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redmod-team / profit

Probabilistic Response mOdel Fitting with Interactive Tools
https://profit.readthedocs.io
MIT License
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Hyperparameter optimization for Linear Regression #166

Open Rykath opened 2 years ago

Rykath commented 2 years ago

Optimization of noise (sigma_n, sigma_p) and of the number of basis functions (order). Similar to optimize for Gaussian Processes.

Good Summary: http://krasserm.github.io/2019/02/23/bayesian-linear-regression/

krystophny commented 2 years ago

One could, instead of optimizing, even integrate out hyperparameters (scale and noise). See https://towardsdatascience.com/how-to-build-a-bayesian-ridge-regression-model-with-full-hyperparameter-integration-f4ac2bdaf329?gi=d6517e1d62bf and/or ask Sascha Ranftl. The posterior will not be Gaussian then though.