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Restricting a weight vector (optimization parameter) to be in a certain domain using python ML library linear regression model

Data Science Asked by darthbungholio on December 9, 2020

Sorry if the title is a bit long, but basically I’m trying to predict values $$ hat{y}_i in [-1,1]$$ using a simple model i.e. something like OLS or ridge regression, I’d like to know if anyone knows of a library that has models with features that all you restrict your weight vector to be in a certain domain.

One Answer

There are many, I'd recommend you the following: cvxpy (in turn interfaces some other solver like scs or cvxopt), cvxopt, casadi, even tensorflow (some optimizes have options for bounds).

Answered by anymous.asker on December 9, 2020

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