SirTristan
Jun30-08, 11:55 PM
How does one perform least squares regression with Tikhonov Regularization (http://en.wikipedia.org/wiki/Tikhonov_regularization) when using a solver that takes matrix input?
To do the regularization, you add (Gamma*x)^2 to the term that you are minimizing. But what if you are using a solver where you can't directly add this to the residual sum of squares? In my case LAPACK xgels routines.
How can one transform the matrix to incorporate the regularization term?
I read the wiki article, however I took linear algebra in college almost a decade ago and am very rusty, so I am not able to figure this out myself :smile:
To do the regularization, you add (Gamma*x)^2 to the term that you are minimizing. But what if you are using a solver where you can't directly add this to the residual sum of squares? In my case LAPACK xgels routines.
How can one transform the matrix to incorporate the regularization term?
I read the wiki article, however I took linear algebra in college almost a decade ago and am very rusty, so I am not able to figure this out myself :smile: