Class ConstrainedLASSOProblem


  • public class ConstrainedLASSOProblem
    extends LMProblem
    A LASSO (least absolute shrinkage and selection operator) problem focuses on solving an RSS (residual sum of squared errors) problem with L1 regularization. The constrained form solves \[ \min_w (\left \| Xw - y \right \|_2^2), \left \| w \right \|_1 \leq t \]
    See Also:
    • R. Tibshirani, "Regression shrinkage and selection via the LASSO," Journal of the Royal Statistical Society, Series B, Volume: 58, Issue: 1, 267 - 288, 1996.
    • Wikipedia: LASSO method
    • Constructor Detail

      • ConstrainedLASSOProblem

        public ConstrainedLASSOProblem​(Vector y,
                                       Matrix X,
                                       double t)
        Constructs a LASSO problem in the constrained form.
        Parameters:
        y - the vector of response variable (n * 1), properly demeaned and scaled
        X - the design matrix of factors (n * m), properly demeaned and scaled
        t - the penalization parameter
      • ConstrainedLASSOProblem

        public ConstrainedLASSOProblem​(ConstrainedLASSOProblem that)
        Copy constructor.
        Parameters:
        that - another LASSOProblem
    • Method Detail

      • t

        public double t()
        Get the penalization parameter for the constrained form of LASSO.
        Returns:
        t, the penalization parameter for the constrained form of LASSO