BriefGPT.xyz
Sep, 2011
基于迹范数的相关设计正则化方法
Trace Lasso: a trace norm regularization for correlated designs
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Edouard Grave, Guillaume Obozinski, Francis Bach
TL;DR
本文提出了一种新的罚函数——迹Lasso来稳定估计设计矩阵相关的线性模型的参数向量，并提出了一种改进的最小二乘优化算法，模拟实验结果表明，该方法相比于其他方法（如弹性网）更适用于强相关情况。
Abstract
Using the $\ell_1$-norm to regularize the estimation of the parameter vector of a
linear model
leads to an unstable estimator when
covariates
are highly correlated. In this paper, we introduce a new penalty funct
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