Ridge Regression on Spiked covariance model N=20 synthetic
1.14Median Out-of-Sample MSEoptimization-based λmin
Evaluation results
| Method | Links | |
|---|---|---|
| optimization-based λminX-setting=fixed, aspect ratio (d/N)=0.9, noise (epsilon)=12026.05 | 1.14 | |
| model-based λfp (Alg. 2)X-setting=fixed, aspect ratio (d/N)=0.9, noise (epsilon)=12026.05 | 1.14 | |
| signal-to-noise λSNX-setting=fixed, aspect ratio (d/N)=0.9, noise (epsilon)=12026.05 | 1.16 | |
| sample-based λsfp (Alg. 3)X-setting=fixed, aspect ratio (d/N)=0.9, noise (epsilon)=12026.05 | 1.17 | |
| default λ0 = 1X-setting=fixed, aspect ratio (d/N)=0.9, noise (epsilon)=12026.05 | 1.34 |