Skip to content

HTTPS clone URL

Subversion checkout URL

You can clone with
or
.
Download ZIP

Loading…

Problem with ridgeCV: centering the design matrix messes the solution when n < p #1807

Open
bthirion opened this Issue · 3 comments

4 participants

@bthirion
Owner

Centering the design matrix cancels one of its singular values when n < p. This creates a numeric mess in the RidgeCV computation.
An example of the bad behaviour is given in:
https://gist.github.com/bthirion/5233416

I'm still not fully sure about the right solution. Comments welcome !
Best.

@mblondel
Owner

Thanks for the report! Any idea how to fix this?

@agramfort
Owner

i looked into it:

https://gist.github.com/agramfort/6078557

you'll see that if X is rank deficient even your code @bthirion fails to find the good alpha.

I think both implementations match. So the questions is how to fix these 10 lines of code
to it works with a rank deficient X....

@bthirion
Owner
@amueller amueller added this to the 0.15.1 milestone
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Something went wrong with that request. Please try again.