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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@@ -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