All Questions
Tagged with regression optimization
6 questions
2
votes
1
answer
222
views
How to show that minimizing the epsilon-insensitive loss is equivalent to a quadratic program with inequality constraints?
This question is about an optimization problem that arises in support vector regression (SVR). Suppose you have $N$ pairs $(\vec{x}_n, y_n)$ as data and would like to find a vector of weights $\vec w \...
- 123
2
votes
1
answer
140
views
Loglog transformation of optimization problem, how can the solution be equal to the nontransformed counterpart?
Consider the following two functions:
$$y_t = e^{lt} \cdot e^{st} \cdot \prod_{p=0}^{n} x_{tp}^{b_{tp}}\tag1$$
Where $e^{lt}$ captures the trend, $e^{st}$ captures the seasonality and $x_{tp}$ is our ...
7
votes
3
answers
490
views
Training ML models to be used as objectives in optimization problems
Suppose that we have data (in my case, from a chemical process) which includes input data $X$ (characteristic of the material to be processed) and decision data $Y$ (decisions taken by operators to ...
- 813
2
votes
1
answer
131
views
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 ...
- 129
5
votes
0
answers
208
views
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}...
- 151
16
votes
3
answers
980
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 ...
- 5,462