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Has anyone done multinomial logistic regression in Mathematica?

The binomial case is essentially done on the LogitModelFit documentation page and works fine.

I am following this formulation to obtain the outcome probabilities for k classes with k-1 calls to LogitModelFit.

I am getting normalized probabilities out, but they depend on how the classes are encoded for each independent regression. I can post what I have on request but it's a lot of code for something that isn't working.

Either multiple-binary or true multinomial would be fine for my purposes, but bonus for both implementations.

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Multiple-Binary Approach

Lets bring out the famous iris data set to set this up and split it into 80% training and 20% testing data to be used in fitting the model.

iris = ExampleData[{"Statistics", "FisherIris"}];
n = Length[iris]

rs = RandomSample[Range[n]];
cut = Ceiling[.8 n];
train = iris[[rs[[1 ;; cut]]]];
test = iris[[rs[[cut + 1 ;;]]]];

speciesList = Union[iris[[All,-1]]];

First we need to run a separate regression for each species of iris. I'm creating an encoder for the response for this purpose which gives 1 if the response matches a particular species and 0 otherwise.

encodeResponse[data_, species_] := Block[{resp},
  resp = data[[All, -1]];
  Join[data[[All, 1 ;; -2]]\[Transpose], {Boole[# === species] & /@ 
      resp}]\[Transpose]
  ]

Now we fit a model for each of the three species using this encoded training data.

logmods = 
  Table[LogitModelFit[encodeResponse[train, i], Array[x, 4], 
    Array[x, 4]], {i, speciesList}];

Each model can be used to estimate a probability that a particular set of features yields its class. For classification, we simply let them all "vote" and pick the category with highest probability.

mlogitClassify[mods_, speciesList_][x_] :=
 Block[{p},
  p = #[Sequence @@ x] & /@ mods;
  speciesList[[Ordering[p, -1][[1]]]]
  ]

So how well did this perform? In this case we get 14 out of 15 correct on the testing data (pretty good!).

class = mlogitClassify[logmods, speciesList][#] & /@ test[[All, 1 ;; -2]];

Mean[Boole[Equal @@@ Thread[{class, test[[All, -1]]}]]]

(* 14/15 *)

It is interesting to see what this classifier actually does visually. To do so, I'll reduce the number of variables to 2.

logmods2 = 
  Table[LogitModelFit[encodeResponse[train[[All, {3, 4, 5}]], i], 
    Array[x, 2], Array[x, 2]], {i, speciesList}];

Show[Table[
  RegionPlot[
   mlogitClassify[logmods2, speciesList][{x1, x2}] === i, {x1, .5, 
    7}, {x2, 0, 2.5}, 
   PlotStyle -> 
    Directive[Opacity[.25], 
     Switch[i, "setosa", Red, "virginica", Green, "versicolor", 
      Blue]]], {i, {"setosa", "virginica", "versicolor"}}], 
 ListPlot[Table[
   Tooltip[Pick[iris[[All, {3, 4}]], iris[[All, -1]], i], 
    i], {i, {"setosa", "virginica", "versicolor"}}], 
  PlotStyle -> {Red, Darker[Green], Blue}]]

enter image description here

The decision boundaries are more interesting if we allow more flexibility in the basis functions. Here I allow all of the possible quadratic terms.

logmods2 = 
  Table[LogitModelFit[
    encodeResponse[train[[All, {3, 4, 5}]], i], {1, x[1], x[2], 
     x[1]^2, x[2]^2, x[1] x[2]}, Array[x, 2]], {i, speciesList}];

