Linear regression closed form solution + penalize the error each sample
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Explanation:
You will get the ridge regression solutions, but parametrised differently in terms of the penalty parameter λ. This holds more generally for convex loss functions.
If L is a convex, differentiable function of β let β(λ) denote the unique minimiser of the strictly convex function
h(β)=L(β)+λ∥β∥22
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