Chunk #35 — 4 Regularized Multinomial Regression

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Regularization Paths for Generalized Linear Models via Coordinate Descent.

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When the categorical response variable G has K > 2 levels, the linear logistic regression model can be generalized to a multi-logit model. The traditional approach is to extend (12) to K − 1 logits (19)logPr(G=ℓ|x)Pr(G=K|x)=β0ℓ+xTβℓ,ℓ=1,…,K−1.