Regularisation

The basic idea of regularisation is to penalise or shrink the large coefficients of a regression model.
This can help with the bias / variance trade-off (shrinking the coefficient estimates can significantly reduce their variance and will improve the prediction error)  and can help with model selection by automatically removing irrelevant features (that is, by setting the corresponding coefficient estimates to zero).
Its cons are that this approach may be very demanding computationally.

There are several ways to perform the shrinkage; the regularisations models that we will see are the Ridge regression and the Lasso. Continue reading “Regularisation”

Advertisements