Chunk #31 — 3 Regularized Logistic Regression

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Regularization Paths for Generalized Linear Models via Coordinate Descent.

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Our approach is similar. For each value of λ, we create an outer loop which computes the quadratic approximation ℓQ about the current parameters (β̃0, β̃). Then we use coordinate descent to solve the penalized weighted least-squares problem (18)min(β0,β)∈ℝp+1{−ℓQ(β0,β)+λPα(β)}.