Compare the lasso algorithm with the quadratic penalty

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The Lasso algorithm] Rather than a soft order constraint on the squares of the weights, one cou ld use the absolute values of the weights:

The model is cal led the lasso algorithm.

(a) Formulate and implement this as a quadratic program. Use the experimental design to compare the lasso algorithm with the quadratic penalty by giving plots of Eout versus regularization parameter.

(b) What is the augmented error? Is it more convenient to optimize?

Reference no: EM131293424

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