On Wed, 14 Apr 2010, Kenneth Lo wrote:
With the use of the LARS algorithm, a path of solutions corresponding to a
sequence of the regularization parameter can be obtained for LASSO (or even
the elastic net, a hybrid between LASSO and ridge) at the cost of one linear
regression. In terms of computational speed LASSO seems to have beaten ridge
regression, the solution of which needs to be computed individually, at the
cost of one linear regression, for each regularization parameter. Is there
any efficient method to compute a path of solutions for ridge regression
corresponding to a sequence of the regularization parameter? Thanks.
Yes.
Check a textbook like Draper and Smith. Or Google for course notes.
HTH,
Chuck
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Charles C. Berry (858) 534-2098
Dept of Family/Preventive Medicine
E mailto:cbe...@tajo.ucsd.edu UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/ La Jolla, San Diego 92093-0901
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