L2 regularization in SAS E-Miner

[husseinmazaar]

Dear Mr,Mrs:

I want to apply l2 regularization for logistic regression but I found  only L1 regularization (LASSO). Can I get any technique or work around about this issue?.

[Funda_SAS · Accepted solution]

Hello,

As far as I know there is no proc that supports L2 regularization for logistic regression. PROC REG supports L2 regularization for linear regression (called RIDGE regression). One way to get around this is to treat your target as interval variable and use PROC REG; this regularizes the least squares loss function instead of the logistic loss function.  Below is the documentation of PROC REG that provides more information about the RIDGE option.

http://support.sas.com/documentation/cdl/en/statug/68162/HTML/default/viewer.htm#statug_reg_syntax08...

Hope this helps!

Funda