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Lasso dropout knot (γdrop​=minj∈A:−βj​/dj​>0​(−βj​/dj​))

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Lasso Lasso regularization path
2026-10-14  0 By others on same topic  0 Discussions Create my own version
On a least-angle segment β(γ)=β+γd, a nonzero active regression coefficient reaches zero at the displayed first positive root. Continue only as far as the first dropout, inactive-entry event or zero-correlation endpoint. At a dropout remove the vanishing regression coefficient from the active direction and recompute. This preserves agreement between nonzero regression coefficient signs and residual-score signs, which the Karush-Kuhn-Tucker conditions for the Lasso require. A removed regression coefficient may re-enter later; the active set need not grow monotonically.

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  • Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 34 / 4 / Solution

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