{ "cells": [ { "cell_type": "markdown", "metadata": { "toc": "true" }, "source": [ "# Table of Contents\n", "

1  Newton's Method and Fisher Scoring (KL Chapter 14)
1.1  Notations
1.2  Newton's method
1.3  Fisher's scoring method
1.4  Generalized linear model (GLM) (KL 14.7)
1.4.1  Logistic regression
1.4.2  GLM
1.5  Nonlinear regression - Gauss-Newton method (KL 14.4-14.6)
" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "# Newton's Method and Fisher Scoring (KL Chapter 14)\n", "\n", "Consider maximizing log-likelihood function $L(\\mathbf{\\theta})$, $\\theta \\in \\Theta \\subset \\mathbb{R}^p$.\n", "\n", "## Notations\n", "\n", "* **Gradient** (or **score**) of $L$:\n", " $$\n", " \\nabla L(\\theta) = \\begin{pmatrix}\n", " \\frac{\\partial L(\\theta)}{\\partial \\theta_1} \\\\\n", " \\vdots \\\\\n", " \\frac{\\partial L(\\theta)}{\\partial \\theta_p}\n", " \\end{pmatrix}\n", " $$\n", "\n", "* **Differential** of $L$:\n", " $$\n", " dL(\\theta) = [\\nabla L(\\theta)]^T\n", " $$\n", " \n", "* **Hessian** of $L$: \n", " $$\n", " \\nabla^2 L(\\theta) = d^2 L(\\theta) = \\begin{pmatrix}\n", " \\frac{\\partial^2 L(\\theta)}{\\partial \\theta_1 \\partial \\theta_1} & \\dots & \\frac{\\partial^2 L(\\theta)}{\\partial \\theta_1 \\partial \\theta_p} \\\\\n", " \\vdots & \\ddots & \\vdots \\\\\n", " \\frac{\\partial^2 L(\\theta)}{\\partial \\theta_p \\partial \\theta_1} & \\dots & \\frac{\\partial^2 L(\\theta)}{\\partial \\theta_p \\partial \\theta_p}\n", " \\end{pmatrix}\n", " $$\n", " \n", "* **Observed information matrix**: \n", "\n", "$$\n", " - \\nabla^2 L(\\theta) = - d^2 L(\\theta).\n", "$$\n", " \n", "* **Expected (Fisher) information matrix**: \n", "$$\n", " \\mathbf{E}[- \\nabla^2 L(\\theta)] = \\mathbf{E}[- d^2 L(\\theta)].\n", "$$" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Newton's method\n", "\n", "* Newton's method was originally developed for finding roots of nonlinear equations\n", "$f(\\mathbf{x}) = \\mathbf{0}$ (KL 5.4).\n", "\n", "* Newton's method, aka **Newton-Raphson method**, is considered the gold standard for its fast (quadratic) convergence\n", "$$\n", "\t\\frac{\\|\\mathbf{\\theta}^{(t+1)} - \\mathbf{\\theta}^*\\|}{\\|\\mathbf{\\theta}^{(t)} - \\mathbf{\\theta}^*\\|^2} \\to \\text{constant}.\n", "$$\n", "\n", "* Idea: iterative quadratic approximation. \n", "\n", "* Taylor expansion around the current iterate $\\mathbf{\\theta}^{(t)}$\n", "$$\n", "\tL(\\mathbf{\\theta}) \\approx L(\\mathbf{\\theta}^{(t)}) + dL(\\mathbf{\\theta}^{(t)}) (\\mathbf{\\theta} - \\mathbf{\\theta}^{(t)}) + \\frac 12 (\\mathbf{\\theta} - \\mathbf{\\theta}^{(t)})^T d^2L(\\mathbf{\\theta}^{(t)}) (\\mathbf{\\theta} - \\mathbf{\\theta}^{(t)})\n", "$$\n", "and then maximize the quadratic approximation.