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Condition Number Analysis of Logistic Regression, and its Implications for Standard First-Order Solution Methods

Robert M. Freund(rfreund***at***mit.edu)
Paul Grigas(pgrigas***at***berkeley.edu)
Rahul Mazumder(rahulmaz***at***mit.edu)

Abstract: Logistic regression is one of the most popular methods in binary classification, wherein estimation of model parameters is carried out by solving the maximum likelihood (ML) optimization problem, and the ML estimator is defined to be the optimal solution of this problem. It is well known that the ML estimator exists when the data is non-separable, but fails to exist when the data is linearly separable. First-order methods are the algorithms of choice for solving large-scale instances of the logistic regression problem. In this paper, we introduce a pair of condition numbers that measure the degree of non-separability or separability of a given dataset in the setting of binary classification, and we study how these condition numbers relate to and inform the properties and the convergence guarantees of first-order methods. When the training data is non-separable, we show that the degree of non-separability naturally enters the analysis and informs the properties and convergence guarantees of two standard first-order methods: steepest descent (for any given norm) and stochastic gradient descent. Expanding on the work of Bach, we also show how the degree of non-separability enters into the analysis of linear convergence of steepest descent (without needing strong convexity), as well as the adaptive convergence of stochastic gradient descent. When the training data is separable, first-order methods rather curiously have good empirical success -- a behavior that is not well understood in theory. In the case of separable data, we demonstrate how the degree of separability enters into the analysis of $\ell_2$ steepest descent and stochastic gradient descent for delivering approximate-maximum-margin solutions with associated computational guarantees as well. This suggests that first-order methods can lead to statistically meaningful solutions in the separable case, even though the ML solution does not exist.

Keywords: steepest descent, stochastic gradient descent, condition numbers, logistic regression

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Category 2: Applications -- Science and Engineering (Statistics )

Category 3: Applications -- Science and Engineering (Data-Mining )

Citation:

Download: [PDF]

Entry Submitted: 10/19/2018
Entry Accepted: 10/20/2018
Entry Last Modified: 10/19/2018

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