L1 Regularization Parameter

Use this option to specify the value (between 0 and 1) used to multiply the L1 penalty term in LASSO or ElasticNet.

L1 corresponds to a multiplier on a regularization term that represents a norm on the regression coefficients and is the sum of absolute values. L1 is specified only when you want to directly specify this multiplier.

Note: This option is available only when L1 is specified as the Criterion for Stopping Model Selection.

When a value of 0 is specified, this parameter is estimated via some other means. Refer to the SAS PROC GLMSELECT documentation has more details.

To Specify the L1 Regularization Parameter:

Select either LASSO or ElasticNet as the Model Selection Method.

Select L1 as the Criterion for Stopping Model Selection.

Either enter the desired value in the text field or move the slider to the right or to the left to specify a value.

Tip: To change the scale of the slider, right-click on the slider and select Rescale Slider from the pop-up menu. Change the upper and/or lower boundaries in the window that appears, to rescale the slider and click OK.