Packages

c

scalation.analytics

CoordDescentLasso

class CoordDescentLasso extends AnyRef

The CoordDescentLasso class find the optimal parameters 'b' using Coordinate Descent.

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Instance Constructors

  1. new CoordDescentLasso(x: MatriD, y: VectoD, lambda: Double = 0.1)

    x

    the data/input matrix

    y

    the response.output vector

    lambda

    the regularization/shrinkage parameter

Value Members

  1. def fast_sthresh(v: Double, thr: Double): Double

    Return the fast soft thresholding function.

    Return the fast soft thresholding function.

    v

    the value to threshold

    thr

    the threshold

  2. val lambda: Double
  3. def lasso_coord(b: VectoD, j: Int): Double

  4. def optimize(): VectoD

    Optimize ...