[R] Efficient algorithm to get a solution path for ridge regression?
Kenneth Lo
kenchlo2 at gmail.com
Thu Apr 15 07:40:39 CEST 2010
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.
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