On Wed, Mar 21, 2012 at 07:06:13PM +0000, Conrad Lee wrote:
>    Unsurprisingly, the above code doesn't work because it's not possible to
>    initialize a RFECV object without an estimator.  But I can't pass it an
>    estimator yet because I want to vary the value of C that is used in
>    initializing the estimator.  Can someone show me how this is done?

If I understand your problem correctly, as with every composed estimator,
you can set the C parameter of the 'estimator' attribute of the RFE using
the estimator__C syntax in the grid search.

Does that make sens, and does that work? If so, I guess that the
docstring of gridsearchCV could be improved.

HTH,

Gael

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