Asymptotically Free Sketched Ridge Ensembles: Risks, Cross-validation, and Tuning

This repository contains the code for the experiments in the paper "Asymptotically Free Sketched Ridge Ensembles: Risks, Cross-validation, and Tuning". All experiments are run in Python using standard scientific computing packages.

The figures in the paper can be generated as follows (run in order):

• Figure 1: Run GCV synthetic.ipynb
• Figure 2: Run RCV1.ipynb and RNA-Seq.ipynb, and then generate the figure with Real Data Figure.ipynb
• Figure 3: Run Prediction Intervals.ipynb
• Figure 4: Run Ensemble trick.ipynb
• Figure A.1: Run Free sketching investigation.ipynb
• Figure H.1: Run Ensembles.ipynb