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Expectation-maximization for logistic regression
- Publication Year :
- 2013
-
Abstract
- We present a family of expectation-maximization (EM) algorithms for binary and negative-binomial logistic regression, drawing a sharp connection with the variational-Bayes algorithm of Jaakkola and Jordan (2000). Indeed, our results allow a version of this variational-Bayes approach to be re-interpreted as a true EM algorithm. We study several interesting features of the algorithm, and of this previously unrecognized connection with variational Bayes. We also generalize the approach to sparsity-promoting priors, and to an online method whose convergence properties are easily established. This latter method compares favorably with stochastic-gradient descent in situations with marked collinearity.
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1306.0040
- Document Type :
- Working Paper