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docs/source/index.rst

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