ttyang_xiamen 发表于 2010-3-27 14:21
请教各位大侠：什么是惩罚最小二乘法？和我们常用的普通最小二乘，或者广义最小二乘等有什么区别？

bobguy 发表于 2010-3-28 09:49

ttyang_xiamen 发表于 2010-3-27 14:21
请教各位大侠：什么是惩罚最小二乘法？和我们常用的普通最小二乘，或者广义最小二乘等有什么区别？

They differ in the definition of objective functions. OLS minimizes the sum of error squares. The penalized least square minimizes the sum of error squares + other penalized factors. One good example is the ridge regression.

ttyang_xiamen 发表于 2010-3-28 16:23

bobguy 发表于 2010-3-28 09:49

ttyang_xiamen 发表于 2010-3-27 14:21
请教各位大侠：什么是惩罚最小二乘法？和我们常用的普通最小二乘，或者广义最小二乘等有什么区别？

They differ in the definition of objective functions. OLS minimizes the sum of error squares. The penalized least square minimizes the sum of error squares + other penalized factors. One good example is the ridge regression.

这个惩罚因子是确定的吗？还是根据具体问题而定？