If you have the LASSO with non orthonormal X problem, what is its solution? In othe words, how can I obtain the $$\beta$$ weight values? We need the mathematical derivation in order to front another, more complex, problem.
Asked
Active
Viewed 382 times
2
-
There's no closed form solution – Firebug Nov 13 '21 at 14:54
-
There is no restriction to orthonormal $X$ in Lasso. Why do you think there is? – jbowman Nov 13 '21 at 17:49
-
@jbowman, there isn't a restriction, but when X is orthonormal, there is a closed-form solution – Ben Reiniger Oct 12 '23 at 13:35