# Machine Learning: Lasso Regression¶

Lasso regression is, like ridge regression, a **shrinkage** method. It
differs from ridge regression in its choice of penalty: lasso imposes an
\(\ell_1\) **penalty** on the paramters \(\beta\). That is,
lasso finds an assignment to \(\beta\) that minimizes the function

where \(\lambda\) is a hyperparameter and, as usual, \(X\) is
the training data and \(Y\) the observations. The \(\ell_1\)
penalty encourages **sparsity** in the learned parameters, and, as we
will see, can drive many coefficients to zero. In this sense, lasso is a
continuous **feature selection** method.

In this notebook, we show how to fit a lasso model using CVXPY, how to evaluate the model, and how to tune the hyperparameter \(\lambda\).

## Writing the objective function¶

We can decompose the **objective function** as the sum of a **least
squares loss function** and an \(\ell_1\) **regularizer**.

## Generating data¶

We generate training examples and observations that are linearly
related; we make the relationship *sparse*, and we’ll see how lasso will
approximately recover it.

## Fitting the model¶

All we need to do to fit the model is create a CVXPY problem where the objective is to minimize the the objective function defined above. We make \(\lambda\) a CVXPY parameter, so that we can use a single CVXPY problem to obtain estimates for many values of \(\lambda\).

## Evaluating the model¶

Just as we saw for ridge regression, regularization improves generalizability.

## Regularization path and feature selection¶

As \(\lambda\) increases, the parameters are driven to \(0\). By
\(\lambda \approx 10\), approximately 80 percent of the coefficients
are *exactly* zero. This parallels the fact that \(\beta^*\) was
generated such that 80 percent of its entries were zero. The features
corresponding to the slowest decaying coefficients can be interpreted as
the most important ones.

**Qualitatively, lasso differs from ridge in that the former often
drives parameters to exactly zero, whereas the latter shrinks parameters
but does not usually zero them out. That is, lasso results in sparse
models; ridge (usually) does not.**