The elastic net method bridges the LASSO method and ridge regression. It balances having a parsimonious model with borrowing strength from correlated regressors, by solving the least squares regression problem with constraints on both the sum of the absolute coefficients and the sum of the squared coefficients. More specifically, the elastic net coefficients are the solution to the constrained optimization problem
The method can be written as the equivalent Lagrangian form
If is set to a very large value or, equivalently, if is set to 0, then the elastic net method reduces to ridge regression. If is set to a very large value or, equivalently, if is set to 0, then the elastic net method reduces to LASSO. If and are both large or, equivalently, if and are both set to 0, then the elastic net method reduces to ordinary least squares regression.
As stated by Zou and Hastie (2005), the elastic net method can overcome the limitations of LASSO in the following three scenarios:
In the case where you have more parameters than observations, , the LASSO method selects at most variables before it saturates, because of the nature of the convex optimization problem. This can be a defect for a variable selection method. By contrast, the elastic net method can select more than variables in this case because of the ridge regression regularization.
If there is a group of variables that have high pairwise correlations, then whereas LASSO tends to select only one variable from that group, the elastic net method can select more than one variable.
In the case, if there are high correlations between predictors, it has been empirically observed that the prediction performance of LASSO is dominated by ridge regression. In this case, the elastic net method can achieve better prediction performance by using ridge regression regularization.
An elastic net fit is achieved by building on LASSO estimation, in the following sense. Let be a matrix obtained by augmenting with a scaled identity matrix,
Let be a vector correspondingly obtained by augmenting the response with 0’s,
Then the Lagrangian form of the elastic net optimization problem can be reformulated as
In other words, you can solve the elastic net method in the same way as LASSO by using this augmented design matrix and response . Therefore, for given , the coefficients of the elastic net fit follow the same piecewise linear path as LASSO. Zou and Hastie (2005) suggest rescaling the coefficients by to deal with the double amount of shrinkage in the elastic net fit, and such rescaling is applied when you specify the ENSCALE option in the MODEL statement.
If you have a good estimate of , you can specify the value in the L2= option. If you do not specify a value for , then by default PROC GLMSELECT searches for a value between 0 and 1 that is optimal according to the current CHOOSE= criterion. Figure 47.12 illustrates the estimation of the ridge regression parameter (L2). Meanwhile, if you do not specify the CHOOSE= option, then the model at the final step in the selection process is selected for each (L2), and the criterion value shown in Figure 47.12 is the one at the final step that corresponds to the specified STOP= option (STOP=SBC by default).
Note that when you specify the L2SEARCH=GOLDEN, it is assumed that the criterion curve that corresponds to the CHOOSE= option with respect to is a smooth and bowl-shaped curve. However, this assumption is not checked and validated. Hence, the default value for the L2SEARCH= option is set to GRID.