ENH minor improvement of binomial hessian #28453
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OmarManzoor
reviewed
Feb 19, 2024
OmarManzoor
approved these changes
Feb 19, 2024
jeremiedbb
approved these changes
Feb 20, 2024
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Reference Issues/PRs
#28048
What does this implement/fix? Explain your changes.
First, the formula for the hessian is wrong, but the difference is beyond machine precision.
For
raw_prediction <= -37,exp(raw_prediction) <= 8.533047625744066e-17is tiny.Correct formula:
hessian = exp(raw_prediction) / (1 + exp(raw_prediction))**22nd order hessian:
hessian = exp(raw_prediction) * (1 - 2 * exp(raw_prediction))1st order hessian:
hessian = exp(raw_prediction)The 2nd order hessian is wrongly implemented without the factor 2.
Any other comments?