Concept
Smoothing splines avoid overfitting
If we simply fit a smooth curve to a set of data by minimizing RSS = without putting any constraints, there is a problem that we can always make RSS zero simply by choosing such that it interpolates all of the , leading to the overfitting of the data. What we want is a function that makes RSS small, but that is also smooth. Instead, we can change the optimization formulation from RSS to the function below: , where λ is a nonnegative tuning parameter. The function that minimizes the formulation above is known as a smoothing spline.
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Updated 2020-02-24
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Data Science