Class ConstrainedLASSOProblem
- java.lang.Object
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- dev.nm.stat.regression.linear.LMProblem
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- dev.nm.stat.regression.linear.lasso.ConstrainedLASSOProblem
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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
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Constructor Summary
Constructors Constructor Description ConstrainedLASSOProblem(Vector y, Matrix X, double t)
Constructs a LASSO problem in the constrained form.ConstrainedLASSOProblem(ConstrainedLASSOProblem that)
Copy constructor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
t()
Get the penalization parameter for the constrained 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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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 scaledX
- the design matrix of factors (n * m), properly demeaned and scaledt
- the penalization parameter
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ConstrainedLASSOProblem
public ConstrainedLASSOProblem(ConstrainedLASSOProblem that)
Copy constructor.- Parameters:
that
- anotherLASSOProblem
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