How to regularize your regression

Can we learn how to set the regularization parameter from similar domain-specific data? Perhaps the simplest relation between a real dependent variable and a vector of features is a linear model . Given some training examples or datapoints consisting of pairs of features and dependent variables, we would like to learn which would give the best prediction given features of an unseen example. This process of fitting a linear model to the datapoints is called linear regression. This simple yet effective model finds ubiquitous applications, ranging from biological, behavioral, and social sciences to environmental studies and financial forecasting, to make reliable predictions on future data.