What is the difference between Ridge and Lasso Regression?

What is the difference between Ridge and Lasso Regression?

Approach: Compare L2 vs L1 penalty in the context of linear regression.

Ridge (L2) adds a squared penalty to coefficients; it keeps all variables but shrinks them. Lasso (L1) adds an absolute penalty; it can shrink some coefficients to exactly zero, thus performing feature selection.

Follow-up: What is Elastic Net?

Key concepts: sparsity, coefficients, overfitting.