Chunk #23 — 2 Algorithms for the Lasso, Ridge Regression and the Elastic Net — 2.5 Pathwise Coordinate Descent

Source

Regularization Paths for Generalized Linear Models via Coordinate Descent.

Embedded

yes

Text

When β̃ = 0, we see from (5) that β̃j will stay zero if 1N|〈xj,y〉|<λα. Hence Nαλmax = maxℓ |〈xℓ, y〉|. Our strategy is to select a minimum value λmin = ελmax, and construct a sequence of K values of λ decreasing from λmax to λmin on the log scale. Typical values are ε = 0.001 and K = 100.