox{ }{\tt 0.000001})
Tolerance (epsilon) used in the convergence criterion
\item[{\tt moi}:] (default:\mbox{ }{\tt 100})
Maximum number of outer (Fisher scoring) iterations
\item[{\tt mii}:] (default:\mbox{ }{\tt 0})
Maximum number of inner (conjugate gradient) iterations, or~0 if no maximum
limit provided
\item[{\tt fmt}:] (default:\mbox{ }{\tt "text"})
Matrix file output format, such as {\tt text}, {\tt mm}, or {\tt csv};
see read/write functions in SystemML Language Reference for details.
Name & Meaning \\
{\tt LINEAR\_TERM\_MIN} & The minimum value of $X \pxp B$, used to check for overflows \\
{\tt LINEAR\_TERM\_MAX} & The maximum value of $X \pxp B$, used to check for overflows \\
{\tt NUM\_CG\_ITERS} & Number of inner (Conj.\ Gradient) iterations in this outer iteration \\
{\tt IS\_TRUST\_REACHED} & $1 = {}$trust region boundary was reached, $0 = {}$otherwise \\
{\tt POINT\_STEP\_NORM} & L2-norm of iteration step from old point (matrix $B$) to new point \\
{\tt OBJECTIVE} & The loss function we minimize (negative regularized log-likelihood) \\
{\tt OBJ\_DROP\_REAL} & Reduction in the objective during this iteration, actual value \\
{\tt OBJ\_DROP\_PRED} & Reduction in the objective predicted by a quadratic approximation \\
{\tt OBJ\_DROP\_RATIO} & Actual-to-predicted reduction ratio, used to update the trust region \\
{\tt IS\_POINT\_UPDATED} & $1 = {}$new point accepted; $0 = {}$new point rejected, old point restored \\
{\tt GRADIENT\_NORM} & L2-norm of the loss function gradient (omitted if point is rejected) \\
{\tt TRUST\_DELTA} & Updated trust region size, the ``delta'' \\
The {\tt Log} file for multinomial logistic regression contains the above \mbox{per-}iteration
variables in CSV format, each line containing triple (Name, Iteration\#, Value) with Iteration\#
being~0 for initial values.}
\noindent{\bf Details}
We estimate the logistic regression parameters via L2-regularized negative
log-likelihood minimization~(\ref{eqn:mlogreg:loss}).
The optimization method used in the script closely follows the trust region
Newton method for logistic regression described in~\cite{Lin2008:logistic}.
For convenience, let us make some changes in notation:
\item Convert the input vector of observed category labels into an indicator matrix $Y$
of size $n \times k$ such that $Y_{i, l} = 1$ if the $i$-th category label is~$l$ and
$Y_{i, l} = 0$ otherwise;
\item Append an extra column of all ones, i.e.\ $(1, 1, \ldots, 1)^T$, as the
$m\,{+}\,1$-st column to the feature matrix $X$ to represent the intercept;
\item Append an all-zero column as the $k$-th column to $B$, the matrix of regression
parameters, to represent the baseline category;
\item Convert the regularization constant $\lambda$ into matrix $\Lambda$ of the same
size as $B$, placing 0's into the $m\,{+}\,1$-st row to disable intercept regularization,
and placing $\lambda$'s everywhere else.
Now the ($n\,{\times}\,k$)-matrix of predicted probabilities given
by (\ref{eqn:mlogreg:nonbaseprob}) and~(\ref{eqn:mlogreg:baseprob})
and the objective function $f$ in~(\ref{eqn:mlogreg:loss}) have the matrix form
P \,\,&=\,\, \exp(XB) \,\,/\,\, \big(\exp(XB)\,1_{k\times k}\big)\\
f \,\,&=\,\, - \,\,{\textstyle\sum} \,\,Y \cdot (X B)\, + \,
{\textstyle\sum}\,\log\big(\exp(XB)\,1_{k\times 1}\big) \,+ \,
(1/2)\,\, {\textstyle\sum} \,\,\Lambda \cdot B \cdot B
where operations $\cdot\,$, $/$, $\exp$, and $\log$ are applied cellwise,
and $\textstyle\sum$ denotes the sum of all cells in a matrix.
The gradient of~$f$ with respect to~$B$ can be represented as a matrix too:
\nabla f \,\,=\,\, X^T (P - Y) \,+\, \Lambda \cdot B
The Hessian $\mathcal{H}$ of~$f$ is a tensor, but, fortunately, the conjugate
gradient inner loop of the trust region algorithm in~\cite{Lin2008:logistic}
does not need to instantiate it. We only need to multiply $\mathcal{H}$ by
ordinary matrices of the same size as $B$ and $\nabla f$, and this can be done
in matrix form:
\mathcal{H}V \,\,=\,\, X^T \big( Q \,-\, P \cdot (Q\,1_{k\times k}) \big) \,+\,
\Lambda \cdot V, \,\,\,\,\textrm{where}\,\,\,\,Q \,=\, P \cdot (XV)
At each Newton iteration (the \emph{outer} iteration) the minimization algorithm
approximates the difference $\varDelta f(S; B) = f(B + S; X, Y) \,-\, f(B; X, Y)$
attained in the objective function after a step $B \mapsto B\,{+}\,S$ by a
second-degree formula
\varDelta f(S; B) \,\,\,\approx\,\,\, (1/2)\,\,{\textstyle\sum}\,\,S \cdot \mathcal{H}S
\,+\, {\textstyle\sum}\,\,S\cdot \nabla f
This approximation is then minimized by trust-region conjugate gradient iterations
(the \emph{inner} iterations) subject to the constraint $\|S\|_2 \leq \delta$.
The trust region size $\delta$ is initialized as $0.5\sqrt{m}\,/ \max\nolimits_i \|x_i\|_2$
and updated as described in~\cite{Lin2008:logistic}.
Users can specify the maximum number of the outer and the inner iterations with
input parameters {\tt moi} and {\tt mii}, respectively. The iterative minimizer
terminates successfully if $\|\nabla f\|_2 < \eps\,\|\nabla f_{B=0}\|_2$,
where $\eps > 0$ is a tolerance supplied by the user via input parameter~{\tt tol}.
\noindent{\bf Returns}
The estimated regression parameters (the $\hat{\beta}_{j, l}$) are populated into
a matrix and written to an HDFS file whose path/name was provided as the ``{\tt B}''
input argument. Only the non-baseline categories ($1\leq l \leq k\,{-}\,1$) have
their $\hat{\beta}_{j, l}$ in the output; to add the baseline category, just append
a column of zeros. If {\tt icpt=0} in the input command line, no intercepts are used
and {\tt B} has size $m\times (k\,{-}\,1)$; otherwise {\tt B} has size
$(m\,{+}\,1)\times (k\,{-}\,1)$
and the intercepts are in the $m\,{+}\,1$-st row. If {\tt icpt=2}, then initially
the feature columns in~$X$ are shifted to mean${} = 0$ and rescaled to variance${} = 1$.
After the iterations converge, the $\hat{\beta}_{j, l}$'s are rescaled and shifted
to work with the original features.
\noindent{\bf Examples}
\hml -f MultiLogReg.dml -nvargs X=/user/biadmin/X.mtx
Y=/user/biadmin/Y.mtx B=/user/biadmin/B.mtx fmt=csv
icpt=2 reg=1.0 tol=0.0001 moi=100 mii=10 Log=/user/biadmin/log.csv
\noindent{\bf References}
\item A.~Agresti.
\newblock {\em Categorical Data Analysis}.
\newblock Wiley Series in Probability and Statistics. Wiley-Interscience, second edition, 2002.