optimize_ridge: Optimizing the ridge parameter.

In lyran92/bis557: What the Package Does (One Line, Title Case)

Description

This is a function to optimize the ridge penalty parameter.

Usage

optimize_ridge(X, Y, lambdas, k)

Arguments

X	The input design matrix.
Y	The input response vector.
lambdas	The list of input penalty parameters.
k	An optional number k for k-fold cross-validation.

Value

The most optimal ridge parameter.

Examples

  n <- 500
  p <- 5
  beta <- c(1,-1,0,0,2)
  set.seed(9999)
  X <- matrix(rnorm(n * p), ncol = p)
  alpha <- 0.05
  X[,1] <- X[,1] * alpha + X[,2] * (1 - alpha)
  Y <- X %*% beta + rnorm(n)
  lambdas <- seq(0.1,10, by=0.1)
result <- optimize_ridge(X, Y, lambda=seq(0.1,15,length.out=50),k=5)
print(result)

lyran92/bis557 documentation built on Dec. 21, 2020, 10:03 p.m.