AN ALTERNATIVE APPROACH TO SOLVE THE LAD-LASSO PROBLEM

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Sigma Mühendislik ve Fen Bilimleri Dergisi
Volume:34 Issue:3
AN ALTERNATIVE APPROACH TO SOLVE THE LAD-LASSO PROBLEM

AN ALTERNATIVE APPROACH TO SOLVE THE LAD-LASSO PROBLEM

Authors : Esra EMİROĞLU

Pages : 467-476

View : 95 | Download : 21

Publication Date : 2016-09-01

Article Type : Research Paper

Abstract :The least absolute deviation insert ignore into journalissuearticles values(LAD); regression is more robust alternative to the popular least squares insert ignore into journalissuearticles values(LS); regression whenever there are outliers in the response variable, or the errors follow a heavy-tailed distribution. The least absolute shrinkage and selection operator insert ignore into journalissuearticles values(LASSO); is a popular choice for shrinkage estimation and variable selection. By combining these two classical ideas, LAD-LASSO is an estimator which is able to perform shrinkage estimation while at the same time selecting the variables and is resistant to heavy-tailed distributions and outliers. The aim of this article is to reformulate LAD-LASSO problem to solve with the Simplex Algorithm, which is an area of Mathematical Programming.
Keywords : Regression, LAD, LASSO, LAD LASSO, Mathematical Programming, Simplex Algorithm

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