In one sentence, what does the LARS algorithm compute?
hardAnswer
- Least Angle Regression is a stagewise algorithm that computes the entire regularization path of Lasso coefficients (from full L1 penalty down to zero penalty) in about the same cost as one OLS fit, by adding features to the active set in the order of highest correlation with the current residual and moving in a direction equiangular to them.
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- LARS computes the curve
- It computes the full Lasso regularization path efficiently
- It's an optimizer for neural networks
- It replaces cross-validation
LARS traces the whole Lasso coefficient path at the cost of a single OLS.
#regularization#linear-models
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