ridge {lqa}R Documentation

Ridge Penalty

Description

Object of the penalty class to handle the ridge penalty (Hoerl \& Kennard, 1970).

Usage

ridge(lambda = NULL, ...)

Arguments

lambda

regularization parameter. This must be a nonnegative real number.

...

further arguments.

Details

The ‘classic’ penalty as introduced in Hoerl \& Kennard (1970). The ridge penalty is defined as

P_λ^r (\boldsymbol{β}) = λ ∑_{i=1}^p β_j^2.

Value

An object of the class penalty. This is a list with elements

penalty

character: the penalty name.

lambda

double: the (nonnegative) regularization parameter.

getpenmat

function: computes the diagonal penalty matrix.

Author(s)

Jan Ulbricht

References

Hoerl, A. E. \& R. W. Kennard (1970) Ridge Regression: Bias estimation for nonorthogonal problems. Technometrics 12, 55–67.

See Also

penalty, lasso, penalreg, ForwardBoost


[Package lqa version 1.0-3 Index]