Scala: Guide for Data Science Professionals

Numerical optimization

This section briefly introduces the different optimization algorithms that can be applied to minimize the loss function, with or without a penalty term. These algorithms are described in greater detail in the Summary of optimization techniques section in Appendix A, Basic Concepts.

First, let's define the least squares problem. The minimization of the loss function consists of nullifying the first order derivatives, which in turn generates a system of D equations (also known as gradient equations), D being the number of regression weights (parameters). The weights are iteratively computed by solving the system of equations using a numerical optimization algorithm.

Note

The definition of the least squares-based loss function ...