Convex Techniques for Model Selection

Dustin Tran

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arXiv · 1411.7596

Convex Techniques for Model Selection

Dustin Tran

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Abstract

We develop a robust convex algorithm to select the regularization parameter in model selection. In practice this would be automated in order to save practitioners time from having to tune it manually. In particular, we implement and test the convex method for $K$-fold cross validation on ridge regression, although the same concept extends to more complex models. We then compare its performance with standard methods.

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Dustin Tran. 2014-11-27. Convex Techniques for Model Selection. https://arxiv.org/abs/1411.7596

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