Notes on Lasso.jl

For CBIOMES Julia meeting discussion lead by @jtsiddons in October.

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Plan

We look at using Lasso.jl and GLMNet.jl to perform penalised regression in Julia. I have created a quick dataset from the Narragansett Bay NABATS.org, from which we will use environmental and meteorlogical variables to estimate surface salinity in the bay. I will start with a simple linear regression using GLM.jl.

Introduction to Lasso Regression

• What is Lasso Regression? 1st order penalty on the regression coefficients.
• How do coefficients change with $\lambda$ (plot)

Ridge Regression

2nd order penalty to the coefficients.

Elastic Net

• How does changing $\lambda$ and/or $\alpha$ affect the result

$\lambda$ selection

Use cross-validation using K-fold from MLBase.