Here I will prove the below loss function is a convex function.
\begin{equation}
L(\theta, \theta_0) = \sum_{i=1}^N \left( - y^i \log(\sigma(\theta^T x^i + \theta_0))
- (1-y^i) \log(1-\sigma(\theta^T x^i + \theta_0))
\right)
\end{equation}
Then will show that the loss function below that the questioner proposed is NOT a convex function.
\begin{equation}
L(\theta, \theta_0) = \sum_{i=1}^N \left( y^i (1-\sigma(\theta^T x^i + \theta_0))^2
+ (1-y^i) \sigma(\theta^T x^i + \theta_0)^2
\right)
\end{equation}
To prove that solving a logistic regression using the first loss function is solving a convex optimization problem, we need two facts (to prove).
$
\newcommand{\reals}{{\mathbf{R}}}
\newcommand{\preals}{{\reals_+}}
\newcommand{\ppreals}{{\reals_{++}}}
$
Suppose that $\sigma: \reals \to \ppreals$ is the sigmoid function defined by
\begin{equation}
\sigma(z) = 1/(1+\exp(-z))
\end{equation}
The functions $f_1:\reals\to\reals$ and $f_2:\reals\to\reals$ defined by $f_1(z) = -\log(\sigma(z))$ and $f_2(z) = -\log(1-\sigma(z))$ respectively are convex functions.
A (twice-differentiable) convex function of an affine function is a convex function.
Proof) First, we show that $f_1$ and $f_2$ are convex functions. Since
\begin{eqnarray}
f_1(z) = -\log(1/(1+\exp(-z))) = \log(1+\exp(-z)),
\end{eqnarray}
\begin{eqnarray}
\frac{d}{dz} f_1(z) = -\exp(-z)/(1+\exp(-z)) = -1 + 1/(1+exp(-z)) = -1 + \sigma(z),
\end{eqnarray}
the derivative of $f_1$ is a monotonically increasing function and $f_1$ function is a (strictly) convex function (Wiki page for convex function).
Likewise, since
\begin{eqnarray}
f_2(z) = -\log(\exp(-z)/(1+\exp(-z))) = \log(1+\exp(-z)) +z = f_1(z) + z
\end{eqnarray}
\begin{eqnarray}
\frac{d}{dz} f_2(z) = \frac{d}{dz} f_1(z) + 1.
\end{eqnarray}
Since the derivative of $f_1$ is a monotonically increasing function, that of $f_2$ is also a monotonically increasing function, hence $f_2$ is a (strictly) convex function, hence the proof.
Now we prove the second claim. Let $f:\reals^m\to\reals$ is a twice-differential convex function, $A\in\reals^{m\times n}$, and $b\in\reals^m$. And let $g:\reals^n\to\reals$ such that $g(y) = f(Ay + b)$. Then the gradient of $g$ with respect to $y$ is
\begin{equation}
\nabla_y g(y) = A^T \nabla_x f(Ay+b) \in \reals^n,
\end{equation}
and the Hessian of $g$ with respect to $y$ is
\begin{equation}
\nabla_y^2 g(y) = A^T \nabla_x^2 f(Ay+b) A \in \reals^{n \times n}.
\end{equation}
Since $f$ is a convex function, $\nabla_x^2 f(x) \succeq 0$, i.e., it is a positive semidefinite matrix for all $x\in\reals^m$. Then for any $z\in\reals^n$,
\begin{equation}
z^T \nabla_y^2 g(y) z = z^T A^T \nabla_x^2 f(Ay+b) A z
= (Az)^T \nabla_x^2 f(Ay+b) (A z) \geq 0,
\end{equation}
hence $\nabla_y^2 g(y)$ is also a positive semidefinite matrix for all $y\in\reals^n$ (Wiki page for convex function).
Now the object function to be minimized for logistic regression is
\begin{equation}
\begin{array}{ll}
\mbox{minimize} &
L(\theta) = \sum_{i=1}^N \left( - y^i \log(\sigma(\theta^T x^i + \theta_0))
- (1-y^i) \log(1-\sigma(\theta^T x^i + \theta_0))
\right)
\end{array}
\end{equation}
where $(x^i, y^i)$ for $i=1,\ldots, N$ are $N$ training data. Now this is the sum of convex functions of linear (hence, affine) functions in $(\theta, \theta_0)$. Since the sum of convex functions is a convex function, this problem is a convex optimization.
Note that if it maximized the loss function, it would NOT be a convex optimization function. So the direction is critical!
Note also that, whether the algorithm we use is stochastic gradient descent, just gradient descent, or any other optimization algorithm, it solves the convex optimization problem, and that even if we use nonconvex nonlinear kernels for feature transformation, it is still a convex optimization problem since the loss function is still a convex function in $(\theta, \theta_0)$.
Now the new loss function proposed by the questioner is
\begin{equation}
L(\theta, \theta_0) = \sum_{i=1}^N \left( y^i (1-\sigma(\theta^T x^i + \theta_0))^2
+ (1-y^i) \sigma(\theta^T x^i + \theta_0)^2
\right)
\end{equation}
First we show that $f(z) = \sigma(z)^2$ is not a convex function in $z$. If we differentiate this function, we have
\begin{equation}
f'(z) = \frac{d}{dz} \sigma(z)^2 = 2 \sigma(z) \frac{d}{dz} \sigma(z)
= 2 \exp(-z) / (1+\exp(-z))^3.
\end{equation}
Since $f'(0)=1$ and $\lim_{z\to\infty} f'(z) = 0$ (and f'(z) is differentiable), the mean value theorem implies that there exists $z_0\geq0$ such that $f'(z_0) < 0$. Therefore $f(z)$ is NOT a convex function.
Now if we let $N=1$, $x^1 = 1$, $y^1 = 0$, $\theta_0=0$, and $\theta\in\reals$, $L(\theta, 0) = \sigma(\theta)^2$, hence $L(\theta,0)$ is not a convex function, hence the proof!
However, solving the non-convex optimization problem using gradient descent is not necessarily bad idea. (Almost) all deep learning problem is solved by stochastic gradient descent because it's the only way to solve it (other than evolutionary algorithms).
I hope this is a self-contained (strict) proof for the argument. Please leave feedback if anything is unclear or I made mistakes.
Thank you. - Sunghee
As long as $x$ is not zero, the squared error loss with respect to $w$ will be non-convex.
Here is a graph that shows both the squared error loss and the log loss of the sigmoid function: https://www.desmos.com/calculator/kxz6lzszf9
You can see that the squared error loss (red and orange curves) is non-convex, whereas the log loss (green and blue curves) is convex.
To follow up with Qiang Chen's answer, the red and orange curves are the squared loss functions in question, and they are both non-convex (not fully convex). They are also non-concave (not fully concave). They are half convex on one side and half concave on the other, with a middle inflection point where $f(x)=0$. Convex and concave functions are ones that always curve in the same direction, either up or down, they can not have that kind of "S" shape that both the red and orange curves have.
All the $x_1$ and $x_2$ values on the concave side of the function do not satisfy that definition of a convex function.
Best Answer
It is not strongly convex. Take $n=d=1$. You are getting a function of the form $f(x)=\log(1+\exp( a x))$. Its second derivative is $$ f''(x) = \frac{a^2 \exp( a x) } { (1 + \exp(ax))^2} $$ Assuming $a > 0$, you have $\lim_{x \to -\infty} f''(x) = 0$. Thus, there is no positive constant which bounds $f''$ from below. A similar argument shows the same if $a < 0$.