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Maximum Likelihood, Logistic Regression, and Stochastic Gradient TrainingCharles 10, 20141 Principle of Maximum likelihoodConsider a family of probability distributions defined by a set of parameters .The distributions may be either probability mass functions (pmfs) or probabilitydensity functions (pdfs). Suppose that we have a random sample drawn froma fixed but unknown member of this family. The random sample is a trainingset ofnexamplesx1toxn. An example may also be called an observation, anoutcome, an instance, or a data point. In general eachxjis a vector of values, and is a vector of real-valued parameters. For example, for a Gaussian distribution = , 2 .We assume that the examples are independent, so the probability of the set isthe product of the probabilities of the individual examples:f(x1,..,xn; ) = jf (xj; ).The notation above makes us think of the distribution as fixed and the examplesxjas unknown, or varying.
Maximum Likelihood, Logistic Regression, and Stochastic Gradient Training Charles Elkan elkan@cs.ucsd.edu January 10, 2014 1 Principle of maximum likelihood
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