This commit is contained in:
Morten Hjorth-Jensen
2021-11-02 22:14:17 +01:00
parent 41bd165c9f
commit b3cdd08038
11 changed files with 18241 additions and 2266 deletions
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@@ -1148,19 +1148,19 @@ C_{\text{ridge}}(\beta) = \frac{1}{n}||X\beta -\mathbf{y}||^2 + \lambda ||\beta|
\]
!et
In order to minimize $C_{\text{ridge}}(\beta)$ using GD we only have adjust the gradient as follows
In order to minimize $C_{\text{ridge}}(\beta)$ using GD we adjust the gradient as follows
!bt
\[
\nabla_\beta C_{\text{ridge}}(\beta) = \frac{2}{n}\begin{bmatrix} \sum_{i=1}^{100} \left(\beta_0+\beta_1x_i-y_i\right) \\
\sum_{i=1}^{100}\left( x_i (\beta_0+\beta_1x_i)-y_ix_i\right) \\
\end{bmatrix} + 2\lambda\begin{bmatrix} \beta_0 \\ \beta_1\end{bmatrix} = 2 (X^T(X\beta - \mathbf{y})+\lambda \beta).
\end{bmatrix} + 2\lambda\begin{bmatrix} \beta_0 \\ \beta_1\end{bmatrix} = 2 (\frac{1}{n}X^T(X\beta - \mathbf{y})+\lambda \beta).
\]
!et
We can easily extend our program to minimize $C_{\text{ridge}}(\beta)$ using gradient descent and compare with the analytical solution given by
!bt
\[
\beta_{\text{ridge}} = \left(X^T X + \lambda I_{2 \times 2} \right)^{-1} X^T \mathbf{y}.
\beta_{\text{ridge}} = \left(X^T X + n\lambda I_{2 \times 2} \right)^{-1} X^T \mathbf{y}.
\]
!et
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