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Applied Math Talk: Variable Selection via Arbitrary Rectangle-Range Generalized Elastic Net given by Yujia Ding (CGU)

September 21 @ 3:00 pm - 4:00 pm

We propose a regularization and variable selection method, named arbitrary rectangle-range generalized elastic net (ARGEN). It can be applied in high dimensional sparse linear regression models. We propose an algorithm to solve ARGEN; it is an extension of multiplicative updates. Multiple simulation studies and a real-world application in the stock market show that ARGEN applies to more complicated problems, outperforms and extends the lasso, ridge, and elastic net.

Details

Date:
September 21
Time:
3:00 pm - 4:00 pm
Event Category:

Venue

Emmy Noether Room, Millikan 1021, Pomona College
610 N. College Ave.
Claremont, California 91711
+ Google Map

Details

Date:
September 21
Time:
3:00 pm - 4:00 pm
Event Category:

Venue

Emmy Noether Room, Millikan 1021, Pomona College
610 N. College Ave.
Claremont, California 91711
+ Google Map