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Comment on Why does a least squares fit appear to have a bias when applied to simple data?parent

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L1 (abs linear difference) is useful as minimizing on it gives an approximation of minimizing on L0 (count, aka maximizing sparsity). The reason for the substitution is that L1 has a gradient and so minimization can be fast with conventional gradient descent methods while minimizing L0 is a combinatoric problem and solving that is "hard". It is also common to add an L1 term to an L2 term to bias the solution to be sparse.

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