Picking Loss Functions: A comparison between MSE, CrossEntropy Loss, and Hinge Loss
Loss functions are a key part of any machine learning model: they define an objective against which the performance of your model is measured, and the setting of weight parameters learned by the model is determined by minimizing a chosen loss function. There are several different common loss functions to choose from: the crossentropy loss, the meansquared error, the huber loss, and the hinge loss  just to name a few. Given a particular model, each loss function has particular properties that make it interesting  for example, the (L2regularized) hingle loss comes with the maximummargin property, and the meansquared error when used in conjunction with linear regression comes with convexity guarantees.
In this post, I’ll discuss two commonly used loss functions: the meansquared (MSE) loss and the crossentropy loss. These are the two most commonly used functions I’ve seen used in traditional machine learning and deep learning models, so I thought it would be a good idea to figure out the underlying theory behind each one, and when to prefer one over the other.
The MeanSquared Loss: Probabalistic Interpretation
For a model prediction such as \(h_\theta(x_i) = \theta_0 + \theta_1x\) (a simple linear regression in 2 dimensions) where the inputs are a feature vector \(x_i\), the meansquared error is given by summing across all \(N\) training examples, and for each example, calculating the squared difference from the true label \(y_i\) and the prediction \(h_\theta(x_i)\):
\(J = \frac{1}{N} \sum_{i=1}^{N} (y_i  h_\theta(x_i))^2\)
It turns out we can derive the meansquared loss by considering a typical linear regression problem.
With linear regression, we seek to model our realvalued labels \(Y\) as being a linear function of our inputs \(X\), corrupted by some noise. Let’s write out this assumption:
\(Y = \theta_0 + \theta_1x + \eta\)
And to solidify our assumption, we’ll say that \(\eta\) is Gaussian noise with 0 mean and unit variance, that is \(\eta \sim N(0, 1)\). This means that \(E[Y] = E[\theta_0 + \theta_1x + \eta] = \theta_0 + \theta_1x\) and \(Var[Y] = Var[\theta_0 + \theta_1x + \eta] =\),1 so \(Y\) is also Gaussian with mean \(\theta_0 + \theta_1x\) and variance 1.
We can write out the probability of observing a single \((x_i, y_i)\) sample:
$$p(y_i  x_i) = e^{\frac{(y_i  (\theta_0 + \theta_1x_i))^2}{2}}$$ 
Summing across \(N\) of these samples in our dataset, we can write down the likelihood  essentially the probability of observing all \(N\) of our samples. Note that we also make the assumption that our data are independent of each other, so we can write out the likelihood as a simple product over each individual probability:
\(L(x, y) = \prod_{i=1}^{N}e^{\frac{(y_i  (\theta_0 + \theta_1x_i))^2}{2}}\)
Next, we can take the log of our likelihood function to obtain the loglikelihood, a function that is easier to differentiate and overall nicer to work with:
$\vert 1 + 5 \vert$$
\(l(x, y) = \frac{1}{2}\sum_{i=1}^{N}(y_i  (\theta_0 + \theta_1x_i))^2\)
This gives us the MSE:
\(J = \frac{1}{2}\sum_{i=1}^{N}(y_i  \theta^Tx_i)^2\)
Essentially, this means that using the MSE loss makes sense if the assumption that your outputs are a realvalued function of your inputs, with a certain amount of irreducible Gaussian noise, with constant mean and variance. If these assumptions don’t hold true (such as in the context of classification), the MSE loss may not be the best bet.
The CrossEntropy Loss: Probabalistic Interpretation
In the context of classification, our model’s prediction \(h_\theta(x_i)\) will be given by \(\sigma(Wx_i + b)\) which produces a value between \(0\) and \(1\) that can be interpreted as a probability of example \(x_i\) belonging to the positive class. If this probability were less than \(0.5\) we’d classify it as a negative example, otherwise we’d classify it as a positive example. This means that we can write down the probabilily of observing a negative or positive instance:
$$ p(y_i = 1  x_i) = h_\theta(x_i)\(and\)p(y_i = 0  x_i) = 1  h_\theta(x_i)$$ 
We can combine these two cases into one expression:
$$p(y_i  x_i) = [h_\theta(x_i)]^{(y_i)} [1  h_\theta(x_i)]^{(1  y_i)}$$ 
Invoking our assumption that the data are independent and identically distributed, we can write down the likelihood by simply taking the product across the data:
\(L(x, y) = \prod_{i = 1}^{N}[h_\theta(x_i)]^{(y_i)} [1  h_\theta(x_i)]^{(1  y_i)}\)
Similar to above, we can take the log of the above expression and use properties of logs to simplify, and finally invert our entire expression to obtain the cross entropy loss:
\(J = \sum_{i=1}^{N} y_i\log (h_\theta(x_i)) + (1  y_i)\log(1  h_\theta(x_i))\)
The CrossEntropy Loss in the case of multiclass classification
Let’s supposed that we’re now interested in applying the crossentropy loss to multiple (> 2) classes. The idea behind the loss function doesn’t change, but now since our labels \(y_i\) are onehot encoded, we write down the loss (slightly) differently:
\( \sum_{i=1}^{N} \sum_{j=1}^{K} y_{ij} \log(h_{\theta}(x_i)_j)\)
