Introduction to Machine Learning

Linear Models for Classification

林彥宇 教授
Yen-Yu Lin, Professor
國立陽明交通大學 資訊工程學系
Computer Science, National Yang Ming Chiao Tung University

Some slides are modified from Prof. Sheng-Jyh Wang

and Prof. Hwang-Tzong Chen
Classification problem

• The goal in classification is to take an input vector 𝐱 and to

assign it to one of 𝐾 discrete classes 𝐶𝑘 where 𝑘 = 1, 2, … , 𝐾.

• The input space is divided into decision regions whose

boundaries are called decision boundaries or decision surfaces

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Classification problem

• Linear models for classification: the decision surfaces are linear

functions of the input vector 𝐱

2D case 3D case

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Classification problem

• Linear models for classification: the decision surfaces are linear

functions of the input vector 𝐱
• The decision surfaces are defined by (𝐷 − 1)-dimensional
hyperplanes within the 𝐷-dimensional input space
• Data whose classes can be separated by linear decision
surfaces are said to be linearly separable

linearly not linearly

separable separable 4
Classification problem

• Given a training data set comprising 𝑁 observations

{𝐱𝑛 }𝑁 𝑁
𝑛=1 and the corresponding target labels {𝑡𝑛 }𝑛=1 , the goal
of classification is to predict the label of 𝑡 for a new data
sample of 𝐱
➢ Categorical outputs, e.g., yes/no, dog/cat/other, called labels
➢ A classifier assigns each input vector to one of these labels
• Binary classification: two possible labels
• Multi-class classification: multiple possible labels
• Label representation
➢ Two classes: 𝑡 ∈ 1,0 or 𝑡 ∈ +1, −1
➢ Multiple classes, e.g., 𝐾 = 5: (1-of-K scheme)

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Three representative linear classifiers

• Different linear models for classification

➢ Discriminant functions

➢ Generative approach using Bayes’ theorem:

➢ Discriminative approach to directly model the class-conditional

density:

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Linear discriminant for two-class classification

• A linear discriminant is a linear function that takes an input

vector 𝐱 and assigns it to one of 𝐾 classes

• A linear discriminant function for two-class classification

where 𝐰 is the weight vector and 𝑤0 is the bias

• The decision boundary is , i.e., classification result

• is a (𝐷 − 1)-dimensional hyperplane within the 𝐷-

dimensional input space
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Properties of a linear discriminant

• Weight vector 𝐰 is orthogonal to every vector lying within the

decision boundary
➢ Consider two points 𝐱𝐴 and 𝐱 𝐵 , which lie on the decision
boundary
➢ We have , leading to

Photo: K.-R. Muller 8

Properties of a linear discriminant

• The distance from the origin to the decision boundary is

Photo: G. Shakhnarovich

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Properties of a linear discriminant

• How to compute the distance between an arbitrary point 𝐱 to

the decision boundary ?

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Linear discriminant for multi-class classification

• Consider the extension of linear discriminants to 𝐾 > 2 classes

• Many classifiers cannot directly extend to multi-class

classification
➢ Build a 𝐾-class discriminant by combining a number of two-class
discriminant functions
➢ One-versus-the-rest strategy
➢ One-versus-one strategy

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One-versus-the-rest

• One-vs-the-rest
➢ Learn 𝐾 − 1 two-class classifiers (linear discriminants)
➢ Classifier 1 is derived to separate data of class 1 from the rest
➢ Classifier 2 is derived to separate data of class 2 from the rest
➢…
➢ Classifier 𝐾 − 1 is derived to separate data of class 𝐾 − 1 from
the rest

3-class classification

2 one-vs-the-rest linear
discriminants
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One-vs-one

• One-vs-one
➢ Learn 𝐾(𝐾 − 1)/2 two-class classifiers, one for each class pair
➢ For classes i and j, a binary classifier is learned to separate data
of class i from those of class j
➢ Classification is done by majority vote
• The problem of ambiguous regions

3-class classification

3 one-vs-one linear
discriminants

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K-class discriminant

• A single K-class discriminant can avoid the problem of

ambiguous regions
➢ It is composed of K linear functions of the form

for 𝑘 = 1, 2, … 𝐾
➢ It assigns a point 𝐱 to class k if

➢ The decision boundary between class k and class j is

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K-class discriminant

• An example: 3-class discriminant

• The decision regions of such a
discriminant are convex
• Consider two points 𝐱𝐴 and 𝐱𝐵 , which lie inside region
• For any point 𝐱ො that lies on the line connecting 𝐱𝐴 and 𝐱 𝐵 , it
can be expressed as

• It can be proved that 𝐱ො also lies inside

➢ Linear function of class k:
➢ Proof:

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Linear discriminant learning

• Learning focuses on estimating a good decision boundary

• We need to optimize parameters 𝒘 and 𝑤0 of the boundary
• What does good mean here?
• Is this boundary good

Photo: R. Zemel et al.

