FIX incorrect predict_proba for LogisticRegression in binary case using multinomial parameter. (scikit-learn#9939)

Author: rwolst

doc/whats_new/v0.20.rst

@@ -180,6 +180,11 @@ Classifiers and regressors
   error for prior list which summed to 1.
   :issue:`10005` by :user:`Gaurav Dhingra <gxyd>`.
 
+- Fixed a bug in :class:`linear_model.LogisticRegression` where when using the
+  parameter ``multi_class='multinomial'``, the ``predict_proba`` method was
+  returning incorrect probabilities in the case of binary outcomes.
+  :issue:`9939` by :user:`Roger Westover <rwolst>`.
+
 - Fixed a bug in :class:`linear_model.OrthogonalMatchingPursuit` that was
   broken when setting ``normalize=False``.
   :issue:`10071` by `Alexandre Gramfort`_.

sklearn/linear_model/logistic.py

@@ -1101,14 +1101,18 @@ class LogisticRegression(BaseEstimator, LinearClassifierMixin,
     coef_ : array, shape (1, n_features) or (n_classes, n_features)
         Coefficient of the features in the decision function.
 
-        `coef_` is of shape (1, n_features) when the given problem
-        is binary.
+        `coef_` is of shape (1, n_features) when the given problem is binary.
+        In particular, when `multi_class='multinomial'`, `coef_` corresponds
+        to outcome 1 (True) and `-coef_` corresponds to outcome 0 (False).
 
     intercept_ : array, shape (1,) or (n_classes,)
         Intercept (a.k.a. bias) added to the decision function.
 
         If `fit_intercept` is set to False, the intercept is set to zero.
-        `intercept_` is of shape(1,) when the problem is binary.
+        `intercept_` is of shape (1,) when the given problem is binary.
+        In particular, when `multi_class='multinomial'`, `intercept_`
+        corresponds to outcome 1 (True) and `-intercept_` corresponds to
+        outcome 0 (False).
 
     n_iter_ : array, shape (n_classes,) or (1, )
         Actual number of iterations for all classes. If binary or multinomial,
@@ -1332,11 +1336,17 @@ def predict_proba(self, X):
         """
         if not hasattr(self, "coef_"):
             raise NotFittedError("Call fit before prediction")
-        calculate_ovr = self.coef_.shape[0] == 1 or self.multi_class == "ovr"
-        if calculate_ovr:
+        if self.multi_class == "ovr":
             return super(LogisticRegression, self)._predict_proba_lr(X)
         else:
-            return softmax(self.decision_function(X), copy=False)
+            decision = self.decision_function(X)
+            if decision.ndim == 1:
+                # Workaround for multi_class="multinomial" and binary outcomes
+                # which requires softmax prediction with only a 1D decision.
+                decision_2d = np.c_[-decision, decision]
+            else:
+                decision_2d = decision
+            return softmax(decision_2d, copy=False)
 
     def predict_log_proba(self, X):
         """Log of probability estimates.

sklearn/linear_model/tests/test_logistic.py

@@ -198,6 +198,23 @@ def test_multinomial_binary():
         assert_greater(np.mean(pred == target), .9)
 
 
+def test_multinomial_binary_probabilities():
+    # Test multinomial LR gives expected probabilities based on the
+    # decision function, for a binary problem.
+    X, y = make_classification()
+    clf = LogisticRegression(multi_class='multinomial', solver='saga')
+    clf.fit(X, y)
+
+    decision = clf.decision_function(X)
+    proba = clf.predict_proba(X)
+
+    expected_proba_class_1 = (np.exp(decision) /
+                              (np.exp(decision) + np.exp(-decision)))
+    expected_proba = np.c_[1-expected_proba_class_1, expected_proba_class_1]
+
+    assert_almost_equal(proba, expected_proba)
+
+
 def test_sparsify():
     # Test sparsify and densify members.
     n_samples, n_features = iris.data.shape