Introduction to Statistical Machine Learning
Linear Methods for Regression - 21 - Marcus Hutter Coe–cient Shrinkage Solution 2: Shrinkage methods: Shrink the least squares w by penalizing the Loss: Ridge regression: Add / jjwjj2 2. Lasso: Add / jjwjj1. Bayesian linear regression: Comp. MAP argmaxw P(wjD) from prior P (w) and sampling model P (Djw). Weights of low variance components ...
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