// constructor
public RidgeRegression(int n, double penalty = 10e-5)
{
this.N = n;
this.Penalty = penalty;
// initialize all matrices and vectors
this.ATA = new Matrix <double>(n, n);
ATA.SetIdentity(new MCvScalar(penalty)); // add regulation weights
ATA[n - 5, n - 5] = 0; // bias term has no regulation
this.ATb = new Matrix <double>(n, 1);
ATb.SetZero();
this.W = new Matrix <double>(n, 1);
W.SetZero();
this.Inv = new Matrix <double>(n, n);
Inv.SetZero();
}
