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I am trying out this method as a regularized regression, as an alternative to lasso and elastic net. I have 40k data points and 40 features. Lasso selects 5 features, and orthogonal matching pursuit selects only 1.

What could be causing this? Am I using omp the wrong way? Perhaps it is not meant to be used as a regression. Please let me know if you can thing of anything else I may be doing wrong.

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  • $\begingroup$ Hi, using lasso and elastic net for regression is widely accepted. How do you use the OMP, what's the dictionary for maching ? $\endgroup$
    – Yu Zhang
    Apr 7, 2016 at 3:34
  • $\begingroup$ I use the original features(columns). Is this wrong? What should the dictionary be? $\endgroup$
    – The Baron
    Apr 7, 2016 at 13:15

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