Avoid This Pitfall When Using LASSO and Ridge Regression

Your regulation penalties might target the wrong variables

Wouter van Heeswijk, PhD
Towards Data Science
5 min readJul 7, 2022

--

Photo by Markus Spiske on Unsplash

In linear regression, LASSO and Ridge regularization are commonly applied to combat overfitting and generate more robust models. However, when applied on incorrectly scaled variables, the results can be disastrous.

A basic linear model

--

--

Assistant professor in Financial Engineering and Operations Research. Writing about reinforcement learning, optimization problems, and data science.