\n", "\n", "* To maximize the quadratic function, we equate its gradient to zero\n", "$$\n", "\t\\nabla L(\\theta^{(t)}) + [d^2L(\\theta^{(t)})] (\\theta - \\theta^{(t)}) = \\mathbf{0}_p,\n", "$$\n", "which suggests the next iterate\n", "$$\n", "\\begin{eqnarray*}\n", "\t\\theta^{(t+1)} &=& \\theta^{(t)} - [d^2L(\\theta^{(t)})]^{-1} \\nabla L(\\theta^{(t)}) \\\\\n", "\t&=& \\theta^{(t)} + [-d^2L(\\theta^{(t)})]^{-1} \\nabla L(\\theta^{(t)}).\n", "\\end{eqnarray*}\n", "$$\n", "We call this **naive Newton's method**.\n", "\n", "* **Stability issue**: naive Newton's iterate is **not** guaranteed to be an ascent algorithm. It's equally happy to head uphill or downhill. Remedies: \n", " 0. approximate $-d^2L(\\theta^{(t)})$ by a positive definite $\\mathbf{A}$ (if it's not), **and** \n", " 0. line search (backtracking). \n", "Why insist on a _positive definite_ approximation of Hessian? By first-order Taylor expansion,\n", "$$\n", "\\begin{eqnarray*}\n", " & & L(\\theta^{(t)} + s \\Delta \\theta^{(t)}) - L(\\theta^{(t)}) \\\\\n", " &=& dL(\\theta^{(t)}) s \\Delta \\theta^{(t)} + o(s) \\\\\n", " &=& s dL(\\theta^{(t)}) [\\mathbf{A}^{(t)}]^{-1} \\nabla L(\\theta^{(t)}) + o(s).\n", "\\end{eqnarray*}\n", "$$\n", "For $s$ sufficiently small, right hand side is strictly positive when $\\mathbf{A}^{(t)}$ is positive definite.\n", "\n", "* In summary, a **Newton-type algorithm** iterates according to\n", "$$\n", "\t\\boxed{ \\theta^{(t+1)} = \\theta^{(t)} + s [\\mathbf{A}^{(t)}]^{-1} \\nabla L(\\theta^{(t)}) \n", "\t= \\theta^{(t)} + s \\Delta \\theta^{(t)} }\n", "$$\n", "where $\\mathbf{A}^{(t)}$ is a pd approximation of $-d^2L(\\theta^{(t)})$ and $s$ is a step length.\n", "\n", "* For strictly concave $L$, $-d^2L(\\theta^{(t)})$ is always positive definite. Line search is still needed to guarantee convergence.\n", "\n", "* Line search strategy: step-halving ($s=1,1/2,\\ldots$), golden section search, cubic interpolation, Amijo rule, ... Note the **Newton direction** \n", "$$\n", "\\Delta \\theta^{(t)} = [\\mathbf{A}^{(t)}]^{-1} \\nabla L(\\theta^{(t)})\n", "$$\n", "only needs to be calculated once. Cost of line search mainly lies in objective function evaluation.\n", "\n", "* How to approximate $-d^2L(\\theta)$? More of an art than science. Often requires problem specific analysis. \n", "\n", "* Taking $\\mathbf{A} = \\mathbf{I}$ leads to the method of **steepest ascent**, aka **gradient ascent**.\n", "\n", "" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Fisher's scoring method\n", "\n", "* **Fisher's scoring method**: replace $-d^2L(\\theta)$ by the expected Fisher information matrix\n", "$$\n", "\t\\mathbf{I}(\\theta) = \\mathbf{E}[-d^2L(\\theta)] = \\mathbf{E}[\\nabla L(\\theta) dL(\\theta)] \\succeq \\mathbf{0}_{p \\times p},\n", "$$\n", "which is psd under exchangeability of expectation and differentiation.