Background: I am trying to apply ridge regression in on-line mode. In batch learning we use cross-validation to calculate regularisation parameter.

Is there a way to calculate regularisation parameter for ridge regression iteratively?

  • $\begingroup$ Can you describe better what you want? I doubt that you can choose regularization that way, an online algorithm would have to use a prechoose reg parameter $\endgroup$ – kjetil b halvorsen Sep 5 '17 at 15:07

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