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Results tagged with lasso
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user 97267
Least Absolute Shrinkage and Selection Operator (LASSO) regression, is a regularization technique used in regression cases where the model overfits or there is high multi-collinearity.
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Why is the L2 penalty squared but the L1 penalty isn't in elastic-net regression?
That worked good for my purposes, but I know that usually in sparse regression models (for example elastic net or lasso regression) the L1 penalty is not squared, so it made me wonder if there could be …
- 111
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Why is the L2 penalty squared but the L1 penalty isn't in elastic-net regression?
If we solved lasso/ridge on each of them separately we'll get the same answer as if we solved the problem on the matrix:
$$A_1 \ \ 0\\
0 \ \ A_2$$
And the desired vector
$$b_1\\
b_2
$$
But in the case …
- 111