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.. re-use for math equations:
.. |x_vector| replace:: :math:`(x_1, \ldots, x_p)`
.. |j_1_k| replace:: :math:`j = 1, \ldots, k`

.. _elastic_net:

Elastic Net
===========

Elastic Net is a method for modeling relationship between a dependent variable (which may be a vector)
and one or more explanatory variables by fitting regularized least squares model.
Elastic Net regression model has the special penalty, a sum of L1 and L2 regularizations,
that takes advantage of both :ref:`ridge` and :ref:`LASSO <lasso>` algorithms.
This penalty is particularly useful in a situation with many correlated predictor variables [Friedman2010]_.

Details
*******

Let |x_vector| be a vector of input variables and :math:`y = (y_1, \ldots, y_k)` be the response.
For each |j_1_k|, the Elastic Net model has the form similar to linear and ridge regression models [Hoerl70]_
with one exception: the coefficients are estimated by minimizing mean squared error (MSE) objective function that is
regularized by :math:`L_1` and :math:`L_2` penalties.

.. math::

    y_j = \beta_{0j} + x_1 \beta_{1j} + \ldots + x_p \beta_{pj}

Here :math:`x_i`, :math:`i = 1, \ldots, p`, are referred to as independent variables,
:math:`y_j`, |j_1_k|, is referred to as dependent variable or response.

Training Stage
--------------

Let :math:`(x_{11}, \ldots, x_{1p}, y_{11}, \ldots, y_{1k}) \ldots (x_{n1}, \ldots, x_{np}, y_{n1}, \ldots, y_{nk})` be a set of
training data (for regression task, :math:`n >> p`, and for feature selection :math:`p` could be greater than :math:`n`).
The matrix :math:`X` of size :math:`n \times p` contains observations :math:`x_{ij}`, :math:`i = 1, \ldots, n`,
:math:`j = 1, \ldots, p` of independent variables.

For each :math:`y_j`, :math:`j = 1, \ldots, k`, the Elastic Net regression estimates :math:`(\beta_{0j}, \beta_{1j}, \ldots, \beta_{pj})`
by minimizing the objective function:

.. math::

    F_j(\beta) = \frac{1}{2n} \sum_{i=1}^{n}(y_{ij} - \beta_{0j} - \sum_{q=1}^{p}{\beta_{qj}x_{iq})^2} +
    \lambda_{1j} \sum_{q=1}^{p}|\beta_{qj}| + \lambda_{2j} \frac{1}{2}\sum_{q=1}^{p}\beta_{qj}^{2}

In the equation above, the first term is a mean squared error function, the second and the third
are regularization terms that penalize the :math:`L_1` and :math:`L_2` norms of vector :math:`\beta_j`,
where :math:`\lambda_{1j} \geq 0`, :math:`\lambda_{2j} \geq 0`, |j_1_k|.

For more details, see [Hastie2009]_ and [Friedman2010]_.

By default, :ref:`Coordinate Descent <cda_solver>` iterative solver is used to minimize the objective
function. :ref:`SAGA <saga_solver>` solver is also applicable for minimization.

Prediction Stage
----------------

Prediction based on Elastic Net regression is done for input vector |x_vector| using the equation
:math:`y_j = \beta_{0j} + x_1 \beta_{1j} + \ldots + x_p \beta_{pj}` for each |j_1_k|.