ConstrainedLASSObyLARS |
This class solves the constrained form of LASSO by modified least angle regression (LARS) and
linear interpolation:
\[
\min_w \left \{ \left \| Xw - y \right \|_2^2 \right \}\) subject to \( \left \| w \right \|_1
\leq t
\]
|
ConstrainedLASSObyQP |
This class solves the constrained form of LASSO (i.e.\(\min_w \left \{ \left \| Xw - y \right
\|_2^2 \right \}\)
subject to \( \left \| w \right \|_1 \leq t \)) by transforming it into a single quadratic
programming problem with (2 * m + 1) constraints, where m is the number of
columns of the design matrix.
|
ConstrainedLASSOProblem |
A LASSO (least absolute shrinkage and selection operator) problem focuses on solving an RSS
(residual sum of squared errors) problem with L1 regularization.
|
UnconstrainedLASSObyCoordinateDescent |
This class solves the unconstrained form of LASSO, that is,
\[
\min_w \left \{ \left \| Xw - y \right \|_2^2 + \lambda * \left \| w
\right \|_1 \right \}
\]
by Coordinate Descent method.
|
UnconstrainedLASSObyQP |
This class solves the unconstrained form of LASSO
(i.e.
|
UnconstrainedLASSOProblem |
A LASSO (least absolute shrinkage and selection operator) problem focuses on solving an RSS
(residual sum of squared errors) problem with L1 regularization.
|