Evaluation and Optimization of Leave-one-out Cross-validation for the Lasso
arXiv:2508.14368v1 Announce Type: new
Abstract: I develop an algorithm to produce the piecewise quadratic that computes leave-one-out cross-validation for the lasso as a function of its hyperparameter. The algorithm can be used to find exact hyperparameters that optimize leave-one-out cross-validation either globally or locally, and its practicality is demonstrated on real-world data sets.
Abstract: I develop an algorithm to produce the piecewise quadratic that computes leave-one-out cross-validation for the lasso as a function of its hyperparameter. The algorithm can be used to find exact hyperparameters that optimize leave-one-out cross-validation either globally or locally, and its practicality is demonstrated on real-world data sets.
Ryan Burn
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