[R] Efficient algorithm to get a solution path for ridge regression?

[Charles C. Berry]

On Wed, 14 Apr 2010, Kenneth Lo wrote:

> With the use of the LARS algorithm, a path of solutions corresponding to a 
> sequence of the regularization parameter can be obtained for LASSO (or even 
> the elastic net, a hybrid between LASSO and ridge) at the cost of one linear 
> regression. In terms of computational speed LASSO seems to have beaten ridge 
> regression, the solution of which needs to be computed individually, at the 
> cost of one linear regression, for each regularization parameter. Is there 
> any efficient method to compute a path of solutions for ridge regression 
> corresponding to a sequence of the regularization parameter? Thanks.

Yes.

Check a textbook like Draper and Smith. Or Google for course notes.

HTH,

Chuck

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Charles C. Berry                            (858) 534-2098
                                             Dept of Family/Preventive Medicine
E mailto:cberry at tajo.ucsd.edu	            UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/  La Jolla, San Diego 92093-0901