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Logistic Regression from Scratch

What is Logistic Regression?

Logistic Regression is a statistical method used for binary classification problems, where the output can take one of two possible values (e.g., yes/no, 0/1, true/false). It models the probability that a given input belongs to a particular category by fitting a logistic function (also known as the sigmoid function) to the input features. Logistic Regression estimates the probability of an event occurring based on the given input variables.

Properties of Logistic Regression

  • Probabilistic Interpretation: Outputs a probability value between 0 and 1.
  • Linear Decision Boundary: The decision boundary is linear in the feature space.
  • Non-linear Mapping: The logistic function maps linear combinations of inputs to a probability.
  • Interpretable Coefficients: Coefficients indicate the strength and direction of the relationship between features and the target.

Assumptions of Logistic Regression

  1. Linearity of Independent Variables and Log Odds: The relationship between the independent variables and the log odds of the dependent variable is linear.
  2. Independence of Errors: The observations should be independent of each other.
  3. No Multicollinearity: Independent variables should not be highly correlated with each other.
  4. Large Sample Size: Logistic regression requires a large sample size to provide reliable estimates.

Equation of Logistic Regression

The logistic regression model predicts the probability $$\ P $$ that a given input $$\ \mathbf{x} $$ belongs to the positive class (1) using the logistic function:

$$ P(y=1 | \mathbf{x}) = \sigma(\mathbf{w}^T \mathbf{x} + b) = \frac{1}{1 + e^{-(\mathbf{w}^T \mathbf{x} + b)}} $$

Where:

  • $$\ \sigma $$ is the logistic (sigmoid) function.
  • $$\ \mathbf{w} $$ is the vector of weights.
  • $$\ \mathbf{x} $$ is the input feature vector.
  • $$\ b $$ is the bias term.

The logit function (log-odds) is given by:

$$ \text{logit}(P) = \ln\left(\frac{P}{1-P}\right) = \mathbf{w}^T \mathbf{x} + b $$

How to Calculate Logistic Regression

Step 1: Initialize Parameters

Initialize the weights $$\ \mathbf{w} $$ and bias $$\ b $$ to small random values.

Step 2: Compute the Predicted Probability

For each input $$\ \mathbf{x}^{(i)} $$, compute the predicted probability $$\ \hat{y}^{(i)} $$ using the logistic function:

$$ \hat{y}^{(i)} = \sigma(\mathbf{w}^T \mathbf{x}^{(i)} + b) = \frac{1}{1 + e^{-(\mathbf{w}^T \mathbf{x}^{(i)} + b)}} $$

Step 3: Compute the Loss Function

Compute the loss function using the binary cross-entropy loss:

$$ L(\mathbf{w}, b) = -\frac{1}{m} \sum_{i=1}^m \left[ y^{(i)} \ln(\hat{y}^{(i)}) + (1 - y^{(i)}) \ln(1 - \hat{y}^{(i)}) \right] $$

Step 4: Compute the Gradients

Compute the gradients of the loss function with respect to the weights $$\ \mathbf{w} $$ and bias $$\ b $$:

$$ \frac{\partial L}{\partial \mathbf{w}} = \frac{1}{m} \sum_{i=1}^m (\hat{y}^{(i)} - y^{(i)}) \mathbf{x}^{(i)} $$

$$ \frac{\partial L}{\partial b} = \frac{1}{m} \sum_{i=1}^m (\hat{y}^{(i)} - y^{(i)}) $$

Step 5: Update Parameters

Update the weights $$\ \mathbf{w} $$ and bias $$\ b $$ using gradient descent:

$$ \mathbf{w} := \mathbf{w} - \alpha \frac{\partial L}{\partial \mathbf{w}} $$

$$ b := b - \alpha \frac{\partial L}{\partial b} $$

where $$\ \alpha $$ is the learning rate.

Step 6: Repeat

Repeat steps 2 to 5 until the loss function converges or a predefined number of iterations is reached.

When to Use Logistic Regression

  1. Binary Outcomes: When the dependent variable is binary (i.e., it has two possible outcomes like Yes/No, True/False, 0/1).
  2. Linearly Separable Data: When the data can be linearly separated, meaning a straight line (or hyperplane in higher dimensions) can be used to separate the two classes.
  3. Probability Prediction: When you need not only the classification outcome but also the probability of a particular class.
  4. Simple and Fast: When you need a quick and easy-to-implement model that works well for a baseline or when computational resources are limited.
  5. Interpretability: When model interpretability is important, as logistic regression coefficients can provide insights into the relationship between the predictor variables and the probability of the outcome.

Advantages of Logistic Regression

  1. Simplicity: Logistic Regression is straightforward to implement and understand, making it a good baseline model.
  2. Efficiency: It requires less computational power and can handle large datasets efficiently.
  3. Probability Interpretation: It provides probability scores for observations, which can be useful in various decision-making processes.
  4. Feature Importance: The coefficients of the model can be used to understand the influence of different features on the outcome.
  5. Regularization: Techniques like L1 (Lasso) and L2 (Ridge) regularization can be easily incorporated to prevent overfitting.

Disadvantages of Logistic Regression

  1. Linear Decision Boundary: Logistic Regression assumes a linear relationship between the independent variables and the log odds of the outcome, which might not capture complex patterns.
  2. Not Suitable for Non-linear Problems: For non-linear classification problems, logistic regression may not perform well without transformations or feature engineering.
  3. Sensitive to Outliers: The performance can be affected by the presence of outliers.
  4. Overfitting with High-Dimensional Data: When the number of features is very large, logistic regression might overfit the training data, especially if regularization is not applied.
  5. Binary Limitation: Standard logistic regression is limited to binary classification. For multi-class classification, extensions like multinomial logistic regression or other algorithms are needed.