Ridge Regression and Provable Deterministic Ridge Leverage Score Sampling

Shannon McCurdy

Neural Information Processing Systems 

While ridge regression provides shrinkage for the regression coefficients, manyofthecoefficients remain smallbutnon-zero. Performing ridgeregression with the matrix sketch returned by our algorithm and a particular regularization parameter forces coefficients to zero and has a provable(1+) bound on the statisticalrisk.

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