Re: [scikit-learn] Tikhonov regularization

2020-08-11 Thread David Kleiven
Hi, thanks for your suggestions. I will try both options. Best, David On Tue, Aug 11, 2020 at 5:39 PM Mainak Jas wrote: > Hi David, > > Michael has great ideas and they might serve your purpose. If not and if > you are willing to try another software package that is compatible with the > sciki

Re: [scikit-learn] Tikhonov regularization

2020-08-11 Thread Mainak Jas
Hi David, Michael has great ideas and they might serve your purpose. If not and if you are willing to try another software package that is compatible with the scikit-learn ecosystem, you can look into pyglmnet: http://glm-tools.github.io/pyglmnet/auto_examples/plot_tikhonov.html#sphx-glr-auto-exa

Re: [scikit-learn] Tikhonov regularization

2020-08-11 Thread Michael Eickenberg
Hi David, I am assuming you mean that T acts on w. If T is invertible, you can absorb it into the design matrix by making a change of variable v=Tw, w=T^-1 v, and use standard ridge regression for v. If it is not (e.g. when T is a standard finite difference derivative operator) then this trick won