Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Better initial guesses for logistic regression #15

Open
dcwuser opened this issue Mar 15, 2018 · 1 comment
Open

Better initial guesses for logistic regression #15

dcwuser opened this issue Mar 15, 2018 · 1 comment

Comments

@dcwuser
Copy link
Owner

dcwuser commented Mar 15, 2018

We do a full-on multi-dimensional optimization to get logistic regression parameters via likelihood maximization. I don't see any alternatives in the literature, but we should at least be able to make a better initial guess to feed into that algorithm than "all zeros", which is what we currently do.

@dcwuser
Copy link
Owner Author

dcwuser commented Mar 16, 2018

For the bivariate case, here is a simple idea I found online. Call x_T and x_F the mean values of x for the true and false cases. Assume
\sigma(a + b x_T) = 3/4
\sigma(a + b x_F) = 1/4
Then b = \frac{\sigma^{-1}(3/4) - \sigma^{-1}(1/4)}{x_T - x_F}. This should get the sign right, and the order of magnitude if we are lucky.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Projects
None yet
Development

No branches or pull requests

1 participant