11
2- `fracridge ` : Ridge regression with fraction regularization
3- ============================================================
4-
5- This software automatically finds regularization metaparameters for ridge
6- regression
7-
2+ `fracridge ` : fractional ridge regression
3+ =========================================
4+
5+ Ridge regression (RR) is a regularization technique that penalizes the L2-norm
6+ of the coefficients in linear regression. One of the challenges of using RR is
7+ the need to set a hyperparameter (α) that controls the amount of regularization.
8+ Cross-validation is typically used to select the best α from a set of
9+ candidates. However, efficient and appropriate selection of α can be
10+ challenging, particularly where large amounts of data are analyzed. Because the
11+ selected α depends on the scale of the data and predictors, it is also not
12+ straightforwardly interpretable.
13+
14+ Here, we reparameterize RR in terms of the ratio γ between the L2-norms of the
15+ regularized and unregularized coefficients.
16+
17+ This approach, called fractional RR (FRR), has several benefits:
18+ the solutions obtained for different γ are guaranteed to vary, guarding against
19+ wasted calculations, and automatically span the relevant range of
20+ regularization, avoiding the need for arduous manual exploration.
21+
22+ In a `companion preprint article <https://arxiv.org/abs/2005.03220 >`_, we show
23+ that the proposed method is fast and scalable for large-scale data problems, and
24+ delivers results that are straightforward to interpret and compare across models
25+ and datasets.
826
927.. toctree ::
1028 :maxdepth: 2
@@ -19,5 +37,3 @@ Indices and tables
1937* :ref: `genindex `
2038* :ref: `modindex `
2139* :ref: `search `
22-
23-
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