The Impact of Regularization on High-dimensional Logistic Regression

TL;DR

This paper analyzes how regularization affects high-dimensional logistic regression, providing explicit performance metrics and optimal regularizer parameters, extending previous work to structured parameter recovery.

Contribution

It offers a precise analytical framework for regularized logistic regression in high dimensions, including explicit formulas and optimization of regularizer parameters.

Findings

Explicit performance metrics derived for RLR

Optimal regularizer parameters identified

Validation through extensive simulations

Abstract

Logistic regression is commonly used for modeling dichotomous outcomes. In the classical setting, where the number of observations is much larger than the number of parameters, properties of the maximum likelihood estimator in logistic regression are well understood. Recently, Sur and Candes have studied logistic regression in the high-dimensional regime, where the number of observations and parameters are comparable, and show, among other things, that the maximum likelihood estimator is biased. In the high-dimensional regime the underlying parameter vector is often structured (sparse, block-sparse, finite-alphabet, etc.) and so in this paper we study regularized logistic regression (RLR), where a convex regularizer that encourages the desired structure is added to the negative of the log-likelihood function. An advantage of RLR is that it allows parameter recovery even for instances where the (unconstrained) maximum likelihood estimate does not exist. We provide a precise analysis of the performance of RLR via the solution of a system of six nonlinear equations, through which any performance metric of interest (mean, mean-squared error, probability of support recovery, etc.) can be explicitly computed. Our results generalize those of Sur and Candes and we provide a detailed study for the cases of $\ell_2^2$-RLR and sparse ($\ell_1$-regularized) logistic regression. In both cases, we obtain explicit expressions for various performance metrics and can find the values of the regularizer parameter that optimizes the desired performance. The theory is validated by extensive numerical simulations across a range of parameter values and problem instances.