2014-06-20 multinomial logistic regression with apache spark

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Multinomial Logistic Regression with Apache Spark DB Tsai [email protected] Machine Learning Engineer June 20 th , 2014 Silicon Valley Machine Learning Meetup

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Logistic Regression can not only be used for modeling binary outcomes but also multinomial outcome with some extension. In this talk, DB will talk about basic idea of binary logistic regression step by step, and then extend to multinomial one. He will show how easy it's with Spark to parallelize this iterative algorithm by utilizing the in-memory RDD cache to scale horizontally (the numbers of training data.) However, there is mathematical limitation on scaling vertically (the numbers of training features) while many recent applications from document classification and computational linguistics are of this type. He will talk about how to address this problem by L-BFGS optimizer instead of Newton optimizer. Bio: DB Tsai is a machine learning engineer working at Alpine Data Labs. He is recently working with Spark MLlib team to add support of L-BFGS optimizer and multinomial logistic regression in the upstream. He also led the Apache Spark development at Alpine Data Labs. Before joining Alpine Data labs, he was working on large-scale optimization of optical quantum circuits at Stanford as a PhD student.

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Page 1: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Multinomial Logistic Regression with Apache Spark

DB Tsai [email protected]

Machine Learning Engineer

June 20th, 2014

Silicon Valley Machine Learning Meetup

Page 2: 2014-06-20 Multinomial Logistic Regression with Apache Spark

What is Alpine Data Labs doing?

● Collaborative, Code-Free, Advanced Analytics Solution for Big Data

Page 3: 2014-06-20 Multinomial Logistic Regression with Apache Spark

● Technology we're using: Scala/Java, Akka, Spray, Hadoop, Spark/SparkSQL, Pig, Sqoop

● Our platform runs against different flavors of Hadoop distributions such as Cloudera, Pivotal Hadoop, MapR, HortonWorks and Apache.

● Actively involved in the open source community: almost of all our newly developed algorithms in Spark will be contributed back to MLLib.

● Already committed a L-BFGS optimizer to Spark, and helped fix couple bugs. Working on multinational logistic regression, GLM, Decision Tree and a Random Forest

● In addition we are the maintainer of several open source projects including Chorus, SBT plugin for JUnit test Listener and several other projects.

We're open source friendly!

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We're hiring!● Machine Learning Engineer● Data Scientist● UI/UX Engineer● Front-end Engineer● Infrastructure Engineer● Back-end Engineer● Automation Test Engineer

Shoot me an email at [email protected]

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Machine Learning with Big Data

● Hadoop MapReduce solutions

● MapReduce is scaling well for batch processing● Lots of machine learning algorithms are iterative

by nature.● There are lots of tricks people do, like training

with subsamples of data, and then average the models. Why big data with approximation?

+ =

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Lightning-fast cluster computing

● Empower users to iterate through the data by utilizing the in-memory cache.

● Logistic regression runs up to 100x faster thanHadoop M/R in memory.

● We're able to train exact model without doing any approximation.

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Binary Logistic Regressiond=

ax1+bx 2+cx0

√a 2+b2where x0=1

P ( y=1∣⃗x , w⃗ )= exp(d )1+exp(d )

= exp( x⃗ w⃗ )1+exp( x⃗ w⃗ )

P ( y=0∣⃗x , w⃗)= 11+exp( x⃗ w⃗)

logP ( y=1∣⃗x , w⃗ )P( y=0∣⃗x , w⃗)

= x⃗ w⃗

w0=c

√a2+b2

w1=a

√a2+b2

w2=b

√a2+b2

where w0 is called as intercept

Page 8: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Training Binary Logistic Regression● Maximum Likelihood estimation

From a training data and labels

● We want to find that maximizes the likelihood of data defined by

● We can take log of the equation, and minimize

it instead. The Log-Likelihood becomes the loss function.

