4 ms·
Let me add: Least Angle Regression. It's an efficient way for performing Lasso (L^1-penalization) to regression models, which has the benefit of (in addition t
by michaelochurch 13y ago
Let me add: Least Angle Regression.
It's an efficient way for performing Lasso (L^1-penalization) to regression models, which has the benefit of (in addition to reducing risk of overfitting) producing sparse models.
- GFK_of_xmaspast 13y agoThat's a little specific. SIAM put out a 'ten algorithms of the century' https://www.siam.org/pdf/news/637.pdf https://www.siam.org/pdf/news/637.pdf a few years ago and it's really tough to argue with six or seven or eight of them. (MCMC, simplex, Krylov, Householder decomposition, QR, Quicksort, FFT, Ferguson&Forcade's integer relation stuff (that led to stuff like PSLQ), and fast multipole) And FORTRAN.