Lp-norm

In mathematics, the L^p spaces are function spaces defined using a natural generalization of the p-norm for finite-dimensional vector spaces. They are sometimes called Lebesgue spaces, named after Henri Lebesgue (Dunford & Schwartz 1958, III.3), although according to the Bourbaki group (Bourbaki 1987) they were first introduced by Frigyes Riesz (Riesz 1910). L^p spaces form an important class of Banach spaces in functional analysis, and of topological vector spaces. Because of their key role in the mathematical analysis of measure and probability spaces, Lebesgue spaces are used also in the theoretical discussion of problems in physics, statistics, finance, engineering, and other disciplines.

In statistics, measures of central tendency and statistical dispersion, such as the mean, median, and standard deviation, are defined in terms of L^p metrics, and measures of central tendency can be characterized as solutions to variational problems.

In penalized regression, 'L1 penalty' and 'L2 penalty' refer to penalizing either the L¹ norm of a solution's vector of parameter values (i.e. the sum of its absolute values), or its L² norm (its Euclidean length). Techniques which use an L1 penalty, like LASSO, encourage solutions where many parameters are zero. Techniques which use an L2 penalty, like ridge regression, encourage solutions where most parameter values are small. Elastic net regularization uses a penalty term that is a combination of the L¹ norm and the L² norm of the parameter vector.

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