\n", "\n", " Therefore the Fisher's scoring algorithm iterates according to\n", "$$\n", "\t\\boxed{ \\theta^{(t+1)} = \\theta^{(t)} + s [\\mathbf{I}(\\theta^{(t)})]^{-1} \\nabla L(\\theta^{(t)})}.\n", "$$" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Generalized linear model (GLM) (KL 14.7)\n", "\n", "### Logistic regression\n", "\n", "Let's consider a concrete example: logistic regression.\n", "\n", "* The goal is to predict whether a credit card transaction is fraud ($y_i=1$) or not ($y_i=0$). Predictors ($\\mathbf{x}_i$) include: time of transaction, last location, merchant, ...\n", "\n", "* $y_i \\in \\{0,1\\}$, $\\mathbf{x}_i \\in \\mathbb{R}^{p}$. Model $y_i \\sim $Bernoulli$(p_i)$.\n", "\n", "* Logistic regression. Density\n", "$$\n", "\\begin{eqnarray*}\n", "\tf(y_i|p_i) &=& p_i^{y_i} (1-p_i)^{1-y_i} \\\\\n", "\t&=& e^{y_i \\ln p_i + (1-y_i) \\ln (1-p_i)} \\\\\n", "\t&=& e^{y_i \\ln \\frac{p_i}{1-p_i} + \\ln (1-p_i)},\n", "\\end{eqnarray*}\n", "$$\n", "where\n", "$$\n", "\\begin{eqnarray*}\n", "\t\\mathbf{E} (y_i) = p_i &=& \\frac{e^{\\mathbf{x}_i^T \\beta}}{1+ e^{\\mathbf{x}_i^T \\beta}} \\quad \\text{(mean function, inverse link function)} \\\\\n", "\t\\mathbf{x}_i^T \\beta &=& \\ln \\left( \\frac{p_i}{1-p_i} \\right) \\quad \\text{(logit link function)}.\n", "\\end{eqnarray*}\n", "$$\n", "\n", "* Given data $(y_i,\\mathbf{x}_i)$, $i=1,\\ldots,n$,\n", "\n", "$$\n", "\\begin{eqnarray*}\n", "\tL_n(\\beta) &=& \\sum_{i=1}^n \\left[ y_i \\ln p_i + (1-y_i) \\ln (1-p_i) \\right] \\\\\n", "\t&=& \\sum_{i=1}^n \\left[ y_i \\mathbf{x}_i^T \\beta - \\ln (1 + e^{\\mathbf{x}_i^T \\beta}) \\right] \\\\\n", "\t\\nabla L_n(\\beta) &=& \\sum_{i=1}^n \\left( y_i \\mathbf{x}_i - \\frac{e^{\\mathbf{x}_i^T \\beta}}{1+e^{\\mathbf{x}_i^T \\beta}} \\mathbf{x}_i \\right) \\\\\n", "\t&=& \\sum_{i=1}^n (y_i - p_i) \\mathbf{x}_i = \\mathbf{X}^T (\\mathbf{y} - \\mathbf{p})\t\\\\\n", "\t- d^2L_n(\\beta) &=& \\sum_{i=1}^n p_i(1-p_i) \\mathbf{x}_i \\mathbf{x}_i^T = \\mathbf{X}^T \\mathbf{W} \\mathbf{X}, \\quad\n", "\t\\text{where } \\mathbf{W} &=& \\text{diag}(w_1,\\ldots,w_n), w_i = p_i (1-p_i) \\\\\n", "\t\\mathbf{I}_n(\\beta) &=& \\mathbf{E} [- d^2L_n(\\beta)] = - d^2L_n(\\beta).\n", "\\end{eqnarray*}\n", "$$\n", "\n", "* Newton's method == Fisher's scoring iteration: \n", "$$\n", "\\begin{eqnarray*}\n", "\t\\beta^{(t+1)} &=& \\beta^{(t)} + s[-d^2 L(\\beta^{(t)})]^{-1} \\nabla L(\\beta^{(t)})\t\\\\\n", "\t&=& \\beta^{(t)} + s(\\mathbf{X}^T \\mathbf{W}^{(t)} \\mathbf{X})^{-1} \\mathbf{X}^T (\\mathbf{y} - \\mathbf{p}^{(t)}) \\\\\n", "\t&=& (\\mathbf{X}^T \\mathbf{W}^{(t)} \\mathbf{X})^{-1} \\mathbf{X}^T \\mathbf{W}^{(t)} \\left[ \\mathbf{X} \\beta^{(t)} + s(\\mathbf{W}^{(t)})^{-1} (\\mathbf{y} - \\mathbf{p}^{(t)}) \\right] \\\\\n", "\t&=& (\\mathbf{X}^T \\mathbf{W}^{(t)} \\mathbf{X})^{-1} \\mathbf{X}^T \\mathbf{W}^{(t)} \\mathbf{z}^{(t)},\n", "\\end{eqnarray*}\n", "$$\n", "where \n", "$$\n", "\t\\mathbf{z}^{(t)} = \\mathbf{X} \\beta^{(t)} + s(\\mathbf{W}^{(t)})^{-1} (\\mathbf{y} - \\mathbf{p}^{(t)})\n", "$$ \n", "are the working responses. A Newton's iteration is equivalent to solving a weighed least squares problem $\\sum_{i=1}^n w_i (z_i - \\mathbf{x}_i^T \\beta)^2$. Thus the name **IRWLS (iteratively re-weighted least squares)**.