ML Academy · Track 1 · Classical Machine Learning

Lasso: squeezing a coefficient to zero

Ridge shrinks coefficients but never kills any of them. Lasso does kill them, and while doing so it tells you which feature is unnecessary.

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Sources

Tibshirani, R. 1996 · Regression Shrinkage and Selection via the Lasso · J. Royal Statistical Society B, 58(1)
Hastie, Tibshirani, Friedman 2009 · The Elements of Statistical Learning, Bölüm 3.4.2 · Springer
Zou, H. & Hastie, T. 2005 · Regularization and Variable Selection via the Elastic Net · J. Royal Statistical Society B, 67(2)

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