Gradient-based bilevel optimization for multi-penalty ridge regression through matrix differential calculus

DOI10.1016/J.EJCON.2024.101150MaRDI QIDQ7008365zbMATH OpenFDO

Authors Gabriele Maroni, Loris Cannelli, Dario Piga

Publication date 21 March 2025

Published in European Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJCON.2024.101150

zbMATH Keywords

bilevel optimizationgradient-based optimizationmulti-hyperparameter optimizationmulti-penalty ridge regressionregularizationregularized least-squaresridge regression

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Numerical optimization and variational techniques (65K10) Quadratic programming (90C20) Nonlinear programming (90C30) Computational methods for problems pertaining to systems and control theory (93-08) Estimation and detection in stochastic control theory (93E10)

Cites work

• A bilevel optimization approach for parameter learning in variational models
• Adaptive subgradient methods for online learning and stochastic optimization
• Fast Cross-validation for Multi-penalty High-dimensional Ridge Regression
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Matrix differential calculus with applications in statistics and econometrics
• Probabilistic machine learning. An introduction
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Sparse RKHS estimation via globally convex optimization and its application in LPV-IO identification

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