Show[Table[
  RegionPlot[
   mlogitClassify[logmods2, speciesList][{x1, x2}] === i, {x1, .5, 
    7}, {x2, 0, 2.5}, 
   PlotStyle -> 
    Directive[Opacity[.25], 
     Switch[i, "setosa", Red, "virginica", Green, "versicolor", 
      Blue]], PlotPoints -> 100], {i, {"setosa", "virginica", 
    "versicolor"}}], 
 ListPlot[Table[
   Tooltip[Pick[iris[[All, {3, 4}]], iris[[All, -1]], i], 
    i], {i, {"setosa", "virginica", "versicolor"}}], 
  PlotStyle -> {Red, Darker[Green], Blue}]]

enter image description here

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  • $\begingroup$ Good stuff. How/when/why would you choose non-standard basis functions? When you had some physical reason to believe the response had e.g. quadratic dependence on one of the variables? $\endgroup$
    – Ibn Opcit
    Mar 29 '13 at 13:48
  • $\begingroup$ @IbnOpcit that is certainly one reason. Another is that if classification is all you care about (i.e. not the parameter estimates) it is not atypical to do this to give the learning method more freedom to fit the data. The big problem is that it can easily lead to over fitting so some sort of regularization method like lasso or ridge needs to be used and unfortunately M doesn't allow this automatically in LogitModelFit. $\endgroup$
    – Andy Ross
    Mar 29 '13 at 14:59
  • $\begingroup$ @IbnOpcit that's not to say that regularized logistic regression isn't straightforward in M, in fact I do this often. The hard part is writing your own iteratively reweighted least squares code in the case of ridge regression and dealing with (in my experience) poor scalability with FindMinimum or some such for lasso. $\endgroup$
    – Andy Ross
    Mar 29 '13 at 15:43
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Just for the sake of completeness, let us consider "true multinomial" approach. I'm trying to make the procedure explicit, so the code is far from optimal.

True Multinomial (Max Likelihood approach)

(1) Start with train/test split as in the previous @AndyRoss's example.

iris = ExampleData[{"Statistics", "FisherIris"}];
n = Length[iris]
SeedRandom[100] (* added *)
rs = RandomSample[Range[n]];
cut = Ceiling[.8 n];
train = iris[[rs[[1 ;; cut]]]]; 
test = iris[[rs[[cut + 1 ;;]]]];

and encode alternatives (categories) explicitly

code = Thread[{"setosa", "versicolor", "virginica"} -> {1, 2, 3}]

(2) Make $\beta[j, k]$ coefficients placeholders. We need 15 of them (3 categories and 5 regressors). Notice that we are going to add a unit vector to 4 features, so we've started from $k=0$ index in $\beta[j, 0]$.

B = Array[\[Beta], {3, 5}, {1, 0}];

(3) "True" multinomial solution is based on Maximum Log-Likelihood, so let us get the function that returns all terms of the Log-Likelihood (but do not sum them up yet)

logLike[train_] := Block[{train1, y},
  train1 = Prepend[Most[train], 1];
  y = train[[-1]];

  Part[B.train1, y] - Log[ Total[ Exp[B.train1]]]
]

(4) At this step we arbitrary set one category ('sentosa') as base-category. Mathematically it means that we have just set all $\beta[1, k] = 0$. At the same time we substitute all regressor placeholders with their observed values.

lll = logLike /@ (train /. code) /. Thread[B[[1]] -> 0];

(5) Solve maximisation problem (keeping in mind that we fixed betas for first category):

sol = NMaximize[Total @ lll, Flatten@ B[[2 ;; 3]]]

(* max LL -4.75215 and betas for 2 and 3 category *)

Now we may check the results (in this case all predictions are correct).

P[test_] := Block[{test1},
test1 = Prepend[Most[test], 1];
Exp[B.test1]/Total[Exp[B.test1]]
]

predict = Position[#, 1] & /@ (P /@ test /. Thread[B[[1]] -> 0] /. Last[sol] // Round) // Flatten

Mean[Boole[Equal /@ Thread[predict -> (test[[;; , -1]] /. code)]]]
(* 1 *)

P.S. Notice also that Multiple-binary approach has at least two forms: one-vs-rest and one-vs-one.

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Types of sampling:

  • simple random
  • stratified sampling
  • systematic sampling
  • cluster sampling
  • multistage sampling

Depending on this or combination of this the methodology does change a lot. Multinomial situations are .... This dictionary allows some definitions: multinomial. Each fitting is a multinomial experiment interpreted as a trial.

