Maximum and minimum penalty in lasso regression family

Asked Apr 28 '15 at 11:06

Active Apr 28 '15 at 11:06

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I am trying to adjust penalty, lambda, in group lasso regression, but I have no idea about it. I am wondering is there any theory or rule about maximum and minimum value of lambda based on x, input, and y, response? I need an automatic procedure to determine the minimum and maximum value of penalty b/c I have more than 10 thousands of response variables which regress on more than 500 independent variables. I appreciate if anyone can help me, I am new in regression field.

Thanks.

asked Apr 28 '15 at 11:06

user4704857

This sounds like a question that would be better suited to http://math.stackexchange.com/. – Evan Knowles Apr 28 '15 at 11:08
Thank you. I was not familiar with [math.stackexchange.com](http://math.stackexchange.com), I have just signed up! – user4704857 Apr 28 '15 at 11:22

Maximum and minimum penalty in lasso regression family

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