岭回归估计k值选取迭代算法的收敛性定理和极限

THE CONVERGENCE THEOREM AND LIMIT OF THE ITERATIVE ALGORITHM FOR CHOOSING k VALUE IN RIDGE REGRESSION ESTIMATION

岭回归估计ｋ值选取迭代算法的收敛性定理和极限何中市，何良材（重庆大学系统工程及应用数学系，重庆６３００４４）ＴＨＥＣＯＮＶＥＲＧＥＮＣＥＴＨＥＯＲＥＭＡＮＤＬＩＭＩＴＯＦＴＨＥＩＴＥＲＡＴＩＶＥＡＬＧＯＲＩＴＨＭＦＯＲＣＨＯＯＳＩＮＧｋＶＡＬＵＥＩＮ...

Iterative algorithm proposed by Hoerl and Kennard is an important method for choosing ridge parameter k value in ridge regression estimation, but there are some problems in application and weakness in theory, for this reason. We give the convergence theorem and it's proof, as well as the formula of convergence limit about the iterative algorithm in this paper.