Descent Methods for Tuning Parameter Refinement

Abstract

This paper addresses multidimensional tuning parameter selection in the context of “train-validate-test” and K-fold cross validation. A coarse grid search over tuning parameter space is used to initialize a descent method which then jointly optimizes over variables and tuning parameters. We study four regularized regression methods and develop the update… (More)

3 Figures and Tables

Topics

  • Presentations referencing similar topics