Works by adding this term α∗∣coefficients2∣ in the cost function so we are penalizing the size of the coefficients
This will uniformly decrease the coefficients
The parameter α will control the shrinkage which makes the coefficients more robust to collinearity
The alpha term can be found by using cross-validation techniques
sklearn.linear_Regression.RidgeCV uses leave-one-out-cross-validation technique to find the alpha that minimizes the cross-validated mean squared error