% Logistic regression modeling via geometric programming (GP). % (a figure is generated) % % This examples solves a logistic regression example presented % in the book "Convex Optimization" by Boyd and Vandenberghe % (see pages 354-355). More info can be found in the attached report: % % Logistic regression via Geometric Programming % by Seung Jean Kim and Almir Mutapcic % (Will be available soon.) % % Solves the logistic regression problem re-formulated as a GP. % The original log regression problem is: % % minimize sum_i(theta'*x_i) + sum_i( log(1 + exp(-theta'*x_i)) ) % % where x are explanatory variables and theta are model parameters. % The equivalent GP is obtained by the following change of variables: % z_i = exp(theta_i). The log regression problem is then a GP: % % minimize prod( prod(z_j^x_j) ) * (prod( 1 + prod(z_j^(-x_j)) )) % % with variables z and data x (explanatory variables). % % Almir Mutapcic, 11/05 % load problem data from the Convex Optimization book load_log_reg_data; % order the observation data ind_false = find( y == 0 ); ind_true = find( y == 1 ); % X is the sorted design matrix % first have true than false observations followed by the bias term X = [u(ind_true); u(ind_false)]; X = [X ones(size(u,1),1)]; [m,n] = size(X); q = length(ind_true); % optimization variables gpvar z(n) t(q) s(m) % objective function obj = prod(t)*prod(s); constr = gpconstraint; % constraints for k = 1:q constr(k) = prod( z.^(X(k,:)') ) <= t(k); end for k = 1:m constr(end+1) = 1 + prod( z.^(-X(k,:)') ) <= s(k); end % solve the GP problem [obj_value, solution, status] = gpsolve(obj, constr) assign(solution) % retrieve the optimal values and plot the result theta = log(z); aml = -theta(1); bml = -theta(2); us = linspace(-1,11,1000)'; ps = exp(aml*us + bml)./(1+exp(aml*us+bml)); plot(us,ps,'-', u(ind_true),y(ind_true),'o', ... u(ind_false),y(ind_false),'o'); axis([-1, 11,-0.1,1.1]);

Problem succesfully solved. obj_value = 2.1033e+14 solution = 's' [100x1 double] 't' [ 53x1 double] 'z' [ 2x1 double] status = Solved