# Figure 7.1: Logistic regression (GP version)

Jump to: Source code Text output Plots Library index

    % Section 7.1.1
    % Boyd & Vandenberghe, "Convex Optimization"
    % Kim & Mutapcic, "Logistic regression via geometric programming"
    % Written for CVX by Almir Mutapcic 02/08/06
    %
    % 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).

    randn('state',0);
    rand('state',0);

    a =  1;
    b = -5;

    m = 100;
    u = 10*rand(m,1);
    y = (rand(m,1) < exp(a*u+b)./(1+exp(a*u+b)));

    % 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);

    cvx_begin gp
      % optimization variables
      variables z(n) t(q) s(m)

      minimize( prod(t)*prod(s) )
      subject to
        for k = 1:q
          prod( z.^(X(k,:)') ) <= t(k);
        end

        for k = 1:m
          1 + prod( z.^(-X(k,:)') ) <= s(k);
        end
    cvx_end

    % 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]);

    Successive approximation method to be employed.
       SDPT3 will be called several times to refine the solution.
       Original size: 1320 variables, 401 equality constraints
       200 exponentials add 1600 variables, 1000 equality constraints
    -----------------------------------------------------------------
     Cones  |             Errors              |
    Mov/Act | Centering  Exp cone   Poly cone | Status
    --------+---------------------------------+---------
    200/200 | 5.422e+00  2.242e+00  0.000e+00 | Solved
    200/200 | 5.049e-01  1.636e-02  0.000e+00 | Solved
    194/199 | 2.442e-02  3.881e-05  0.000e+00 | Solved
      0/146 | 3.805e-04  7.816e-09  0.000e+00 | Solved
    -----------------------------------------------------------------
    Status: Solved
    Optimal value (cvx_optval): +2.10331e+14