Inversion-free subsampling Newton’s method for large sample logistic regression

In this paper, we develop a subsampling Newton’s method to efficiently approximate the maximum likelihood estimate in logistic regression, which is especially useful for large-sample problems. One distinct feature of our algorithm is that matrix inversion is not explicitly performed. We propose two algorithms which are used to construct iteratively a sequence of matrices which converge to the Hessian of the maximum likelihood function on the subsample. We provide numerical examples to show that the proposed method is efficient and robust.