Simulate ridge regression

function simulate_ridge_regression(N:Real[_,_], Λ:LLT, α:Real, γ:Real[_], u:Real[_]) -> Real[_]

Simulate ridge regression.

  • N: Prior precision times mean for weights, where each column represents the mean of the weight for a separate output.
  • Λ: Common prior precision.
  • α: Common prior weight and likelihood covariance shape.
  • β: Prior covariance scale accumulators.
  • u: Input.