Generalized Ridge Regression
in [Matlab]
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From: Bruno Luong on 28 Mar 2010 13:11 "John D'Errico" <woodchips(a)rochester.rr.com> wrote in message <honuht$hlh$1(a)fred.mathworks.com>... > "Vivek Saxena" <maverick280857(a)yahoo.com> wrote in message <honstg$nmo$1(a)fred.mathworks.com>... > > "Vivek Saxena" <maverick280857(a)yahoo.com> wrote in message <honsd4$gme$1(a)fred.mathworks.com>... > > > "John D'Errico" <woodchips(a)rochester.rr.com> wrote in message <honl42$4qb$1(a)fred.mathworks.com>... > > > > "Vivek Saxena" <maverick280857(a)yahoo.com> wrote in message <honjot$f3c$1(a)fred.mathworks.com>... > > > > > Hi, > > > > > > > > > > Is there a command in MATLAB for performing a generalized ridge regression? > > > > > > > > Yes. Use backslash. > > > > > > > > help slash > > > > > > > > All you need to do is to define the matrices. > > > > > > > > John > > > > > > John, does this give a solution to > > > > > > (X'X + Lambda)Y = X'Y > > > > > > where Lambda is a diagonal matrix, with unequal diagonal entries? I need the entries of the Lamdba matrix using a process similar to the ridge trace method. I do not have Lambda apriori. > > > > Correction: > > > > (X'X + Lambda)Z = X'Y > > You asked if matlab can perform a generalized ridge > regression. > > First of all, do NOT do it by solving this form: > > > (X'X + Lambda)Z = X'Y > > Instead, use of the form: > > [X;sqrt(Lambda)]\Y John, I'm sure you wanted to write [X;sqrt(Lambda)]\[Y;0] Bruno
From: Ambarish Jash on 14 Apr 2010 14:54
Hi Vivek try the function ridge, if you want to implement a linear ridge regression. If you want a kernel version of ridge regression you can download it from my mathworks page. |