Renet: Principled and Efficient Relaxation for the Elastic Net via Dynamic Objective Selection
Renet:通过动态目标选择为弹性网提供有原则且高效的松弛方法
We introduce Renet, a principled generalization of the Relaxed Lasso to the Elastic Net family of estimators. While, on the one hand, $\ell_1$-regularization is a standard tool for variable selection in high-dimensional regimes and, on the other hand, the $\ell_2$ penalty provides stability and solution uniqueness through strict convexity, the standard Elastic Net nevertheless suffers from shrinkage bias that frequently yields suboptimal prediction accuracy. We propose to…