On Wed, Mar 21, 2012 at 06:42:36PM +0100, Alexandre Gramfort wrote: > > In short, I think it could be interesting to implement the scout method too: > > "We show that ridge regression, the lasso, and the elastic net are > > special cases of covariance-regularized regression" > > http://www-stat.stanford.edu/~tibs/ftp/WittenTibshirani2008.pdf
> being more general is neat but the price you might have to pay is less > efficiency for the simpler problems. That's my gut feeling too. I'd prefer a really fast solver for l1 and l2 penalized regression with the standard losses (square, hinge and logistic), in the case n >> p. They are different papers mentioning techniques for that. My 2 cents, Gael ------------------------------------------------------------------------------ This SF email is sponsosred by: Try Windows Azure free for 90 days Click Here http://p.sf.net/sfu/sfd2d-msazure _______________________________________________ Scikit-learn-general mailing list [email protected] https://lists.sourceforge.net/lists/listinfo/scikit-learn-general
