LASSO Regression

Chapter Goals:

• Learn about sparse linear regression via LASSO

A. Sparse regularization

While ridge regularization uses an L2 norm penalty term, another regularization method called LASSO uses an L1 norm for the weights penalty term. Specifically, LASSO regularization will find the optimal weights to minimize the following quantity:

$$\alpha ||w||_1 + \sum_{i = 1}^n (\mathbf{x}_i \cdot w - y_i)^2$$ ...