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ludwigbothmann committed Jan 24, 2024
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\end{vbframe}

\begin{vbframe}{$L1$ and $L2$ Reg. with Orthonormal Design}
For the special case of orthonormal design $\Xmat^{\top}\Xmat=\id$ we can derive closed-form a solution in terms of $\thetah_{\text{OLS}}=(\Xmat^{\top}\Xmat)^{-1}\Xmat^{\top}\yv=\Xmat^{\top}\yv$:
For special case of orthonormal design $\Xmat^{\top}\Xmat=\id$ we can derive closed-form a solution in terms of $\thetah_{\text{OLS}}=(\Xmat^{\top}\Xmat)^{-1}\Xmat^{\top}\yv=\Xmat^{\top}\yv$:
$$\thetah_{\text{Lasso}}=\text{sign}(\thetah_{\text{OLS}})(\vert \thetah_{\text{OLS}} \vert - \lambda)_{+}\quad(\text{sparsity})$$

Function $S(\theta,\lambda):=\text{sign}(\theta)(|\theta|-\lambda)_{+}$ is called \textbf{soft thresholding} operator: For $|\theta|<\lambda$ it returns $0$, whereas params $|\theta|>\lambda$ are shrunken toward $0$ by $\lambda$.\\
\vspace{0.2cm}
Comparing this to $\thetah_{\text{Ridge}}$ under orthonormal design we see qualitatively different behavior as $\lambda \uparrow$:
Comparing this to $\thetah_{\text{Ridge}}$ under orthonormal design: %we see qualitatively different behavior as $\lambda \uparrow$:
$$\thetah_{\text{Ridge}}= ({\Xmat}^T \Xmat + \lambda \id)^{-1} \Xmat^T\yv=((1+\lambda)\id)^{-1}\thetah_{\text{OLS}} = \frac{\thetah_{\text{OLS}}}{1+\lambda}$$

While soft threshold ensures exact zeros in solution, $L2$ penalty uniformly downscales parameters (no sparsity).
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