R help - Apr 2010 - Efficient algorithm to get a solution path for ridge regression?

With the use of the LARS algorithm, a path of solutions corresponding  
to a sequence of the regularization parameter can be obtained for  
LASSO (or even the elastic net, a hybrid between LASSO and ridge) at  
the cost of one linear regression. In terms of computational speed  
LASSO seems to have beaten ridge regression, the solution of which  
needs to be computed individually, at the cost of one linear  
regression, for each regularization parameter. Is there any efficient  
method to compute a path of solutions for ridge regression  
corresponding to a sequence of the regularization parameter? Thanks.

On Wed, 14 Apr 2010, Kenneth Lo wrote:
> With the use of the LARS algorithm, a path of solutions corresponding to a 
> sequence of the regularization parameter can be obtained for LASSO (or even
> the elastic net, a hybrid between LASSO and ridge) at the cost of one
linear
> regression. In terms of computational speed LASSO seems to have beaten
ridge
> regression, the solution of which needs to be computed individually, at the
> cost of one linear regression, for each regularization parameter. Is there 
> any efficient method to compute a path of solutions for ridge regression 
> corresponding to a sequence of the regularization parameter? Thanks.
Yes.

Check a textbook like Draper and Smith. Or Google for course notes.

HTH,

Chuck
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Charles C. Berry                            (858) 534-2098
                                             Dept of Family/Preventive Medicine
E mailto:cberry at tajo.ucsd.edu	            UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/  La Jolla, San Diego 92093-0901