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Concept
Ridge regression
Summary
Ridge regression is a method of estimating the coefficients of multiple-regression models in scenarios where the independent variables are highly correlated. It has been used in many fields including econometrics, chemistry, and engineering. Also known as Tikhonov regularization, named for Andrey Tikhonov, it is a method of regularization of ill-posed problems. It is particularly useful to mitigate the problem of multicollinearity in linear regression, which commonly occurs in models with large numbers of parameters. In general, the method provides improved efficiency in parameter estimation problems in exchange for a tolerable amount of bias (see bias–variance tradeoff).
The theory was first introduced by Hoerl and Kennard in 1970 in their Technometrics papers “RIDGE regressions: biased estimation of nonorthogonal problems” and “RIDGE regressions: applications in nonorthogonal problems”. This was the result of ten years of research into the field of ridge analysis.
Ridge regression was developed as a possible solution to the imprecision of least square estimators when linear regression models have some multicollinear (highly correlated) independent variables—by creating a ridge regression estimator (RR). This provides a more precise ridge parameters estimate, as its variance and mean square estimator are often smaller than the least square estimators previously derived.
In the simplest case, the problem of a near-singular moment matrix is alleviated by adding positive elements to the diagonals, thereby decreasing its condition number. Analogous to the ordinary least squares estimator, the simple ridge estimator is then given by
where is the regressand, is the design matrix, is the identity matrix, and the ridge parameter serves as the constant shifting the diagonals of the moment matrix. It can be shown that this estimator is the solution to the least squares problem subject to the constraint , which can be expressed as a Lagrangian:
which shows that is nothing but the Lagrange multiplier of the constraint.
Official source
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