Ridge regression with fraction regularization
Project description
fracridge
Is an implementation of fractional ridge regression (FRR).
Installation:
MATLAB
Download and copy the files from the [https://github.com/nrdg/fracridge/tree/master/matlab](MATLAB directory) into your MATLAB path.
Python
To install the release version:
pip install fracridge
Or to install the development version:
pip install -r requirements.txt
pip install .
Usage
MATLAB
[coef,alphas] = fracridge(X,fracs,y,tol,mode)
Python
There's a functional API:
from fracridge import fracridge
coefs, alphas = fracridge(X, y, fracs)
Or a sklearn-compatible OO API:
from fracridge import FracRidge
fr = FracRridge(fracs=fracs)
fr.fit(X, y)
coefs = fr.coef_
alphas = fr.alpha_
Online documentation
https://nrdg.github.io/fracridge/
How to cite
Please cite our preprint: "Fractional ridge regression: a fast, interpretable reparameterization of ridge regression" (2020), Rokem & Kay, https://arxiv.org/abs/2005.03220
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