用matlab编写坐标轴下降法的lasso回归
时间: 2023-11-15 09:05:17 浏览: 177
group_lasso_grouplasso_lasso回归算法_lasso回归_lasso
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以下是用Matlab编写的坐标轴下降法的Lasso回归代码示例:
```matlab
function [beta, history] = lasso_coord_desc(X, y, lambda, alpha, max_iter, tol)
% X: n x d matrix of features
% y: n x 1 vector of labels
% lambda: regularization parameter
% alpha: elastic net mixing parameter
% max_iter: maximum number of iterations
% tol: tolerance for stopping criterion
[n, d] = size(X);
beta = zeros(d, 1);
history = zeros(max_iter, 1);
for iter = 1:max_iter
% update each coordinate in turn
for j = 1:d
% compute residual
r = y - X * beta + X(:, j) * beta(j);
% compute correlation
c = X(:, j)' * r;
% soft thresholding
beta(j) = sign(c) * max(0, abs(c) - lambda * alpha) / (1 + lambda * (1 - alpha));
end
% compute objective function value
history(iter) = 0.5 * norm(y - X * beta)^2 + lambda * norm(beta, 1);
% check stopping criterion
if iter > 1 && abs(history(iter) - history(iter-1)) < tol
history = history(1:iter);
break;
end
end
end
```
其中,输入参数包括X(n x d 的特征矩阵),y(n x 1 向量的标签),lambda(正则化参数),alpha(弹性网混合参数),max_iter(最大迭代次数)和tol(停止准则容忍度)。输出参数包括beta(d x 1 的系数向量)和history(迭代过程中的目标函数值历史记录)。
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