[2A4-E-2] Machine learning: method extensions

[2A4-E-2-04] A Matrix-Operation Fast Approximated Solution for Logistic Regression with Strong L2 Regularization

〇Zeke Xie¹, Jinze Yu¹, Yanping Deng² (1. University of Tokyo, 2. Waseda University)

Keywords:Logistic Regression

We propose a second-order approximated solution for Logistic Regression with strong L2 regularization based on matrix operations. As training a Logistic Regression model is a convex optimization, researchers have efficient techniques solving it, such as Gradient Descent. But, to our best knowledge, a solution in the form of matrix operations has not been revealed. Generally speaking, matrix operation is faster and more convenient than solving optimization problems. In principle, the matrix-operation approximated solution is only applicable to Logistic Regression with very strong L2 regularization, however, it also works as a pretty good approximated solution in our empirical analysis even when the L2 regularization strength is set in a practical range. This method can also generate good parameter initialization efficiently. The mathematical proof is presented in this paper.