• We need a criterion to tell how to optimize these parameters

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Least squares for classification

• Use least squares technique to solve a K-class discriminant

• Each class k is described by its own linear model

• A point 𝐱 is assigned to class k if

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Least squares for classification

• Some notations
➢ A data point 𝐱:
➢ 1-of-K binary coding for the label vector of 𝐱: 𝐭 = [0,1,0,0,0]𝑇
➢ The linear model for class k:
➢ Apply the linear model for class k to a point 𝐱:

➢ All data points: All data label vectors:

➢ All linear models:

➢ Apply all linear models to a point 𝐱:

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Least squares for classification

• The squared difference between and

• Sum-of-squares error

• Proof sketch
➢ Tr(AB) = Tr(BA)
➢ Tr(BA) is the sum of the diagonal elements of square matrix BA
➢ The nth diagonal element is the squared error of point 𝐱 𝑛
• Setting the derivative w.r.t. to 0, we obtain

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Least squares for classification

• After getting , we classify a new data point via

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Least squares for classification

• The least-squares solutions are sensitive to outliers

Magenta: least squares

Green: logistic regression
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Least squares for classification

• The least squares method sometimes gives poor results

Left: least squares

Right: logistic regression
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Fisher’s linear discriminant: 2 classes

• Fisher’s linear discriminant (FLD): a non-probabilistic method

for dimensionality reduction

• Consider the case of two classes, and suppose we take a 𝐷-

dimensional input vector 𝐱 and project it onto one dimension
by

• If we place a threshold on 𝐱, and classify it as class 𝐶1 if

𝑦 ≥ −𝑤0 , and otherwise class 𝐶2 , we get the linear classifier
discussed previously

• In general, dimensionality reduction leads to information loss,

but we can select a projection maximizing data separation
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Linear discriminant with maximum separation

• A two-class problem where there are 𝑁1 points of class 𝐶1 and

𝑁2 points of class 𝐶2
• The mean vectors of the two classes are
and

• An intuitive choice of 𝐰 that maximizes the distance between

the projected mean vectors, i.e.,

where
• However, the distance can be arbitrarily large by increasing the
magnitude of 𝐰
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Linear discriminant with maximum separation

• We constrain 𝐰 to have unit length, i.e.,

• The constrained optimization problem:

• The optimal 𝐰 in the optimization problem above

• How to prove?
➢ Use Lagrange multiplier to solve it
➢ By setting the gradient of Lagrange function w.r.t. optimization
variables to 0, we get

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Linear discriminant with maximum separation

• Is the obtained good?

➢ +: 𝐦1 , +: 𝐦2 , +: threshold
➢ Histograms of the two classes overlap

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Linear discriminant with maximum separation

• Is the obtained good?

➢ +: 𝐦1 , +: 𝐦2 , +: threshold
➢ Histograms of the two classes overlap
➢ Right plot: The projection learned by FLD
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Fisher’s linear discriminant: 2 classes

• FLD seeks the projection 𝐰 that gives a large distance between

the projected data means while giving a small variance within
each class

• Maximize the between-class variance

where
• Minimize the within-class variance
where

• The objective (Fisher criterion):

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Fisher’s linear discriminant: 2 classes

• The objective (Fisher criterion):

where SB is the between-class covariance matrix

SW is the within-class covariance matrix

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Fisher’s linear discriminant: 2 classes

• Differentiate Fisher criterion w.r.t. 𝐰

• We find that

• As , is in the direction of
• We have

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Fisher’s linear discriminant: 2 classes

• The optimized 𝐰 is called Fisher’s linear discriminant

• Project training data into a one-dimensional space via 𝐰

➢ Classification can be carried out by several methods
➢ Determine a threshold 𝑦0
◆Predict a point 𝐱 as 𝐶1 if 𝑦(𝐱) ≥ −𝑦0 , and otherwise class 𝐶2
➢ Use the nearest-neighbor rule
◆Project all training data into the one-dimensional space via 𝐰
◆Project a testing point 𝐱 to the same space
◆Retrieve the nearest training sample of 𝐱 in the projected space
◆Predict 𝐱 as the class that the retrieved sample belongs to

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Fisher’s linear discriminant: Multiple classes

