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annotate scripts/statistics/models/logistic_regression_derivatives.m @ 8826:d49678a78fb9

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make dmult deprecated
author Jaroslav Hajek <highegg@gmail.com>
date Fri, 20 Feb 2009 12:07:30 +0100
parents f084ba47812b
children eb63fbe60fab
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1 ## Copyright (C) 1995, 1996, 1997, 1998, 1999, 2000, 2002, 2005, 2007
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2 ## Kurt Hornik
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3 ##
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4 ## This file is part of Octave.
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5 ##
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6 ## Octave is free software; you can redistribute it and/or modify it
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7 ## under the terms of the GNU General Public License as published by
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8 ## the Free Software Foundation; either version 3 of the License, or (at
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9 ## your option) any later version.
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10 ##
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11 ## Octave is distributed in the hope that it will be useful, but
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12 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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14 ## General Public License for more details.
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15 ##
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16 ## You should have received a copy of the GNU General Public License
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17 ## along with Octave; see the file COPYING. If not, see
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18 ## <http://www.gnu.org/licenses/>.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {Function File} {[@var{dl}, @var{d2l}] =} logistic_regression_derivatives (@var{x}, @var{z}, @var{z1}, @var{g}, @var{g1}, @var{p})
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22 ## Called by logistic_regression. Calculates derivates of the
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23 ## log-likelihood for ordinal logistic regression model.
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24 ## @end deftypefn
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25
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26 ## Author: Gordon K. Smyth <gks@maths.uq.oz.au>
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27 ## Adapted-By: KH <Kurt.Hornik@wu-wien.ac.at>
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28 ## Description: Derivates of log-likelihood in logistic regression
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29
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30 function [dl, d2l] = logistic_regression_derivatives (x, z, z1, g, g1, p)
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31
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32 if (nargin != 6)
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33 print_usage ();
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34 endif
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35
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36 ## first derivative
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37 v = g .* (1 - g) ./ p; v1 = g1 .* (1 - g1) ./ p;
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38 dlogp = [(diag (v) * z - diag (v1) * z1), (diag (v - v1) * x)];
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39 dl = sum (dlogp)';
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40
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41 ## second derivative
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42 w = v .* (1 - 2 * g); w1 = v1 .* (1 - 2 * g1);
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43 d2l = [z, x]' * diag (w) * [z, x] - [z1, x]' * diag (w1) * [z1, x] ...
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44 - dlogp' * dlogp;
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45
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46 endfunction