In a multiple linear regression it is possible to find out the coeffient with the following formula.

$b = (X'X)^{-1}(X')Y$

beta = solve(t(X) %*% X) %*% (t(X) %*% Y) ; beta

For instance:

> y <- c(9.3, 4.8, 8.9, 6.5, 4.2, 6.2, 7.4, 6, 7.6, 6.1)
> x0 <- c(1,1,1,1,1,1,1,1,1,1) 
> x1 <-  c(100,50,100,100,50,80,75,65,90,90)
> x2 <- c(4,3,4,2,2,2,3,4,3,2)
> Y <- as.matrix(y)
> X <- as.matrix(cbind(x0,x1,x2))

> beta = solve(t(X) %*% X) %*% (t(X) %*% Y);beta
x0 -0.8687015
x1  0.0611346
x2  0.9234254
> model <- lm(y~+x1+x2) ; model$coefficients
(Intercept)          x1          x2 
 -0.8687015   0.0611346   0.9234254 

I would like how to calculate in the same "manual" way the beta for a logistic regression. Where of course the y would be 1 or 0. Assuming I'm using the binomial family with a logit link.

  • 1
    $\begingroup$ The question you actually ask has already been posed at stats.stackexchange.com/questions/949/…. The question it seems you wanted to ask is addressed by the answers here. $\endgroup$
    – whuber
    Jan 10, 2014 at 22:42

2 Answers 2


The OLS estimator in the linear regression model is quite rare in having the property that it can be represented in closed form, that is without needing to be expressed as the optimizer of a function. It is, however, an optimizer of a function -- the residual sum of squares function -- and can be computed as such.

The MLE in the logistic regression model is also the optimizer of a suitably defined log-likelihood function, but since it is not available in a closed form expression, it must be computed as an optimizer.

Most statistical estimators are only expressible as optimizers of appropriately constructed functions of the data called criterion functions. Such optimizers require the use of appropriate numerical optimization algorithms. Optimizers of functions can be computed in R using the optim() function that provides some general purpose optimization algorithms, or one of the more specialized packages such as optimx. Knowing which optimization algorithm to use for different types of models and statistical criterion functions is key.

Linear regression residual sum of squares

The OLS estimator is defined as the optimizer of the well-known residual sum of squares function: $$ \begin{align} \hat{\boldsymbol{\beta}} &= \arg\min_{\boldsymbol{\beta}}\left(\boldsymbol{Y} - \mathbf{X}\boldsymbol{\beta}\right)'\left(\boldsymbol{Y} - \mathbf{X}\boldsymbol{\beta}\right) \\ &= (\mathbf{X}'\mathbf{X})^{-1}\mathbf{X}'\boldsymbol{Y} \end{align} $$

In the case of a twice differentiable, convex function like the residual sum of squares, most gradient-based optimizers do good job. In this case, I will be using the BFGS algorithm.

# reading in the data & pre-processing
urlSheatherData = "http://www.stat.tamu.edu/~sheather/book/docs/datasets/MichelinNY.csv"
dfSheather = as.data.frame(read.csv(urlSheatherData, header = TRUE))

# create the design matrices
vY = as.matrix(dfSheather['InMichelin'])
mX = as.matrix(dfSheather[c('Service','Decor', 'Food', 'Price')])

# add an intercept to the predictor variables
mX = cbind(1, mX)

# the number of variables and observations
iK = ncol(mX)
iN = nrow(mX)

# compute the linear regression parameters as 
#   an optimal value
# the residual sum of squares criterion function
fnRSS = function(vBeta, vY, mX) {
  return(sum((vY - mX %*% vBeta)^2))

# arbitrary starting values
vBeta0 = rep(0, ncol(mX))

# minimise the RSS function to get the parameter estimates
optimLinReg = optim(vBeta0, fnRSS,
                   mX = mX, vY = vY, method = 'BFGS', 

# compare to the LM function
linregSheather = lm(InMichelin ~ Service + Decor + Food + Price,
                    data = dfSheather)

This yields:

> print(cbind(coef(linregSheather), optimLinReg$par))
                    [,1]         [,2]
(Intercept) -1.492092490 -1.492093965
Service     -0.011176619 -0.011176583
Decor        0.044193000  0.044193023
Food         0.057733737  0.057733770
Price        0.001797941  0.001797934

Logistic regression log-likelihood

The criterion function corresponding to the MLE in the logistic regression model is the log-likelihood function.

$$ \begin{align} \log L_n(\boldsymbol{\beta}) &= \sum_{i=1}^n \left(Y_i \log \Lambda(\boldsymbol{X}_i'\boldsymbol{\beta}) + (1-Y_i)\log(1 - \Lambda(\boldsymbol{X}_i'\boldsymbol{\beta}))\right) \end{align} $$ where $\Lambda(k) = 1/(1+ \exp(-k))$ is the logistic function. The parameter estimates are the optimizers of this function $$ \hat{\boldsymbol{\beta}} = \arg\max_{\boldsymbol{\beta}}\log L_n(\boldsymbol{\beta}) $$

I show how to construct and optimize the criterion function using the optim() function once again employing the BFGS algorithm.

# compute the logistic regression parameters as 
#   an optimal value
# define the logistic transformation
logit = function(mX, vBeta) {
  return(exp(mX %*% vBeta)/(1+ exp(mX %*% vBeta)) )

# stable parametrisation of the log-likelihood function
# Note: The negative of the log-likelihood is being returned, since we will be
# /minimising/ the function.
logLikelihoodLogitStable = function(vBeta, mX, vY) {
    vY*(mX %*% vBeta - log(1+exp(mX %*% vBeta)))
    + (1-vY)*(-log(1 + exp(mX %*% vBeta)))

# initial set of parameters
vBeta0 = c(10, -0.1, -0.3, 0.001, 0.01) # arbitrary starting parameters

# minimise the (negative) log-likelihood to get the logit fit
optimLogit = optim(vBeta0, logLikelihoodLogitStable,
                   mX = mX, vY = vY, method = 'BFGS', 

# test against the implementation in R
# NOTE glm uses IRWLS: 
# http://en.wikipedia.org/wiki/Iteratively_reweighted_least_squares
# rather than the BFGS algorithm that we have reported
logitSheather = glm(InMichelin ~ Service + Decor + Food + Price,
                                  data = dfSheather, 
                         family = binomial, x = TRUE)

This yields

> print(cbind(coef(logitSheather), optimLogit$par))
                    [,1]         [,2]
(Intercept) -11.19745057 -11.19661798
Service      -0.19242411  -0.19249119
Decor         0.09997273   0.09992445
Food          0.40484706   0.40483753
Price         0.09171953   0.09175369

As a caveat, note that numerical optimization algorithms require careful use or you can end up with all sorts of pathological solutions. Until you understand them well, it is best to use the available packaged options that allow you to concentrate on specifying the model rather than worrying about how to numerically compute the estimates.

  • 1
    $\begingroup$ Great work @tchakravarty, the log-likelihood function can be simplified by using -sum(vY%*%(mX%*%vBeta)-log(1+exp(mX%*%vBeta))) $\endgroup$ Jun 10, 2017 at 23:39

You can't get there from here. The solutions to both the general linear model and the logistic model arise from solving the respective maximum likelihood equations, but only the linear model has a closed form solution.

If you consult McCullagh and Nelder's book, you can learn how the solutions are obtained in the logistic case (or other generalized model). In effect, the solutions are produced iteratively, where each iteration involves solving a weighted linear regression. The weights depend in part on the link function.


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