Pattern Recognition and Machine Learning

4.3. Probabilistic Discriminative Models 209

4.3.4 Multiclass logistic regression

Section 4.2 In our discussion of generative models for multiclass classification, we have
seen that for a large class of distributions, the posterior probabilities are given by a
softmax transformation of linear functions of the feature variables, so that

p(Ck|φ)=yk(φ)=

exp(ak)

∑

jexp(aj)

(4.104)

where the ‘activations’akare given by

ak=wkTφ. (4.105)

There we used maximum likelihood to determine separately the class-conditional
densities and the class priors and then found the corresponding posterior probabilities
using Bayes’ theorem, thereby implicitly determining the parameters{wk}. Here we
consider the use of maximum likelihood to determine the parameters{wk}of this
model directly. To do this, we will require the derivatives ofykwith respect to all of
Exercise 4.17 the activationsaj. These are given by

∂yk

∂aj

=yk(Ikj−yj) (4.106)

whereIkjare the elements of the identity matrix.

Next we write down the likelihood function. This is most easily done using

the 1-of-Kcoding scheme in which the target vectortnfor a feature vectorφn

belonging to classCkis a binary vector with all elements zero except for elementk,

which equals one. The likelihood function is then given by

p(T|w 1 ,...,wK)=

∏N

n=1

∏K

k=1

p(Ck|φn)tnk=

∏N

n=1

∏K

k=1

ytnknk (4.107)

whereynk=yk(φn), andTis anN×Kmatrix of target variables with elements

tnk. Taking the negative logarithm then gives

E(w 1 ,...,wK)=−lnp(T|w 1 ,...,wK)=−

∑N

n=1

∑K

k=1

tnklnynk (4.108)

which is known as thecross-entropyerror function for the multiclass classification
problem.
We now take the gradient of the error function with respect to one of the param-
eter vectorswj. Making use of the result (4.106) for the derivatives of the softmax
Exercise 4.18 function, we obtain

∇wjE(w 1 ,...,wK)=

∑N

n=1

(ynj−tnj)φn (4.109)