Ridge: shrinking the coefficients
Deliberately making a model worse is sometimes the only right move. We will raise the training error sixfold and halve the test error.
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Sources
- Hoerl, A. E. & Kennard, R. W. 1970 · Ridge Regression: Biased Estimation for Nonorthogonal Problems · Technometrics, 12(1)
- Bishop, C. M. 2006 · Pattern Recognition and Machine Learning, Bölüm 3.1.4 · Springer
- Hastie, Tibshirani, Friedman 2009 · The Elements of Statistical Learning, Bölüm 3.4.1 · Springer
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