• Fisher’s linear discriminant (FLD) for 𝐾 > 2 classes

• Assume the dimension of the input space is 𝐷, which is greater

than 𝐾

• FLD introduces 𝐷′ ≥ 1 linear weight vectors for

• Gathering the weight vectors together projects each data point

𝐱 to a 𝐷′ -dimensional space

where weight vectors are the columns of

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Fisher’s linear discriminant: Multiple classes

• Generalize the within-class covariance matrix to 𝐾 classes

• Recall the within-class covariance matrix when 𝐾 = 2

• The within-class covariance matrix when 𝐾 ≥ 2

where

and

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Fisher’s linear discriminant: Multiple classes

• Recall the between-class covariance matrix when 𝐾 = 2

• The extended between-class covariance matrix for 𝐾 > 2

where

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Fisher’s linear discriminant: Multiple classes

• Consider the case where FLD projects data to a one-dimensional

space, i.e., 𝐷′ = 1

• An equivalent objective

• Lagrangian function

• We have
• The optimal 𝐰 is the eigenvector of that corresponds to
the largest eigenvalue
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Fisher’s linear discriminant: Multiple classes

• Consider the case where FLD projects data to a multi-

dimensional space, i.e., 𝐷′ > 1
• Can we directly extend the objective to learn a multi-
dimensional projection? No
WT SB W
𝐽(w)= T
W SW W

• A choice for the objective is

• The columns of the optimal W are the eigenvectors of

that correspond to the 𝐷′ largest eigenvalues

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Fisher’s linear discriminant: Multiple classes

• About the value 𝐷′, the dimension of the projected space

• Note that the rank of the between-class covariance matrix is at

most 𝐾 − 1

• In other words, the dimension of the projected space by FLD is

at most 𝐾 − 1

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Probabilistic generative models: Two-class case

• In a generative model, we model the class-conditional

densities and class priors , and then use them to
compute posterior probabilities via Bayes’ theorem

• Consider two-class cases. The posterior probability for class 𝐶1

is defined by

where 𝜎(𝑎) is the logistic sigmoid function

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Logistic sigmoid function

• Logistic sigmoid function maps the whole real axis into [0,1]
➢ Symmetric property:

• The variable 𝑎 here represents the log of the ratio of

probabilities

• Logistic sigmoid function (red curve)

𝜎(𝑎)

𝑎 39
Probabilistic generative models: Multi-class case

• For the case of 𝐾 > 2 classes, the posterior probability for

class 𝐶𝑘 is defined by

where

• Multi-class generalization of logistic sigmoid function, or

softmax function
➢ If , we have and

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Continuous inputs: Two-class case

• Assume that the class-conditional densities are Gaussian and

all classes share the same covariance matrix:

• Recall where

• We have
where

• Note that the quadratic terms in 𝐱 are canceled

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Class-conditional and posterior probabilities

class-conditional densities posterior probability

: red
: blue Note that

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Continuous inputs: Multi-class case

• Assume that the class-conditional densities are Gaussian and

all classes share the same covariance matrix:

• Recall where

• We have
where

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Continuous inputs: Multi-class case

• If each class-conditional density has its own covariance

matrix , it leads to a quadratic discriminant

three class-conditional densities posterior probability

Decision boundary between red and green classes is linear,
while those between other pairs are quadratic
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Determine parameter values via maximum likelihood

• We specify the functional form of class-conditional density

• We assume the prior class probability takes the form

and
• Suppose a set of 𝑁 data points {𝐱 𝑛 , 𝑡𝑛 } is provided, where
𝑡𝑛 = 1 denotes class 𝐶1 and 𝑡𝑛 = 0 denotes class 𝐶2

• Our goal is to determine the values of parameters

to complete classification

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Determine parameter values via maximum likelihood

• For a data point 𝐱 𝑛 from class 𝐶1 , we have

• Similarly for class 𝐶2 , we have

• Suppose data are i.i.d. The likelihood function is given by

where

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Maximum likelihood solution for 𝜋

• It is convenient to maximize the log of the likelihood function

• Consider first the maximization w.r.t. 𝜋
• The terms in the log likelihood function that depend on 𝜋 are

• Setting the derivative w.r.t. 𝜋 to zero, we obtain

where 𝑁1 is the number of data in class 𝐶1 and 𝑁2 is the

number of data in class 𝐶2
• The ML estimate for 𝜋 is simple the fraction of points in class 𝐶1
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Maximum likelihood solution for

• Consider the maximization w.r.t.

