R: Ridge Penalty

ridge {lqa}

R Documentation

Ridge Penalty

Object of the penalty class to handle the ridge penalty (Hoerl \& Kennard, 1970).

ridge(lambda = NULL, ...)

lambda

regularization parameter. This must be a nonnegative real number.

...

further arguments.

The ‘classic’ penalty as introduced in Hoerl \& Kennard (1970). The ridge penalty is defined as

P_\lambda^r (\boldsymbol{\beta}) = \lambda \sum_{i=1}^p \beta_j^2.

An object of the class penalty. This is a list with elements

penalty

character: the penalty name.

lambda

double: the (nonnegative) regularization parameter.

getpenmat

function: computes the diagonal penalty matrix.

Jan Ulbricht

Hoerl, A. E. \& R. W. Kennard (1970) Ridge Regression: Bias estimation for nonorthogonal problems. Technometrics 12, 55–67.