ML | Normal Equation in Linear Regression

Normal Equation is an analytical approach to Linear Regression with a Least Square Cost Function. We can directly find out the value of θ without using Gradient Descent. Following this approach is an effective and a time-saving option when are working with a dataset with small features.

Normal Equation is a follows :

In the above equation,
θ : hypothesis parameters that define it the best.
X : Input feature value of each instance.
Y : Output value of each instance.

Maths Behind the equation –

Given the hypothesis function
n : the no. of features in the data set.
x0 : 1 (for vector multiplication)

Notice that this is dot product between θ and x values. So for the convenience to solve we can write it as :

The motive in Linear Regression is to minimize the cost function :

  J(\Theta) = \frac{1}{2m} \sum_{i = 1}^{m} \frac{1}{2} [h_{\Theta}(x^{(i)}) - y^{(i)}]^{2}

xi : the input value of iih training example.
m : no. of training instances
n : no. of data-set features
yi : the expected result of ith instance

Let us representing cost function in a vector form.

we have ignored 1/2m here as it will not make any difference in the working. It was used for the mathematical convenience while calculation gradient descent. But it is no more needed here.

xij : value of jih feature in iih training example.

This can further be reduced to  X\theta - y
But each residual value is squared. We cannot simply square the above expression. As the square of a vector/matrix is not equal to the square of each of its values. So to get the squared value, multiply the vector/matrix with its transpose. So, the final equation derived is

Therefore, the cost function is

So, now getting the value of θ using derivative

So, this is the finally derived Normal Equation with θ giving the minimum cost value.

Attention geek! Strengthen your foundations with the Python Programming Foundation Course and learn the basics.

To begin with, your interview preparations Enhance your Data Structures concepts with the Python DS Course.

My Personal Notes arrow_drop_up

Aspire to Inspire before I expire

If you like GeeksforGeeks and would like to contribute, you can also write an article using or mail your article to See your article appearing on the GeeksforGeeks main page and help other Geeks.

Please Improve this article if you find anything incorrect by clicking on the "Improve Article" button below.