TITLE: why is the least square cost function for linear regression convex
QUESTION [8 upvotes]: I was looking at Andrew Ng's machine learning course and for linear regression he defined a hypothesis function to be $h(x) = \theta_0 + \theta_1x_1 + ... + \theta_nx_n$, where $x$ is a vector of values
so the goal of linear regression is to find $\theta$ that most closely estimates the real result
in order to estimate how wrong the hypothesis is compared to how the data is actually distributed he uses the least square $error = (h(x) - y)^2$ where $y$ is the real result
since there are a total of $m$ training examples he needs to aggregate them such that all the errors get accounted for so he defined a cost function $J(\theta) = \frac{1}{2m}\sum_{i=0}^{m}(h(x_i) - y_i)^2$ where $x_i$ is a single training set
he states that $J(\theta)$ is convex with only 1 local optima, I want to know why is this function convex?

REPLY [5 votes]: Let $x_i \in \mathbb R^n$ be the $i$th training example and let $X$ be the matrix whose $i$th row is $x_i^T$. Let $y$ be the column vector whose $i$th entry is $y_i$. Define $J:\mathbb R^n \to \mathbb R$ by
$$
J(\theta) = \frac{1}{2m} \sum_{i=0}^m (x_i^T \theta - y_i)^2.
$$
Notice that
$$
J(\theta) = \frac{1}{2m} \| X \theta - y \|_2^2.
$$
You can easily check that the function
$$
f(\theta) = \frac{1}{2m} \| \theta \|_2^2
$$
is convex by checking that its Hessian is positive definite.
(In fact,
$$
\nabla^2 f(\theta) = \frac{1}{m} I,
$$ where $I$ is the identity matrix.)
A very useful fact to be aware of is that the composition of a convex function with an affine function is convex. Noting that $J(\theta) = f(X \theta - y)$ is in fact the composition of the convex function $f$ with the affine function $\theta \mapsto X \theta - y$,
we can invoke this useful fact to conclude that $J$ is convex.

An alternative approach is to compute the Hessian of $J$ directly:
$$
\nabla J(\theta) = \frac{1}{m} X^T(X\theta - y)
$$ and
$$\nabla^2 J(\theta) = \frac{1}{m} X^T X.
$$
The matrix $X^T X$ is positive semidefinite, which shows that $J$ is convex.