smile.regression

Class RidgeRegression

java.lang.Object

smile.regression.RidgeRegression

public class RidgeRegression
extends java.lang.Object

Ridge Regression. Coefficient estimates for multiple linear regression models rely on the independence of the model terms. When terms are correlated and the columns of the design matrix X have an approximate linear dependence, the matrix X'X becomes close to singular. As a result, the least-squares estimate becomes highly sensitive to random errors in the observed response Y, producing a large variance.

Ridge regression is one method to address these issues. In ridge regression, the matrix X'X is perturbed so as to make its determinant appreciably different from 0.

Ridge regression is a kind of Tikhonov regularization, which is the most commonly used method of regularization of ill-posed problems. Ridge regression shrinks the regression coefficients by imposing a penalty on their size. By allowing a small amount of bias in the estimates, more reasonable coefficients may often be obtained. Often, small amounts of bias lead to dramatic reductions in the variance of the estimated model coefficients.

Another interpretation of ridge regression is available through Bayesian estimation. In this setting the belief that weight should be small is coded into a prior distribution.

The penalty term is unfair if the predictor variables are not on the same scale. Therefore, if we know that the variables are not measured in the same units, we typically scale the columns of X (to have sample variance 1), and then we perform ridge regression.

When including an intercept term in the regression, we usually leave this coefficient unpenalized. Otherwise we could add some constant amount to the vector y, and this would not result in the same solution. If we center the columns of X, then the intercept estimate ends up just being the mean of y.

Ridge regression doesn’t set coefficients exactly to zero unless λ = ∞, in which case they’re all zero. Hence ridge regression cannot perform variable selection, and even though it performs well in terms of prediction accuracy, it does poorly in terms of offering a clear interpretation.

Constructor Summary

Constructors

Constructor and Description
RidgeRegression()

Method Summary

Modifier and Type	Method and Description
static LinearModel	fit(smile.data.formula.Formula formula, smile.data.DataFrame data) Fits a ridge regression model.
static LinearModel	fit(smile.data.formula.Formula formula, smile.data.DataFrame data, double lambda) Fits a ridge regression model.
static LinearModel	fit(smile.data.formula.Formula formula, smile.data.DataFrame data, java.util.Properties prop) Fits a ridge regression model.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

RidgeRegression

public RidgeRegression()

Method Detail

fit

public static LinearModel fit(smile.data.formula.Formula formula,
                              smile.data.DataFrame data)

Fits a ridge regression model.

Parameters:

formula - a symbolic description of the model to be fitted.

data - the data frame of the explanatory and response variables. NO NEED to include a constant column of 1s for bias.

fit

public static LinearModel fit(smile.data.formula.Formula formula,
                              smile.data.DataFrame data,
                              java.util.Properties prop)

Fits a ridge regression model. The hyper-parameters in prop include

• smile.ridge.lambda is the shrinkage/regularization parameter. Large lambda means more shrinkage. Choosing an appropriate value of lambda is important, and also difficult.
• smile.ridge.standard.error is a boolean. If true, compute the estimated standard errors of the estimate of parameters

Parameters:

formula - a symbolic description of the model to be fitted.

data - the data frame of the explanatory and response variables. NO NEED to include a constant column of 1s for bias.

prop - Training algorithm hyper-parameters and properties.

fit

public static LinearModel fit(smile.data.formula.Formula formula,
                              smile.data.DataFrame data,
                              double lambda)

Fits a ridge regression model.

Parameters:

formula - a symbolic description of the model to be fitted.

data - the data frame of the explanatory and response variables. NO NEED to include a constant column of 1s for bias.

lambda - the shrinkage/regularization parameter. Large lambda means more shrinkage. Choosing an appropriate value of lambda is important, and also difficult.