X=( x⃗1 , x⃗ 2 , x⃗3 , ...)Y=( y1, y2, y3, ...)

w⃗

L( w⃗ , x⃗1, ... , x⃗N)=P ( y1∣x⃗1 , w⃗)P ( y2∣x⃗2 , w⃗ )... P ( yN∣x⃗N , w⃗ )

l ( w⃗ , x⃗ )=log P ( y1∣x⃗1 , w⃗ )+log P ( y2∣x⃗ 2 , w⃗ )...+log P ( yN∣x⃗N , w⃗ )

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Optimization● First Order Minimizer

Require loss, gradient of loss function

– Gradient Decent is step size

– Limited-memory BFGS (L-BFGS)

– Orthant-Wise Limited-memory Quasi-Newton (OWLQN)

– Coordinate Descent (CD)

– Trust Region Newton Method (TRON)● Second Order Minimizer

Require loss, gradient and hessian of loss function

– Newton-Raphson, quadratic convergence. Fast!

● Ref: Journal of Machine Learning Research 11 (2010) 3183-3234, Chih-Jen Lin et al.

w⃗n+1=w⃗ n−γG⃗ , γ

w⃗n+1=w⃗ n−H−1G⃗

Page 10: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Problem of Second Order Minimizer

● Scale horizontally (the numbers of training data) by leveraging Spark to parallelize this iterative optimization process.

● Don't scale vertically (the numbers of training features). Dimension of Hessian is

● Recent applications from document classification and computational linguistics are of this type.

dim(H )=[(k−1)(n+1)]2 where k is numof class , nis numof features

Page 11: 2014-06-20 Multinomial Logistic Regression with Apache Spark

L-BFGS● It's a quasi-Newton method.● Hessian matrix of second derivatives doesn't

need to be evaluated directly. ● Hessian matrix is approximated using gradient

evaluations.● It converges a way faster than the default

optimizer in Spark, Gradient Decent.● We love open source! Alpine Data Labs

contributed our L-BFGS to Spark, and it's already merged in Spark-1157.

Page 12: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Training Binary Logistic Regressionl ( w⃗ , x⃗ ) = ∑

k=1

N

log P ( yk∣x⃗k , w⃗ )

= ∑k=1

N

yk logP ( yk=1∣x⃗k , w⃗)+(1− yk ) logP ( yk=0∣x⃗k , w⃗)

= ∑k=1

N

yk logexp ( x⃗k w⃗)

1+exp( x⃗k w⃗)+(1− yk ) log 1

1+exp( x⃗k w⃗ )

= ∑k=1

N

yk x⃗ k w⃗−log(1+exp( x⃗k w⃗))

Gradient : Gi (w⃗ , x⃗)=∂ l ( w⃗ , x⃗ )∂wi

=∑k=1

N

y k xki−exp ( x⃗k w⃗)

1+exp ( x⃗k w⃗ )xki

Hessian: H ij (w⃗ , x⃗)=∂∂ l (w⃗ , x⃗ )∂wi ∂w j

=−∑k=1

N exp( x⃗k w⃗)

(1+exp( x⃗k w⃗ ))2xki x kj

Page 13: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Overfitting

P ( y=1∣⃗x , w⃗)=exp(zd )

1+exp(zd )=

exp( x⃗ w⃗)1+exp( x⃗ w⃗)

Page 14: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Regularization● The loss function becomes

● The loss function of regularizer doesn't depend on data. Common regularizers are

– L2 Regularization:

– L1 Regularization:

● L1 norm is not differentiable at zero!

l total (w⃗ , x⃗)=lmodel (w⃗ , x⃗)+l reg ( w⃗)

lreg (w⃗ )=λ∑i=1

N

wi2

lreg (w⃗ )=λ∑i=1

N

∣wi∣

G⃗ (w⃗ , x⃗)total=G⃗ (w⃗ , x⃗)model+G⃗ ( w⃗)reg

H̄ ( w⃗ , x⃗)total=H̄ (w⃗ , x⃗)model+H̄ (w⃗ )reg

Page 15: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Mini School of Spark APIs● map(func) : Return a new distributed dataset

formed by passing each element of the source through a function func.

● reduce(func) : Aggregate the elements of the dataset using a function func (which takes two arguments and returns one). The function should be commutative and associative so that it can be computed correctly in parallel.

This is O(n) operation where n is number of partition. In SPARK-2174, treeReduce will be merged for O(log(n)) operation.

Page 16: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Example – compute the mean of numbers.

3.0

2.0

1.0

5.0

Executor 1

Executor 2

map

(3.0, 1)

(2.0, 1)

reduce

(5.0, 2)

reduce (11.0, 4)

Shuffle

reduce

(6.0, 2)(1.0, 1)

(5.0, 1)map

Executor 3

Page 17: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Mini School of Spark APIs

● mapPartitions(func) : Similar to map, but runs separately on each partition (block) of the RDD, so func must be of type Iterator[T] => Iterator[U] when running on an RDD of type T.

