Class UnconstrainedLASSOProblem
- java.lang.Object
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- dev.nm.stat.regression.linear.LMProblem
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- dev.nm.stat.regression.linear.lasso.UnconstrainedLASSOProblem
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public class UnconstrainedLASSOProblem 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 unconstrained form (Lagrangian form) solves \[ \min_w \left \{ 0.5 * \left \| Xw - y \right \|_2^2 + \lambda * \left \| w \right \|_1 \right \} \]- 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
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Constructor Summary
Constructors Constructor Description UnconstrainedLASSOProblem(Vector y, Matrix X, double lambda)
Constructs a LASSO problem.UnconstrainedLASSOProblem(UnconstrainedLASSOProblem that)
Copy constructor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
lambda()
Gets the penalization parameter for the unconstrained form of LASSO.-
Methods inherited from class dev.nm.stat.regression.linear.LMProblem
A, checkInputs, intercept, invOfwAtwA, nExogenousFactors, nFactors, nObs, wA, weights, wy, X, y
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Constructor Detail
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UnconstrainedLASSOProblem
public UnconstrainedLASSOProblem(Vector y, Matrix X, double lambda)
Constructs a LASSO problem.- Parameters:
y
- the vector of response variable (n * 1), properly demeaned and scaledX
- the design matrix of factors (n * m), properly demeaned and scaledlambda
- the penalization parameter
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UnconstrainedLASSOProblem
public UnconstrainedLASSOProblem(UnconstrainedLASSOProblem that)
Copy constructor.- Parameters:
that
- anotherLASSOProblem
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