LO 4.2.2.K

Learning Objective: Describe how to select the tuning parameter.

Review:

• Tuning parameter λ

We use a cross-validation procedure:

1. We choose a grid of λ values
2. We compute the cross-validation error for each value of λ (blue curve).
3. We then select the tuning parameter λ* value for which the cross-validation error is the smallest.

Source: Assigned reading