This is pretty similar to the binary cross entropy loss we defined above, but since we have multiple classes we need to sum over all of them. The loss \(L_i\) for a particular training example is given by $$L_i =  \log p(Y = y_i  X = x_i)\(. In particular, in the inner sum, only one term will be nonzero, and that term will be the\)\log\(of the (normalized) probability assigned to the correct class. Intuitively, this makes sense because\)\log(x)\(is increasing on the interval $(0, 1)$ so\)\log(x)$$ is decreasing on that interval. For example, if we have a score of 0.8 for the correct label, our loss will be 0.09, if we have a score of .08 our loss would be 1.09. (TODO figure out what base this is) 
Another variant on the cross entropy loss for multiclass classification also adds the other predicted class scores to the loss: $ \sum_{i=1}^{N} \sum_{j=1}^{K} y_{ij} \log(h_{\theta}(x_i)j) + (1y{ij})log(1  h_{\theta}(x_i)_j)$. The second term in the inner sum essentially inverts our labels and score assignments: it gives the other predicted classes a probability of \(1  s_j\), and penalizes them by the \(\log\) of that amount (here, \(s_j\) denotes the \(j\)th score, which is the \(j\)th element of \(h_\theta(x_i)\). . This again makes sense  penalizing the incorrect classes in this way will encourage the values \(1  s_j\) (where each \(s_j\) is a probability assigned to an incorrect class) to be large, which will in turn encourage \(s_j\) to be low. This alternative version seems to tie in more closely to the binary cross entropy that we obtained from the maximum likelihood estimate, but the first version appears to be more commonly used both in practice and in teaching (such as in the CS231n lecture notes and video).
It turns out that it doesn’t really matter which variant of crossentropy you use for multipleclass classification, as they both decrease at similar rates and are just offset, with the second variant discussed having a higher loss for a particular setting of scores. To show this, I wrote some code to plot these 2 loss functions against each other, for probabilities for the correct class ranging from 0.01 to 0.98, and obtained the following plot:
INSERT PLOT HERE
Cross Entropy Loss: An information theory perspective
As mentioned in the CS 231n lectures, the crossentropy loss can be interpreted via information theory. In information theory, the KullbackLeibler (KL) divergence measures how “different” two probability distributions are. We can think of our classification problem as having 2 different probability distributions: first, the distribution for our actual labels, where all the probability mass is concentrated on the correct label, and there is no probability mass on the rest, and second, the distribution which we are learning, where the concentrations of probability mass are given by the outputs of the running our raw scores through a softmax function.
In an ideal world, our learned distribution would match the actual distribution, with 100% probability being assigned to the correct label. This can’t really happen since that would mean our raw scores would have to be \(\infty\) and \(\infty\) for our correct and incorrect classes respectively, and, more practically, constraints we impose on our model (i.e. using logistic regression instead of a deep neural net) will limit our ability to correctly classify every example with high probability on the correct label.
Interpreting the crossentropy loss as minimizing the KL divergence between 2 distributions is interesting if we consider how we can extend crossentropy to different scenarios. For example, a lot of datasets are only partially labelled or have noisy (i.e. occasionally incorrect) labels. If we could probabilistically assign labels to the unlabelled portion of a dataset, or interpret the incorrect labels as being sampled from a probabalistic noise distribution, we can still apply the idea of minimizing the KLdivergence, although our groundtruth distribution will no longer concentrate all the probability mass over a single label.
Differences in learning speed for classification
It turns out that if we’re given a typical classification problem, we can show that (at least theoretically) the crossentropy loss leads to quicker learning through gradient descent than the MSE loss. First, let’s recall the gradient descent update rule:
For i = 1 ... N:
Compute dJ/dw_i for i = 1 ... M parameters
Let w_i = w_i  learning_rate * dJ/dw_i
Essentially, the gradient descent algorithm computes partial derivatives for all the parameters in our network, and updates the parameters by decrementing the parameters by their respective partial derivatives, times a constant known as the learning rate, taking a step towards a local minimum.
This means that the “speed” of learning is dictated by two things: the learning rate and the size of the partial derivative. The learning rate is a hyperparameter that we must tune, so we’ll focus on the size of the partial derivatives for now. Consider the following binary classification scenario: we have an input feature vector \(x_i\), a label \(y_i = 1\), and a prediction \(\hat{y_i} = h_\theta(x_i) = 0\).
We’ll show that given our model \(h_\theta(x) = \sigma(Wx_i + b)\), learning can occur much faster during the beginning phases of training if we used the crossentropy loss instead of the MSE loss. And we want this to happen, since at the beginning of training, our model is performing poorly due to the weights being randomly initialized.
