KRLS (version 0.3-1)

solveforc: Solve for Choice Coefficients in KRLS

Description

Internal function that computes choice coefficients for KRLS given a fixed value for lambda (the parameter that governs the tradeoff between model fit and complexity in KRLS). This function is called internally by krls. It would normally not be called by the user directly.

Usage

solveforc(y = NULL, Eigenobject = NULL, lambda = NULL)

Arguments

y

n by 1 matrix of outcomes.

Eigenobject

Object from call to eigen that contains spectral decomposition of the n by n Kernel matrix.

lambda

Positive scalar value for lamnbda parameter.

Value

• coeffs
  n by 1 one matrix of choice coefficients for KRLS model.
• Le
  n by 1 matrix of errors from leave-one-out validation.

Details

Function relies on fast eigenvalue decomposition method described in method Rifkin and Lippert (2007).

References

Rifkin, Ryan M. and Lippert, Ross A. (2007). Notes on Regularized Least Squares. MIT-CSAIL-TR-2007-025. CBCL-268

See Also

krls