KrisLibrary  1.0.0
OnlineLASSO.h
1 #ifndef STATISTICS_ONLINE_LASSO_H
2 #define STATISTICS_ONLINE_LASSO_H
3 
4 #include "statistics.h"
5 #include <KrisLibrary/math/LDL.h>
6 
7 namespace Statistics {
8 
23 {
24  StochasticPseudoLASSO(Real alpha=0.01);
25  void SetPrior(const Vector& coeffs,int strength);
26  void AddPoint(const Vector& data,Real outcome);
27 
28  Real alpha;
29  int numObservations;
30  std::vector<Real> weightPolynomial;
31  Vector coeffs; //stores estimate of coeffs
32 };
33 
34 } //namespace Statistics
35 
36 #endif
Contains all definitions in the statistics directory.
Definition: BernoulliDistribution.h:6
Basic statistical utilities.
Stochastic estimation of solution to y = A x via a LASSO-like procedure min_x ||b-A x||^2 + alpha*||x...
Definition: OnlineLASSO.h:22