Simple one-pass algorithm for penalized linear regression with cross-validation on MapReduce

Kun Yang

In this paper, we propose a one-pass algorithm on MapReduce for penalized linear regression \[f_λ(α, β) = \|Y - α\mathbf{1} - Xβ\|_2^2 + p_λ(β)\] where $\alpha$ is the intercept which c…