Lecture

Linear Models: Ridge, OLS and LASSO

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In course

EE-411: Fundamentals of inference and learning

This is an introductory course in the theory of statistics, inference, and machine learning, with an emphasis on theoretical understanding & practical exercises. The course will combine, and alternate, between mathematical theoretical foundations and prac ...

Description

This lecture covers linear models including Ridge, Ordinary Least Squares (OLS), and Least Absolute Shrinkage and Selection Operator (LASSO). It explains the concepts of singular values, positive definite matrices, and eigenvalues. The lecture also delves into the application of these models in regression analysis.

Instructor

Florent Gérard Krzakala

Official source

Ontological neighbourhood

Statistics

Data analysis: Regression analysis

Mathematics

Algebra: Linear algebra

Related concepts (32)

Singular value decomposition

In linear algebra, the singular value decomposition (SVD) is a factorization of a real or complex matrix. It generalizes the eigendecomposition of a square normal matrix with an orthonormal eigenbasis to any matrix. It is related to the polar decomposition. Specifically, the singular value decomposition of an complex matrix M is a factorization of the form where U is an complex unitary matrix, is an rectangular diagonal matrix with non-negative real numbers on the diagonal, V is an complex unitary matrix, and is the conjugate transpose of V.

Positive-definite kernel

In operator theory, a branch of mathematics, a positive-definite kernel is a generalization of a positive-definite function or a positive-definite matrix. It was first introduced by James Mercer in the early 20th century, in the context of solving integral operator equations. Since then, positive-definite functions and their various analogues and generalizations have arisen in diverse parts of mathematics.

Schur complement

In linear algebra and the theory of matrices, the Schur complement of a block matrix is defined as follows. Suppose p, q are nonnegative integers, and suppose A, B, C, D are respectively p × p, p × q, q × p, and q × q matrices of complex numbers. Let so that M is a (p + q) × (p + q) matrix. If D is invertible, then the Schur complement of the block D of the matrix M is the p × p matrix defined by If A is invertible, the Schur complement of the block A of the matrix M is the q × q matrix defined by In the case that A or D is singular, substituting a generalized inverse for the inverses on M/A and M/D yields the generalized Schur complement.

Cholesky decomposition

In linear algebra, the Cholesky decomposition or Cholesky factorization (pronounced ʃəˈlɛski ) is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose, which is useful for efficient numerical solutions, e.g., Monte Carlo simulations. It was discovered by André-Louis Cholesky for real matrices, and posthumously published in 1924. When it is applicable, the Cholesky decomposition is roughly twice as efficient as the LU decomposition for solving systems of linear equations.

Segmented regression

Segmented regression, also known as piecewise regression or broken-stick regression, is a method in regression analysis in which the independent variable is partitioned into intervals and a separate line segment is fit to each interval. Segmented regression analysis can also be performed on multivariate data by partitioning the various independent variables. Segmented regression is useful when the independent variables, clustered into different groups, exhibit different relationships between the variables in these regions.

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