• We pick those terms that depend on in the log likelihood
function

• Setting the derivative w.r.t. to zero leads to

• It is simply the mean of all data points belonging to class 𝐶1

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Maximum likelihood solution for

• Similarly, the corresponding result for is

• It is simply the mean of all data points belonging to class 𝐶2

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Maximum likelihood solution for

• Finally, consider the maximum likelihood solution for the

shared covariance matrix

• Picking out the terms in the log likelihood function that

depend on , we get

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Maximum likelihood solution for

where

• Setting the derivative to zero, we have

• The derivation

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Generative approach summary

• Class-conditional densities

• Class prior probabilities

and
• Determine the parameter values of
• Classification is carried out via
where

• ML solution can be directly extended to multi-class cases

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Generative vs. Discriminative models

• Probabilistic generative model: Indirect approach that finds

the parameters of class-conditional densities and class priors,
and applies Bayes’ theorem to get posterior probabilities

• Probabilistic discriminative models: Direct approach that uses

the generalized linear model to represent posterior
probabilities, and determines its parameters directly.

• Advantages of discriminative models:

➢ Better performance in most cases, especially when the class-
conditional density assumption gives a poor approximation to
the true distribution
➢ Less parameters

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Nonlinear basis functions for linear classification

• Nonlinear basis functions help when dealing with data that are
not linearly separable:

data points of class 𝐶1 +: mean of Gaussian basis function

data points of class 𝐶2
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Logistic regression for two-class classification

• Recall the posterior probability for two-class classification

• 1. Ignore the class-conditional probabilities and class priors

• 2. Apply basis functions for nonlinear transform
• 3. Assume the posterior probability can be written as a logistic
sigmoid acting on a linear function of the feature vector
• We get
and

where
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Logistic regression model

• This model is called logistic regression, though it is used for

classification

• Suppose the dimension of is 𝑀. There are 𝑀 parameters to

learn in logistic regression

• Cf. For the generative model, we use 2𝑀 parameters for the

means of two classes and 𝑀 (𝑀 + 1)/2 parameters for the
shared covariance matrix

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Determine parameters of logistic regression

• The derivative of the logistic sigmoid function

• Derivation:

• Given training data , where ,

for for , the likelihood function of logistic regression
is

where and
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Determine parameters of logistic regression

• The negative log likelihood, called cross entropy error, is

where
• The gradient of the error function w.r.t. 𝐰 is

• Derivation:

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Determine parameters of logistic regression

• Optimize the parameters by stochastic gradient descent

• Optimize the parameters by iterative reweighted least squares

(IRLS), i.e., Newton-Raphson iterative optimization scheme

where is the Hessian matrix whose elements comprise the

second derivatives of w.r.t. 𝐰

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Newton-Raphson iterative optimization

• Negative log likelihood function

• Gradient

• Hessian

where 𝐑 is a diagonal matrix with

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Newton-Raphson iterative optimization

• The Newton-Raphson update formula

• Hessian matrix is positive definite

• Proof:

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Multiclass logistic regression

• Recall two-class logistic regression

and

where

• We deal with multiclass cases

where the activation 𝑎𝑘 is given by

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Likelihood function of multiclass logistic regression

• Two-class case: Given training data , where

, for , the likelihood function of two-
class logistic regression is

where and

• For a multiclass case, we use 1-of-K coding to

represent each target label vector , let , we
have the likelihood function

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Newton-Raphson iterative optimization

• Negative log likelihood function is

• When using Newton-Raphson iterative optimization, we need

to have the following gradient and Hessian

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Background

• Variable dependence: 𝐰 → 𝑎 → 𝑦 → 𝐸

• According to

we have

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Background

• According to

we have
where

• Proof

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Background

• According to

we have

• Given and , we can compute

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Newton-Raphson iterative optimization
𝐰→𝑎→𝑦→𝐸

• Gradient

• Hessian

• With gradient and Hessian, Newton-Raphson method works

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Discriminative approach summary

• Posterior probability and logistic regression

and
• The negative log likelihood (cross entropy error)

• Newton-Raphson method for iterative optimization

• It can be extended to multiclass classification

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Summary

• Linear discriminant
➢ Two-class discriminant
➢ K-class discriminant
➢ Fisher’s linear discriminant
• Probabilistic generative model
➢ Class-conditional probability and class prior probability
➢ ML solution
• Probabilistic discriminative model: Logistic regression
➢ Posterior probability
➢ Newton-Raphson iterative optimization

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References

• Chapters 4.1, 4.2, and 4.3 in the PRML textbook

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Thank You for Your Attention!

Yen-Yu Lin (林彥宇)

Email: [email protected]
URL: https://www.cs.nctu.edu.tw/members/detail/lin

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