Question 113 MCQ · 3.0 marks
Published solution
The constrained version of **Ridge Regression** solves:
\[ \min_{w \in \mathbb{R}^d} \sum_{i=1}^n (w^T x_i - y_i)^2 \quad \text{subject to } \|w\|^2 \le \theta \]
Equivalently, among all candidate weight vectors \( w \) that satisfy the feasibility constraint \( \|w\|^2 \le \theta \) (with \( \theta = 10 \)), ridge regression selects the one that **minimizes the Mean Squared Error (MSE)**.
**1. Check the Squared Norm \( \|w\|^2 \) and MSE for Each Candidate:**
- **\( w_1 = [1, 1, 1, 1]^T \)**: \( \|w_1\|^2 = 1^2 + 1^2 + 1^2 + 1^2 = 4 \le 10 \) (Feasible), \( \text{MSE} = 2 \).
- **\( w_2 = [0, 2, 1, 3]^T \)**: \( \|w_2\|^2 = 0^2 + 2^2 + 1^2 + 3^2 = 14 > 10 \) (**Infeasible**, violates \( \|w\|^2 \le 10 \)).
- **\( w_3 = [1, 2, 0, 1]^T \)**: \( \|w_3\|^2 = 1^2 + 2^2 + 0^2 + 1^2 = 6 \le 10 \) (Feasible), \( \text{MSE} = 1 \).
- **\( w_4 = [2, 1, 1, 2]^T \)**: \( \|w_4\|^2 = 2^2 + 1^2 + 1^2 + 2^2 = 10 \le 10 \) (Feasible), \( \text{MSE} = 8 \).
**2. Select the Optimal Feasible Vector:**
Among the feasible vectors \( \{w_1, w_3, w_4\} \), \( w_3 \) achieves the lowest MSE (\( \text{MSE} = 1 \)).
**Answer: w3.**
A: **Incorrect:** Although `w1` is feasible (`||w1||^2 = 4 <= 10`), its `MSE = 2` is higher than `w3`'s `MSE = 1`.
B: **Incorrect:** `w2` has `||w2||^2 = 0 + 4 + 1 + 9 = 14 > 10`, violating the constraint `||w||^2 <= 10`.
C: **Correct:** `w3` satisfies the norm constraint (`||w3||^2 = 1 + 4 + 0 + 1 = 6 <= 10`) and achieves the minimum MSE (`1`).
D: **Incorrect:** Although `w4` is feasible (`||w4||^2 = 10 <= 10`), it has a much higher `MSE = 8`.