So a multinomial fitting or regression is always:

multinomial test of goodness of fit

a comparison of what is observed and expected.

From the multinomiality independent is the method of fit or regression. There are many methods available.

The multinomial logit model is the analysis for an independent extreme value:

  • $F_{\epsilon_{itj}}=\exp(-\exp(\epsilon_{itj}))$ (random part of the model)
  • independence across utility functions
  • identical variances (absorbed in contants)
  • same parameters for all individual (temporary).

The implied probabilities for the observed outcomes

$$P[choice=j\vert x_{ij},z_{ij},i,t]=P[U_{i,t,j}>U_{i,t,k}], k=1,2,...,J(i,t)=\frac{\exp(\alpha_j + \beta^t x_{ij}+\gamma_j^t z_{it})}{\sum_{i=1}^{J(i,t)}\exp(\alpha_j + \beta^t x_{ij}+\gamma_j^t z_{it})}\in(0,1)$$

  • K classes $y_i\in{1,2,...,K}$ or indicible
  • K vectors $\alpha_j,\beta^t x_{ij},\gamma_j^t,z_{it}$
  • there is an approach $p(x_i)=\frac{\exp h(x_i,y_i,z_i)}{\sum_{l=1}^{K}\exp h(x_i,y_i,z_i)}$
  • h is often simplified to reduce dimensionality
  • set up a cost function $J=-\frac{1}{n}\sum_{l=1}^{n}\log p_{y_i}(x_i)$
  • $J=0$ in the ideal case $J\rightarrow+\infty$ otherwise
  • for further simplicity $J$ approx. $\frac{1}{n}\sum_{l=1}^{n}[p_{y_i}(x_i)-max_{k=1,K,k\neq y_i}(p_{k}(x_i))] Everything has to be proven or even verified.

i numbers the observation. j numbers the category.

Cost functions are a very basic concept and are found everywhere i regression, statistics. One very popular interpretation of cost functions is entropy. Entropy has to grow negative if information is enlarging.

An example: enter image description here

other examples are given by the other answers here.

In Mathematica the built-in is LogitModelFit. Examples for more than one variate are starting under Scope. The built-in LogitModelFit is advantegeous to others becaue it offers many

logit["Properties"]

(* {"AdjustedLikelihoodRatioIndex", "AIC", "AnscombeResiduals",
"BestFit", "BestFitParameters", "BIC", "CookDistances",
"CorrelationMatrix", "CovarianceMatrix", "CoxSnellPseudoRSquared",
"CraggUhlerPseudoRSquared", "Data", "DesignMatrix",
"DevianceResiduals", "Deviances", "DevianceTable",
"DevianceTableDegreesOfFreedom", "DevianceTableDeviances",
"DevianceTableEntries", "DevianceTableResidualDegreesOfFreedom",
"DevianceTableResidualDeviances", "EfronPseudoRSquared",
"EstimatedDispersion", "FitResiduals", "Function", "HatDiagonal",
"LikelihoodRatioIndex", "LikelihoodRatioStatistic",
"LikelihoodResiduals", "LinearPredictor", "LogLikelihood",
"NullDeviance", "NullDegreesOfFreedom",
"ParameterConfidenceIntervals", "ParameterConfidenceIntervalTable",
"ParameterConfidenceIntervalTableEntries",
"ParameterConfidenceRegion", "ParameterErrors", "ParameterPValues",
"ParameterTable", "ParameterTableEntries", "ParameterZStatistics",
"PearsonChiSquare", "PearsonResiduals", "PredictedResponse",
"Properties", "ResidualDeviance", "ResidualDegreesOfFreedom",
"Response", "StandardizedDevianceResiduals",
"StandardizedPearsonResiduals", "WorkingResiduals"} *)

The mightiness is demonstrated under Properties. This is able to unhide the algorithm behind Mathematica built-ins for randomness. Under Dimensions and Deviances are the examples for fitting and regression.

There is even methodology for estimating the goodness of a regression. So there is built-in power to decide whether multinomial or another model is better suited.

For multistage experiments the methodology has to be transfered to tables of results or trees.

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