This commit is contained in:
Morten Hjorth-Jensen
2021-09-09 07:27:17 +02:00
parent 6766f68da6
commit eb12e84cf6
6 changed files with 10 additions and 10 deletions
+2 -2
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@@ -787,7 +787,7 @@ which gives \( \lambda=4.571 \) and \( \beta_0=0.933 \) and \( \beta_1=0.359 \).
<p>
For Lasso we need now, keeping a constraint on \( \vert\beta_0\vert+\vert\beta_1\vert=1 \), to take the derivative of the absolute values of \( \beta_0 \)
and \( beta_1 \). This gives us the following derivatives of the cost function
and \( \beta_1 \). This gives us the following derivatives of the cost function
<p>&nbsp;<br>
$$
C(\boldsymbol{\beta})=(4-2\beta_0)^2+(2-\beta_1)^2+\lambda(\vert\beta_0\vert+\vert\beta_1\vert),
@@ -1176,7 +1176,7 @@ $$
which leads to
<p>&nbsp;<br>
$$
\hat{\boldsymbol{\beta}}_{mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right^{-1}\boldsymbol{X}^T\boldsymbol{y}!
\hat{\boldsymbol{\beta}}_{\mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right)^{-1}\boldsymbol{X}^T\boldsymbol{y}!
$$
<p>&nbsp;<br>
</section>
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@@ -808,7 +808,7 @@ which gives \( \lambda=4.571 \) and \( \beta_0=0.933 \) and \( \beta_1=0.359 \).
<p>
For Lasso we need now, keeping a constraint on \( \vert\beta_0\vert+\vert\beta_1\vert=1 \), to take the derivative of the absolute values of \( \beta_0 \)
and \( beta_1 \). This gives us the following derivatives of the cost function
and \( \beta_1 \). This gives us the following derivatives of the cost function
$$
C(\boldsymbol{\beta})=(4-2\beta_0)^2+(2-\beta_1)^2+\lambda(\vert\beta_0\vert+\vert\beta_1\vert),
$$
@@ -1150,7 +1150,7 @@ $$
which leads to
$$
\hat{\boldsymbol{\beta}}_{mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right^{-1}\boldsymbol{X}^T\boldsymbol{y}!
\hat{\boldsymbol{\beta}}_{\mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right)^{-1}\boldsymbol{X}^T\boldsymbol{y}!
$$
<p>
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@@ -813,7 +813,7 @@ which gives \( \lambda=4.571 \) and \( \beta_0=0.933 \) and \( \beta_1=0.359 \).
<p>
For Lasso we need now, keeping a constraint on \( \vert\beta_0\vert+\vert\beta_1\vert=1 \), to take the derivative of the absolute values of \( \beta_0 \)
and \( beta_1 \). This gives us the following derivatives of the cost function
and \( \beta_1 \). This gives us the following derivatives of the cost function
$$
C(\boldsymbol{\beta})=(4-2\beta_0)^2+(2-\beta_1)^2+\lambda(\vert\beta_0\vert+\vert\beta_1\vert),
$$
@@ -1155,7 +1155,7 @@ $$
which leads to
$$
\hat{\boldsymbol{\beta}}_{mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right^{-1}\boldsymbol{X}^T\boldsymbol{y}!
\hat{\boldsymbol{\beta}}_{\mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right)^{-1}\boldsymbol{X}^T\boldsymbol{y}!
$$
<p>
Binary file not shown.
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@@ -970,7 +970,7 @@
"## Lasso case\n",
"\n",
"For Lasso we need now, keeping a constraint on $\\vert\\beta_0\\vert+\\vert\\beta_1\\vert=1$, to take the derivative of the absolute values of $\\beta_0$\n",
"and $beta_1$. This gives us the following derivatives of the cost function"
"and $\\beta_1$. This gives us the following derivatives of the cost function"
]
},
{
@@ -1511,7 +1511,7 @@
"metadata": {},
"source": [
"$$\n",
"\\hat{\\boldsymbol{\\beta}}_{mathrm{OLS}}=\\left(\\boldsymbol{X}^T\\boldsymbol{X}\\right^{-1}\\boldsymbol{X}^T\\boldsymbol{y}!\n",
"\\hat{\\boldsymbol{\\beta}}_{\\mathrm{OLS}}=\\left(\\boldsymbol{X}^T\\boldsymbol{X}\\right)^{-1}\\boldsymbol{X}^T\\boldsymbol{y}!\n",
"$$"
]
},
+2 -2
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@@ -531,7 +531,7 @@ which gives $\lambda=4.571$ and $\beta_0=0.933$ and $\beta_1=0.359$.
===== Lasso case =====
For Lasso we need now, keeping a constraint on $\vert\beta_0\vert+\vert\beta_1\vert=1$, to take the derivative of the absolute values of $\beta_0$
and $beta_1$. This gives us the following derivatives of the cost function
and $\beta_1$. This gives us the following derivatives of the cost function
!bt
\[
C(\bm{\beta})=(4-2\beta_0)^2+(2-\beta_1)^2+\lambda(\vert\beta_0\vert+\vert\beta_1\vert),
@@ -856,7 +856,7 @@ Taking the derivative of the *new* cost function with respect to the parameters
which leads to
!bt
\[
\hat{\bm{\beta}}_{mathrm{OLS}}=\left(\bm{X}^T\bm{X}\right^{-1}\bm{X}^T\bm{y}!
\hat{\bm{\beta}}_{\mathrm{OLS}}=\left(\bm{X}^T\bm{X}\right)^{-1}\bm{X}^T\bm{y}!
\]
!et