Regularization Paths and Coordinate Descent

author: Trevor Hastie, Stanford University
published: Sept. 26, 2008,   recorded: August 2008,   views: 2635
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Description

In a statistical world faced with an explosion of data, regularization has become an important ingredient. In many problems, we have many more variables than observations, and the lasso penalty and its hybrids have become increasingly useful. This talk presents some effective algorithms based on coordinate descent for fitting large scale regularization paths for a variety of problems. Joint work with Rob Tibshirani and Jerome Friedman

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