First, given our prediction \(\hat{y_i} = \sigma(Wx_i + b)\) and our loss \(J = \frac{1}{2}(y_i  \hat{y_i})^2\) , we first obtain the partial derivative \(\frac{dJ}{dW}\), applying the chain rule twice:
\(\frac{dJ}{dW} = (y_i  \hat{y_i})\sigma'(Wx_i + b)x_i\)
This derivative has the term \(\sigma'(Wx_i + b)\) in it. This can be expressed as \(\sigma(Wx_i + b)(1  \sigma(Wx_i + b))\) (see here for a proof). Since we initialized our weights randomly with values close to 0, this expression will be very close to 0, which will make the partial derivative nearly vanish during the early stages of training. A plot of the sigmoid curve’s derivative is shown below, indicating that the gradients are small whenever the outputs are close to \(0\) or \(1\):
insert sigmoid graph plot here
This can lead to slower learning at the beginning stages of gradient descent, since the smaller derivatives change each weight by only a small amount, and gradient descent takes a while to get out of this loop and make larger updates towards a minima.
On the other hand, given the cross entropy loss:
\(\frac{dJ}{dW} = \sum_{i=1}^{N} y_i\log(\sigma (Wx_i + b)) + (1y_i)\log(1  \sigma(Wx_i + b))\)
We can obtain the partial derivative \(\frac{dJ}{dW}\) as follows (with the substitution \(\sigma(z) = \sigma(Wx_i + b)\):
\(\frac{dJ}{dW} = \sum_{i=1}^{N} \frac{y_i x_i\sigma'(z)}{\sigma(z)}  \frac{(1y_i)x_i \sigma'(z)}{1  \sigma(z)}\)
Simplifying, we obtain a nice expression for the gradient of the loss function with respect to the weights:
\(\sum_{i=1}^{N} x_i(\sigma(z)  y_i)\)
This derivative does not have a \(\sigma'\) term in it, and we can see that the magnitude of the derivative is entirely dependent on the magnitude of our error \(\sigma(z)  y_i\)  how far off our prediction was from the ground truth. This is great, since that means early on in learning, the derivatives will be large, and later on in learning, the derivatives will get smaller and smaller, corresponding to smaller adjustments to the weight variables, which makes intuitive sense since if our error is small, then we’d want to avoid large adjustments that could cause us to jump out of the minima. Michael Nielsen in his book has an indepth discussion and illustration of this that is really helpful.
Hinge Loss vs CrossEntropy Loss
There’s actually another commonly used type of loss function in classification related tasks: the hinge loss. The (L2regularized) hinge loss leads to the canonical support vector machine model with the maxmargin property: the margin is the smallest distance from the line (or more generally, hyperplane) that separates our points into classes and defines our classification:
INSERT MARGIN PICTURE HERE
The hinge loss penalizes predictions not only when they are incorrect, but even when they are correct but not “confident”. It penalizes gravely wrong predictions significantly, correct but not confident predictions a little less, and only confident, correct predictions are not penalized at all. Let’s formalize this by writing out the hinge loss in the case of binary classification:
\(\sum_i max(0, 1  y_i * h_\theta(x_i))\)
Our labels \(y_i\) are either 1 or 1, so the loss is only zero when the signs match and $$  (h_\theta(x_i))  \geq 1\(. For example, if our score for a particular training example was\)0.2\(but the label was\)1\(, we'd incur a penalty of\)1.2\(, if our score was\)0.7\((meaning that this instance was predicted to have label\)1\() we'd still incur a penalty of\)0.3\(, but if we predicted\)1.1$$ then we would incur no penalty. A visualization of the hinge loss is given below: 
INSERT HINGE LOSS HERE
The main difference between the hinge loss and the cross entropy loss is that the former arises from trying to maximize the margin between our decision boundary and data points  thus attempting to ensure that each point is correctly and confidently classified*, while the latter comes from a maximum likelihood estimate of our model’s parameters. The softmax function, whose scores are used by the cross entropy loss, allows us to interpret our model’s scores as relative probabilities against each other  for example, the crossentropy loss would invoke a much higher loss if our (unnormalized) scores were \([10, 9, 9]\) versus \([10, 10, 10]\), while the hinge loss (with a margin of \(1\) ) would not differentiate between the 2 different scores.
WrapUp
In this post, we’ve show that the MSE loss comes from a probabalistic interpretation of the regression problem, and the crossentropy loss comes from a probabalistic interpretaion of binary classification. The MSE loss is therefore better suited to regression problems, and the crossentropy loss provides us with faster learning when our predictions differ significantly from our labels, as is generally the case during the first several iterations of model training. We’ve also compared and contrasted the crossentropy loss and hinge loss, and discussed how using one over the other leads to our models learning in different ways. Thanks for reading, and hope you enjoyed the post!
Sources

Michael Nielsen’s Neural Networks and Deep Learning, Chapter 3

Hierarchical Composition of Large Deep Networks, by Sumanth Chennupati
https://docs.opencv.org/2.4.13.4/doc/tutorials/ml/introduction_to_svm/introduction_to_svm.html
https://www.researchgate.net/figure/312935261_fig10_Fig11Plotofhingelossfunction