\n", "\n", "### GLM \n", "\n", "Let's consider the more general class of generalized linear models (GLM).\n", "\n", "\n", "| Family | Canonical Link | Variance Function |\n", "|------------------|-------------------------------|-------------------|\n", "| Normal | $\\eta=\\mu$ | 1 |\n", "| Poisson | $\\eta=\\log \\mu$ | $\\mu$ |\n", "| Binomial | $\\eta=\\log \\left( \\frac{\\mu}{1 - \\mu} \\right)$ | $\\mu (1 - \\mu)$ |\n", "| Gamma | $\\eta = \\mu^{-1}$ | $\\mu^2$ |\n", "| Inverse Gaussian | $\\eta = \\mu^{-2}$ | $\\mu^3$ |\n", "\n", "* $Y$ belongs to an exponential family with density\n", "$$\n", "\tp(y|\\theta,\\phi) = \\exp \\left\\{ \\frac{y\\theta - b(\\theta)}{a(\\phi)} + c(y,\\phi) \\right\\}.\n", "$$\n", " * $\\theta$: natural parameter. \n", " * $\\phi>0$: dispersion parameter. \n", "GLM relates the mean $\\mu = \\mathbf{E}(Y|\\mathbf{x})$ via a strictly increasing link function\n", "$$\n", "\tg(\\mu) = \\eta = \\mathbf{x} \\beta, \\quad \\mu = g^{-1}(\\eta)\n", "$$\n", "\n", "* Score, Hessian, information\n", "\n", "$$\n", "\\begin{eqnarray*}\n", " \t\\nabla L_n(\\beta) &=& \\sum_{i=1}^n \\frac{(y_i-\\mu_i) \\mu_i'(\\eta_i)}{\\sigma_i^2} \\mathbf{x}_i \\\\\n", "\t- d^2 L_n(\\beta) &=& \\sum_{i=1}^n \\frac{[\\mu_i'(\\eta_i)]^2}{\\sigma_i^2} \\mathbf{x}_i \\mathbf{x}_i^T - \\sum_{i=1}^n \\frac{(y_i - \\mu_i) \\theta''(\\eta_i)}{\\sigma_i^2} \\mathbf{x}_i \\mathbf{x}_i^T\t\\\\\n", "\t\\mathbf{I}_n(\\beta) &=& \\mathbf{E} [- d^2 L_n(\\beta)] = \\sum_{i=1}^n \\frac{[\\mu_i'(\\eta_i)]^2}{\\sigma_i^2} \\mathbf{x}_i \\mathbf{x}_i^T = \\mathbf{X}^T \\mathbf{W} \\mathbf{X}.\n", "\\end{eqnarray*} \n", "$$\n", "\n", "* Fisher scoring method\n", "$$\n", " \t\\beta^{(t+1)} = \\beta^{(t)} + s [\\mathbf{I}(\\beta^{(t)})]^{-1} \\nabla L_n(\\beta^{(t)})\n", "$$\n", "IRWLS with weights $w_i = [\\mu_i(\\eta_i)]^2/\\sigma_i^2$ and some working responses $z_i$.\n", "\n", "* For **canonical link**, $\\theta = \\eta$, the second term of Hessian vanishes and Hessian coincides with Fisher information matrix. Convex problem 😄\n", "$$\n", "\t\\text{Fisher's scoring = Newton's method}.\n", "$$\n", " \n", "* Non-canonical link, non-convex problem 😞\n", "$$\n", "\t\\text{Fisher's scoring algorithm} \\ne \\text{Newton's method}.\n", "$$\n", "Example: Probit regression (binary response with probit link).\n", "$$\n", "\\begin{eqnarray*}\n", " y_i &\\sim& \\text{Bernoulli}(p_i) \\\\\n", " p_i &=& \\Phi(\\mathbf{x}_i^T \\beta) \\\\\n", " \\eta_i &=& \\mathbf{x}_i^T \\beta = \\Phi^{-1}(p_i).