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Least squares Ridge Regression - how to do with solver that takes matrix input?

  1. Jun 30, 2008 #1
    How does one perform least squares regression with 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:
     
  2. jcsd
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