We propose a path following algorithm for generalized linear models that can be considered a differential geometric generalization of the LARS algorithm. In our approach we use differential geometry to generalize the equiangular condition on which is based the LARS algorithm and then we use a predictor-corrector method to compute the solution path of the coefficients.
Augugliaro, L., Wit, E. (2009). Generalizing LARS algorithm using differential geometry. In Book of Short Papers. 7° Meeting of the Classification and Data Analysis Group of the Italian Statistical Society (pp.189-192). Padova : CLEUP.
Generalizing LARS algorithm using differential geometry
AUGUGLIARO, Luigi;
2009-01-01
Abstract
We propose a path following algorithm for generalized linear models that can be considered a differential geometric generalization of the LARS algorithm. In our approach we use differential geometry to generalize the equiangular condition on which is based the LARS algorithm and then we use a predictor-corrector method to compute the solution path of the coefficients.
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