Approximate Leave-One-Out for Fast Parameter Tuning in High Dimensions

Shuaiwen Wang, Wenda Zhou, Haihao Lu +2

Consider the following class of learning schemes: $$\hat{\boldsymbolβ} := \arg\min_{\boldsymbolβ}\;\sum_{j=1}^n \ell(\boldsymbol{x}_j^\top\boldsymbolβ; y_j) + λR(\boldsymbolβ),\qqu…