L1 Regularization Parameter

Use this option to specify the value (between 0 and 1) used to multiply the L1 penalty term in LASSO or ElasticNet.

L1 corresponds to a multiplier on a regularization term that represents a norm on the regression coefficients and is the sum of absolute values. L1 is specified only when you want to directly specify this multiplier.

Note: This option is available only when L1 is specified as the Criterion for Stopping Model Selection.

When a value of 0 is specified, this parameter is estimated via some other means. Refer to the SAS PROC GLMSELECT documentation has more details.

To Specify the L1 Regularization Parameter:

8

Select either LASSO or ElasticNet as the Model Selection Method.

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Select L1 as the Criterion for Stopping Model Selection.

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Either enter the desired value in the text field or move the slider to the right or to the left to specify a value.

Tip: To change the scale of the slider, right-click on the slider and select Rescale Slider from the pop-up menu. Change the upper and/or lower boundaries in the window that appears, to rescale the slider and click OK.