● This API allows us to have global variables on entire partition to aggregate the result locally and efficiently.

Page 18: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Better Mean of Numbers

Implementation

3.0

2.0

Executor 1

reduce (11.0, 4)

Shuffle

var counts = 0var sum = 0.0

loop

var counts = 2var sum = 5.0

3.0

2.0

(5.0, 2)

1.0

5.0

Executor 2

var counts = 0var sum = 0.0

loop

var counts = 2var sum = 6.0

1.0

5.0

(6.0, 2)

mapPartitions

Page 19: 2014-06-20 Multinomial Logistic Regression with Apache Spark

More Idiomatic Scala Implementation● aggregate(zeroValue: U)(seqOp: (U, T) => U,

combOp: (U, U) => U): U zeroValue is a neutral "zero value" with type U for initialization. This is analogous to

in previous example.

var counts = 0var sum = 0.0

seqOp is function taking(U, T) => U, where U is aggregator initialized as zeroValue. T is each line of values in RDD. This is analogous to mapPartition in previous example.

combOp is function taking(U, U) => U. This is essentially combing the results between different executors. The functionality is the same as reduce(func) in previous example.

Page 20: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Approach of Parallelization in SparkSpark Driver JVM

Tim

e

Spark Executor 1 JVM

Spark Executor 2 JVM

1) Find available resources in cluster, and launch executor JVMs. Also initialize the weights.

2) Ask executors to load the data into executors' JVMs

2) Trying to load the data into memory. If the data is bigger than memory, it will be partial cached. (The data locality from source will be taken care by Spark)

3) Ask executors to compute loss, and gradient of each training sample (each row) given the current weights. Get the aggregated results after the Reduce Phase in executors.

5) If the regularization is enabled, compute the loss and gradient of regularizer in driver since it doesn't depend on training data but only depends on weights. Add them into the results from executors.

3) Map Phase: Compute the loss and gradient of each row of training data locally given the weights obtained from the driver. Can either emit each result or sum them up in local aggregators.

4) Reduce Phase: Sum up the losses and gradients emitted from the Map Phase

Taking a rest!

6) Plug the loss and gradient from model and regularizer into optimizer to get the new weights. If the differences of weights and losses are larger than criteria, GO BACK TO 3)

Taking a rest!

7) Finish the model training! Taking a rest!

Page 21: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Step 3) and 4) ● This is the implementation of step 3) and 4) in

MLlib before Spark 1.0

● gradient can have implementations ofLogistic Regression, Linear Regression, SVM, or any customized cost function.

● Each training data will create new “grad” object after gradient.compute.

Page 22: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Step 3) and 4) with mapPartitions

Page 23: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Step 3) and 4) with aggregate

● This is the implementation of step 3) and 4) in MLlib in coming Spark 1.0

● No unnecessary object creation! It's helpful when we're dealing with large features training data. GC will not kick in the executor JVMs.

Page 24: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Extension to Multinomial Logistic Regression

● In Binary Logistic Regression

● For K classes multinomial problem where labels ranged from [0, K-1], we can generalize it via

● The model, weights becomes (K-1)(N+1) matrix, where N is number of features.

logP ( y=1∣⃗x , w̄)P ( y=0∣⃗x , w̄)

= x⃗ w⃗1

logP ( y=2∣⃗x , w̄)P ( y=0∣⃗x , w̄)

= x⃗ w⃗2

...

logP ( y=K−1∣⃗x , w̄)P ( y=0∣⃗x , w̄)

= x⃗ w⃗K−1

logP ( y=1∣⃗x , w⃗)P ( y=0∣⃗x , w⃗)

= x⃗ w⃗

w̄=(w⃗1, w⃗2, ... , w⃗K−1)T

P ( y=0∣⃗x , w̄ )= 1

1+∑i=1

K−1

exp( x⃗ w⃗ i )

P ( y=1∣⃗x , w̄)=exp( x⃗ w⃗2)

1+∑i=1

K−1

exp( x⃗ w⃗ i)

...

