Chapter 6. Regression and Regularization

In the first chapter, we briefly introduced the binary logistic regression (the binomial logistic regression for a single variable) as our first test case. The purpose was to illustrate the concept of discriminative classification. There are many more regression models, starting with the ubiquitous ordinary least square linear regression and the logistic regression [6:1].

The purpose of regression is to minimize a loss function, with the residual sum of squares (RSS) being one that is commonly used. The problem of overfitting described in the Overfitting section under Assessing a model in Chapter 2, Hello World!, can be addressed by adding a penalty term to the loss function. The penalty term is an element ...

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