update
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@@ -787,7 +787,7 @@ which gives \( \lambda=4.571 \) and \( \beta_0=0.933 \) and \( \beta_1=0.359 \).
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<p>
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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 \( \beta_0 \)
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and \( beta_1 \). This gives us the following derivatives of the cost function
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and \( \beta_1 \). This gives us the following derivatives of the cost function
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<p> <br>
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$$
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C(\boldsymbol{\beta})=(4-2\beta_0)^2+(2-\beta_1)^2+\lambda(\vert\beta_0\vert+\vert\beta_1\vert),
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@@ -1176,7 +1176,7 @@ $$
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which leads to
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<p> <br>
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$$
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\hat{\boldsymbol{\beta}}_{mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right^{-1}\boldsymbol{X}^T\boldsymbol{y}!
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\hat{\boldsymbol{\beta}}_{\mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right)^{-1}\boldsymbol{X}^T\boldsymbol{y}!
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$$
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<p> <br>
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</section>
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@@ -808,7 +808,7 @@ which gives \( \lambda=4.571 \) and \( \beta_0=0.933 \) and \( \beta_1=0.359 \).
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<p>
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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 \( \beta_0 \)
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and \( beta_1 \). This gives us the following derivatives of the cost function
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and \( \beta_1 \). This gives us the following derivatives of the cost function
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$$
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C(\boldsymbol{\beta})=(4-2\beta_0)^2+(2-\beta_1)^2+\lambda(\vert\beta_0\vert+\vert\beta_1\vert),
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$$
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@@ -1150,7 +1150,7 @@ $$
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which leads to
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$$
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\hat{\boldsymbol{\beta}}_{mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right^{-1}\boldsymbol{X}^T\boldsymbol{y}!
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\hat{\boldsymbol{\beta}}_{\mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right)^{-1}\boldsymbol{X}^T\boldsymbol{y}!
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$$
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<p>
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@@ -813,7 +813,7 @@ which gives \( \lambda=4.571 \) and \( \beta_0=0.933 \) and \( \beta_1=0.359 \).
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<p>
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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 \( \beta_0 \)
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and \( beta_1 \). This gives us the following derivatives of the cost function
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and \( \beta_1 \). This gives us the following derivatives of the cost function
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$$
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C(\boldsymbol{\beta})=(4-2\beta_0)^2+(2-\beta_1)^2+\lambda(\vert\beta_0\vert+\vert\beta_1\vert),
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$$
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@@ -1155,7 +1155,7 @@ $$
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which leads to
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$$
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\hat{\boldsymbol{\beta}}_{mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right^{-1}\boldsymbol{X}^T\boldsymbol{y}!
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\hat{\boldsymbol{\beta}}_{\mathrm{OLS}}=\left(\boldsymbol{X}^T\boldsymbol{X}\right)^{-1}\boldsymbol{X}^T\boldsymbol{y}!
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$$
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<p>
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Binary file not shown.
@@ -970,7 +970,7 @@
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"## Lasso case\n",
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"\n",
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"For Lasso we need now, keeping a constraint on $\\vert\\beta_0\\vert+\\vert\\beta_1\\vert=1$, to take the derivative of the absolute values of $\\beta_0$\n",
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"and $beta_1$. This gives us the following derivatives of the cost function"
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"and $\\beta_1$. This gives us the following derivatives of the cost function"
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]
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},
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{
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@@ -1511,7 +1511,7 @@
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"metadata": {},
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"source": [
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"$$\n",
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"\\hat{\\boldsymbol{\\beta}}_{mathrm{OLS}}=\\left(\\boldsymbol{X}^T\\boldsymbol{X}\\right^{-1}\\boldsymbol{X}^T\\boldsymbol{y}!\n",
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"\\hat{\\boldsymbol{\\beta}}_{\\mathrm{OLS}}=\\left(\\boldsymbol{X}^T\\boldsymbol{X}\\right)^{-1}\\boldsymbol{X}^T\\boldsymbol{y}!\n",
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"$$"
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]
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},
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@@ -531,7 +531,7 @@ which gives $\lambda=4.571$ and $\beta_0=0.933$ and $\beta_1=0.359$.
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===== Lasso case =====
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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 $\beta_0$
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and $beta_1$. This gives us the following derivatives of the cost function
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and $\beta_1$. This gives us the following derivatives of the cost function
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!bt
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\[
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C(\bm{\beta})=(4-2\beta_0)^2+(2-\beta_1)^2+\lambda(\vert\beta_0\vert+\vert\beta_1\vert),
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@@ -856,7 +856,7 @@ Taking the derivative of the *new* cost function with respect to the parameters
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which leads to
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!bt
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\[
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\hat{\bm{\beta}}_{mathrm{OLS}}=\left(\bm{X}^T\bm{X}\right^{-1}\bm{X}^T\bm{y}!
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\hat{\bm{\beta}}_{\mathrm{OLS}}=\left(\bm{X}^T\bm{X}\right)^{-1}\bm{X}^T\bm{y}!
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\]
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!et
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