Chunk #15 — 2 Algorithms for the Lasso, Ridge Regression and the Elastic Net

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Regularization Paths for Generalized Linear Models via Coordinate Descent.

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Thus we compute the simple least-squares coefficient on the partial residual, apply soft-thresholding to take care of the lasso contribution to the penalty, and then apply a proportional shrinkage for the ridge penalty. This algorithm was suggested by Van der Kooij [2007].