Questions tagged [regression]

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2 votes
1 answer
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Lagrange for quadratic programming with linear constraint

First of all, thanks for the help in previous post. The problem I'm facing is some legacy codes used Lagrange multipliers to solve a weighted regression problem. New requirements changed and I'm ...
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3 votes
1 answer
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Translate standard weighted least square regression to quadratic programming

Sorry if this is really easy for you gurus. I'm trying to derive the reformulation of a weighted least square regression to a quadratic programming form. I understand there is a closed form solution ...
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3 answers
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Operational research and Linear regression

I have a pretty large data set with several independent variables and one variable that I would like to explain the behavior (dependent variable). What I want to do is find the linear coefficient and ...
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4 votes
0 answers
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Fast solvers for LASSO-type non-convex optimization problems

Given $y \in \mathbb{R}^{n \times 1}, X \in \mathbb{R}^{n \times p}$, $p > n$, assume a LASSO-type optimization problem in the form of $$ \hat\beta=\underset{\beta}{\operatorname{argmin}}\frac{1}{2}...
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2 votes
0 answers
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Tanaka's Fuzzy House Price Problem

I would like to understand and solve Tanaka's fuzzy house price problem (Table III). Unfortunately I couldn't able to build the problem structure and restrictions here (according to (19)). Anyone have ...
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7 votes
1 answer
119 views

Ridge Regression lagrange duality

In every machine learning book we see that it is roughly mentioned that the ridge regression: $$p_1^* = \min\limits_{\beta} \ \left( \mathrm{RSS} + \lambda\sum_{j=1}^p \beta_j^2 \right)$$ is ...
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16 votes
3 answers
471 views

How to model nonlinear regression?

As part of my research in statistics, I recently stumbled upon this paper1 which provides an operational perspective into linear models. In simple linear regression, quadratic programming can be used ...
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