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Financial Machine Learning / Classification and Generalized Linear Models

The Perceptron and Multi-Class Classification

Logistic regression's sigmoid output is a smooth probability; the perceptron replaces it with a hard {0,1}\{0,1\} decision and a strikingly simple mistake-driven update rule — historically the first learning algorithm to be analysed rigorously, and the direct ancestor of the margin-based classifiers in Topic 5. This note also extends binary classification to k>2k > 2 classes via softmax regression, needed the moment a quant classification problem has more than two outcomes (e.g. "upgrade / hold / downgrade" for a credit rating).

In this lesson

  1. Learning objectives
  2. The perceptron
  3. Softmax regression for multi-class classification
  4. Worked example

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