P ( y=K−1∣⃗x , w̄ )=exp( x⃗ w⃗K−1)

1+∑i=1

K−1

exp( x⃗ w⃗ i )

Page 25: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Training Multinomial Logistic Regression

l ( w̄ , x⃗ ) = ∑k=1

N

log P ( yk∣x⃗k , w̄ )

= ∑k=1

N

α( y k) log P ( y=0∣x⃗ k , w̄ )+(1−α( yk )) logP ( yk∣x⃗k , w̄)

= ∑k=1

N

α( y k) log 1

1+∑i=1

K−1

exp( x⃗ w⃗i)+(1−α( yk )) log

exp( x⃗ w⃗ yk)

1+∑i=1

K−1

exp( x⃗ w⃗i)

= ∑k=1

N

(1−α( yk )) x⃗ w⃗ y k−log (1+∑

i=1

K−1

exp( x⃗ w⃗i))

Gradient : Gij (w̄ , x⃗)=∂ l ( w̄ , x⃗)∂wij

=∑k=1

N

(1−α( yk )) xkj δi , y k−

exp ( x⃗k w⃗)1+exp( x⃗k w⃗ )

xkj

α( yk )=1 if y k=0α( yk )=0 if yk≠0

Define:

Note that the first index “i” is for classes, and the second index “j” is for features.

Hessian: H ij , lm( w̄ , x⃗ )=∂∂ l (w̄ , x⃗)∂wij ∂wlm

Page 26: 2014-06-20 Multinomial Logistic Regression with Apache Spark

0 5 10 15 20 25 30 350.3

0.35

0.4

0.45

0.5

0.55

0.6

0.65

0.7

Logistic Regression with a9a Dataset (11M rows, 123 features, 11% non-zero elements)16 executors in INTEL Xeon E3-1230v3 32GB Memory * 5 nodes Hadoop 2.0.5 alpha cluster

L-BFGS Dense Features

L-BFGS Sparse Features

GD Sparse Features

GD Dense Features

Seconds

Log

-Lik

elih

ood

/ N

um

ber

of

Sam

ple

sa9a Dataset Benchmark

Page 27: 2014-06-20 Multinomial Logistic Regression with Apache Spark

a9a Dataset Benchmark

-1 1 3 5 7 9 11 13 150.3

0.35

0.4

0.45

0.5

0.55

0.6

0.65

0.7

Logistic Regression with a9a Dataset (11M rows, 123 features, 11% non-zero elements)16 executors in INTEL Xeon E3-1230v3 32GB Memory * 5 nodes Hadoop 2.0.5 alpha cluster

L-BFGS

GD

Iterations

Log

-Lik

elih

ood

/ N

um

ber

of

Sam

ple

s

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0 5 10 15 20 25 30

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

Logistic Regression with rcv1 Dataset (6.8M rows, 677,399 features, 0.15% non-zero elements)16 executors in INTEL Xeon E3-1230v3 32GB Memory * 5 nodes Hadoop 2.0.5 alpha cluster

LBFGS Sparse Vector

GD Sparse Vector

Second

Log

-Lik

elih

ood

/ N

um

ber

of

Sam

ple

srcv1 Dataset Benchmark

Page 29: 2014-06-20 Multinomial Logistic Regression with Apache Spark

news20 Dataset Benchmark

0 10 20 30 40 50 60 70 800

0.2

0.4

0.6

0.8

1

1.2

Logistic Regression with news20 Dataset (0.14M rows, 1,355,191 features, 0.034% non-zero elements)16 executors in INTEL Xeon E3-1230v3 32GB Memory * 5 nodes Hadoop 2.0.5 alpha cluster

LBFGS Sparse Vector

GD Sparse Vector

Second

Log

-Lik

elih

ood

/ N

um

ber

of

Sam

ple

s

Page 30: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Alpine Demo

Page 31: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Alpine Demo

Page 32: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Alpine Demo

Page 33: 2014-06-20 Multinomial Logistic Regression with Apache Spark

Conclusion● We're hiring!

● Spark runs programs 100x faster than Hadoop

● Spark turns iterative big data machine learning problems into single machine problems

● MLlib provides lots of state of art machine learning implementations, e.g. K-means, linear regression, logistic regression, ALS, collaborative filtering, and Naive Bayes, etc.

● Spark provides ease of use APIs in Java, Scala, or Python, and interactive Scala and Python shell

● Spark is Apache project, and it's the most active big data open source project nowadays.