>> I might suggest mean over training examples but sum over output dimensions, 
>> if there is more than one.
>
> Currently, Ridge is the only estimator in scikit-learn supporting
> multivariate regression (it does so in a way which is more efficient
> than solving `n_responses` problems). It would be nice if we could
> pass a 2d Y variable to fit in all regressors in scikit-learn. The
> predict method would then return a 2d array of shape [n_samples,
> n_responses]. This would be consistent with [n_samples, n_classes] for
> classifiers.

+1

A

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