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arXiv · 1405.3952

Fast Ridge Regression with Randomized Principal Component Analysis and Gradient Descent

Yichao Lu·Dean P. Foster
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Abstract

We propose a new two stage algorithm LING for large scale regression problems. LING has the same risk as the well known Ridge Regression under the fixed design setting and can be computed much faster. Our experiments have shown that LING performs well in terms of both prediction accuracy and computational efficiency compared with other large scale regression algorithms like Gradient Descent, Stochastic Gradient Descent and Principal Component Regression on both simulated and real datasets.

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Yichao Lu, Dean P. Foster. 2014-05-15. Fast Ridge Regression with Randomized Principal Component Analysis and Gradient Descent. https://arxiv.org/abs/1405.3952

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