TITLE: Log-likelihood gradient and Hessian
QUESTION [9 upvotes]: Considering a binary classification problem with data $D = \{(x_i,y_i)\}_{i=1}^n$, $x_i \in \mathbb{R}^d$ and $y_i \in \{0,1\}$. Given the following definitions:
$f(x) = x^T \beta$
$p(x) = \sigma(f(x))$ with $\sigma(z) = 1/(1 + e^{-z})$ 
$$L(\beta) = \sum_{i=1}^n \Bigl[ y_i \log p(x_i) + (1 - y_i) \log [1 - p(x_i)] \Bigr]$$
where $\beta \in \mathbb{R}^d$ is a vector. $p(x)$ is a short-hand for $p(y = 1\ |\ x)$.
The task is to compute the derivative $\frac{\partial}{\partial \beta} L(\beta)$. A tip is to use the fact, that $\frac{\partial}{\partial z} \sigma(z) = \sigma(z) (1 - \sigma(z))$.
So here is my approach so far:
\begin{align*}
L(\beta) & = \sum_{i=1}^n \Bigl[ y_i \log p(x_i) + (1 - y_i) \log [1 - p(x_i)] \Bigr]\\
\frac{\partial}{\partial \beta} L(\beta) & =  \sum_{i=1}^n \Bigl[ \Bigl( \frac{\partial}{\partial \beta} y_i \log p(x_i) \Bigr) + \Bigl( \frac{\partial}{\partial \beta} (1 - y_i) \log [1 - p(x_i)] \Bigr) \Bigr]\\
\end{align*}
\begin{align*}
\frac{\partial}{\partial \beta} y_i  \log p(x_i) &= (\frac{\partial}{\partial \beta} y_i) \cdot \log p(x_i) + y_i \cdot  (\frac{\partial}{\partial \beta} p(x_i))\\
&= 0 \cdot \log p(x_i) + y_i \cdot (\frac{\partial}{\partial \beta} p(x_i))\\
&= y_i \cdot (p(x_i) \cdot (1 - p(x_i)))
\end{align*}
\begin{align*}
\frac{\partial}{\partial \beta} (1 - y_i) \log [1 - p(x_i)] &= (1 - y_i) \cdot (\frac{\partial}{\partial \beta} \log [1 - p(x_i)])\\
& = (1 - y_i) \cdot \frac{1}{1 - p(x_i)} \cdot p(x_i) \cdot (1 - p(x_i))\\
& = (1 - y_i) \cdot p(x_i)
\end{align*}
$$\frac{\partial}{\partial \beta} L(\beta) = \sum_{i=1}^n \Bigl[ y_i \cdot (p(x_i) \cdot (1 - p(x_i))) + (1 - y_i) \cdot p(x_i)  \Bigr]$$
So basically I used the product and chain rule to compute the derivative. I am afraid, that my solution is wrong, because in Hasties The Elements of Statistical Learning on page 120 it says the gradient is:
$$\sum_{i = 1}^N x_i(y_i - p(x_i;\beta))$$
I don't know what could have possibly gone wrong, any advices on this?

REPLY [2 votes]: The classification problem data can be captured in one matrix and one vector, i.e. $\{X,y\}$. 
Then the relevant quantities are the vectors
$$\eqalign{
 f &= X^T\beta \cr
 p &= \sigma(f) \cr
}$$
and their differentials and logarithmic differentials
$$\eqalign{
 df &= X^Td\beta \cr
 dp &= p\circ(1-p)\circ df \cr\cr
 d\log(p) &= \frac{dp}{p} \,=\, (1-p)\circ df \cr
 d\log(1-p) &= \frac{-dp}{1-p} \,=\, -p\circ df \cr
}$$
where $(g\circ h)$ and $\big(\frac{g}{h}\big)$ denote element-wise (aka Hadamard) multiplication and division.
The likelihood function is a scalar which can be written in terms of Frobenius products
$$\eqalign{
 L &= y:\log(p) + (1-y):\log(1-p) \cr
}$$
whose differential is
$$\eqalign{
 dL &= y:d\log(p) + (1-y):d\log(1-p) \cr
 &= y:(1-p)\circ df - (1-y):p\circ df \cr
 &= (y-p):df \cr
 &= \big(y-p\big):X^Td\beta \cr
 &= X\,\big(y-p\big):d\beta \cr
}$$
Yielding the gradient as 
$$\eqalign{
\frac{\partial L}{\partial\beta} &= X\,(y-p) \cr
}$$