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所属分类:matlab编程
开发工具:matlab
文件大小:4KB
下载次数:11
上传日期:2013-05-05 13:11:29
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gwx123411
说明: 处理lasso regression。
使用stochastic Markov property。
(Algorithm for solving the Lasso problem:
0.5* (y- X*beta) *(y- X*beta)+ lambda* ||beta||_1
where ||beta||_1 is the L_1 norm i.e., ||beta||_1 = sum(abs( beta ))
We use the method proposed by Fu et. al based on single co-ordinate
descent. For more details see GP s notes or the following paper:
Penalized Regressions: The Bridge Versus the Lasso
Wenjiang J. FU, Journal of Computational and Graphical Statistics,
Volume 7, Number 3, Pages 397?416, 1998
)
文件列表:
estimateLassoLambda.m (6343, 2011-04-11)
exampleLassoUsage.m (2732, 2011-04-11)
normalize.m (120, 2013-04-14)
solveLasso.m (5259, 2013-04-16)
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