Thanks for your pointer. I looked into "Applied Regression Analysis"
by Draper and Smith, and the ridge trace solution can be obtained
efficiently by expressing it in canonical form. It could be coded
without much difficulty, but I'm just wondering if there's any package
which has already implemented this (or other) efficient way of
returning a solution path for a sequence of regularization parameter?
The function provided by MASS computes the solution individually for
each value of the parameter. A quick look into the parcor and
penalized packages seems to be promising, but I need to check the
source code to see if they really implement an efficient algorithm as
desired. Any input to this would be much appreciated.
Thanks again.
On 15-Apr-10, at 8:49 AM, Charles C. Berry wrote:
On Wed, 14 Apr 2010, Kenneth Lo wrote:
With the use of the LARS algorithm, a path of solutions
corresponding to a sequence of the regularization parameter can be
obtained for LASSO (or even the elastic net, a hybrid between LASSO
and ridge) at the cost of one linear regression. In terms of
computational speed LASSO seems to have beaten ridge regression,
the solution of which needs to be computed individually, at the
cost of one linear regression, for each regularization parameter.
Is there any efficient method to compute a path of solutions for
ridge regression corresponding to a sequence of the regularization
parameter? Thanks.
Yes.
Check a textbook like Draper and Smith. Or Google for course notes.
HTH,
Chuck
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Charles C. Berry (858) 534-2098
Dept of Family/Preventive
Medicine
E mailto:cbe...@tajo.ucsd.edu UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/ La Jolla, San Diego
92093-0901
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