\n", "\\end{eqnarray*}\n", "$$\n", "where $\\Phi(\\cdot)$ is the cdf of a standard normal.\n", " \n", "* Julia, R and Matlab implement the Fisher scoring method, aka IRWLS, for GLMs.\n", " * [GLM.jl](https://github.com/JuliaStats/GLM.jl) package." ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Nonlinear regression - Gauss-Newton method (KL 14.4-14.6)\n", "\n", "* Now we finally get to the problem Gauss faced in 1800! \n", "Relocate Ceres by fitting 41 observations to a 6-parameter (nonlinear) orbit.\n", "\n", "* Nonlinear least squares (curve fitting): \n", "$$\n", "\t\\text{minimize} \\,\\, f(\\beta) = \\frac{1}{2} \\sum_{i=1}^n [y_i - \\mu_i(\\mathbf{x}_i, \\beta)]^2\n", "$$\n", "For example, $y_i =$ dry weight of onion and $x_i=$ growth time, and we want to fit a 3-parameter growth curve\n", "$$\n", "\t\\mu(x, \\beta_1,\\beta_2,\\beta_3) = \\frac{\\beta_3}{1 + e^{-\\beta_1 - \\beta_2 x}}.\n", "$$\n", "\n", "\n", "\n", "* \"Score\" and \"information matrices\"\n", "$$\n", "\\begin{eqnarray*}\n", "\t\\nabla f(\\beta) &=& - \\sum_{i=1}^n [y_i - \\mu_i(\\beta)] \\nabla \\mu_i(\\beta) \\\\\n", "\td^2 f(\\beta) &=& \\sum_{i=1}^n \\nabla \\mu_i(\\beta) d \\mu_i(\\beta) - \\sum_{i=1}^n [y_i - \\mu_i(\\beta)] d^2 \\mu_i(\\beta) \\\\\n", "\t\\mathbf{I}(\\beta) &=& \\sum_{i=1}^n \\nabla \\mu_i(\\beta) d \\mu_i(\\beta) = \\mathbf{J}(\\beta)^T \\mathbf{J}(\\beta),\n", "\\end{eqnarray*}\n", "$$\n", "where $\\mathbf{J}(\\beta)^T = [\\nabla \\mu_1(\\beta), \\ldots, \\nabla \\mu_n(\\beta)] \\in \\mathbb{R}^{p \\times n}$.\n", "\n", "* **Gauss-Newton** (= \"Fisher's scoring algorithm\") uses $\\mathbf{I}(\\beta)$, which is always psd.\n", "$$\n", "\t\\boxed{ \\beta^{(t+1)} = \\beta^{(t)} + s [\\mathbf{I} (\\beta^{(t)})]^{-1} \\nabla L(\\beta^{(t)}) }\n", "$$\n", "\n", "* **Levenberg-Marquardt** method, aka **damped least squares algorithm (DLS)**, adds a ridge term to the approximate Hessian\n", "$$\n", "\t\\boxed{ \\beta^{(t+1)} = \\beta^{(t)} + s [\\mathbf{I} (\\beta^{(t)}) + \\tau \\mathbf{I}_p]^{-1} \\nabla L(\\beta^{(t)}) }\n", "$$\n", "bridging between Gauss-Newton and steepest descent.\n", "\n", "* Other approximation to Hessians: nonlinear GLMs. \n", "See KL 14.4 for examples." ] } ], "metadata": { "kernelspec": { "display_name": "Julia 0.6.2", "language": "julia", "name": "julia-0.6" }, "language_info": { "file_extension": ".jl", "mimetype": "application/julia", "name": "julia", "version": "0.6.2" }, "toc": { "colors": { "hover_highlight": "#DAA520", "running_highlight": "#FF0000", "selected_highlight": "#FFD700" }, "moveMenuLeft": true, "nav_menu": { "height": "153px", "width": "252px" }, "navigate_menu": true, "number_sections": true, "sideBar": true, "threshold": 4, "toc_cell": true, "toc_section_display": "block", "toc_window_display": false, "widenNotebook": false } }, "nbformat": 4, "nbformat_minor": 2 }