Class UnconstrainedLASSObyCoordinateDescent

  • All Implemented Interfaces:
    LinearModel

    public class UnconstrainedLASSObyCoordinateDescent
    extends Object
    implements LinearModel
    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.
    • Constructor Detail

      • UnconstrainedLASSObyCoordinateDescent

        public UnconstrainedLASSObyCoordinateDescent​(UnconstrainedLASSOProblem problem)
        Solves an unconstrained LASSO problem by Coordinate Descent method.
        Parameters:
        problem - an unconstrained LASSO problem
    • Method Detail

      • Ey

        public double Ey​(Vector x)
        Description copied from interface: LinearModel
        Computes the expectation \(E(y(x))\) given an input.
        Specified by:
        Ey in interface LinearModel
        Parameters:
        x - an input
        Returns:
        \(E(y(x))\)
      • beta

        public LMBeta beta()
        Description copied from interface: LinearModel
        Gets \(\hat{\beta}\) and statistics.
        Specified by:
        beta in interface LinearModel
        Returns:
        \(\hat{\beta}\) and statistics
      • residuals

        public LMResiduals residuals()
        Description copied from interface: LinearModel
        Gets the residual analysis of an OLS regression.
        Specified by:
        residuals in interface LinearModel
        Returns:
        the residual analysis