title: Ordinary Least Squares Regression in Vowpal Wabbit
body: <p>Has anyone managed to run an ordinary least squares regression in Vowpal Wabbit? I'm trying to confirm that it will return the same answer as the exact solution, i.e. when choosing a to minimize <code>||y - X a||_2 + ||Ra||_2</code> (where R is the regularization) I want to get the analytic answer
  <code>a = (X^T X + R^T R)^(-1) X^T y</code>. Doing this type of regression takes about 5 lines in numpy python. </p>
  
  <p>The documentation of VW suggests that it can do this (presumably the "squared" loss function) but so far I've been unable to get it to come even close to matching the python results. Becuase squared is the default loss function, I'm simply calling:</p>
  
  <pre><code>$ vw-varinfo input.txt
  </code></pre>
  
  <p>where input.txt has lines like</p>
  
  <pre><code>1.4 | 0:3.4 1:-1.2 2:4.0  .... etc
  </code></pre>
  
  <p>Do I need some other parameters in the VW call? I'm unable to grok the (rather minimal) documentation.</p>