class LassoAdmm extends AnyRef
The LassoAdmm class performs LASSO regression using Alternating Direction
Method of Multipliers (ADMM). Minimize the following objective function to
find an optimal solutions for 'x'.
argmin_x (1/2)||Ax − b||_2^2 + λ||x||_1
A = data matrix b = response vector λ = weighting on the l_1 penalty x = solution (coefficient vector)
- See also
euler.stat.yale.edu/~tba3/stat612/lectures/lec23/lecture23.pdf
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new
LassoAdmm(a: MatrixD, b: VectorD, λ: Double = 0.01)
- a
the data matrix
- b
the response vector
- λ
the regularization l_1 penalty weight
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def
fast_sthresh(v: VectorD, thr: Double): VectorD
Return the fast soft thresholding function.
Return the fast soft thresholding function.
- v
the vector to threshold
- thr
the threshold
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def
solve(): VectorD
Solve for 'x' using ADMM.
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