Thanks for the suggestion of how to change RFE.py to exploit warm_start.
Should I add this feature to rfe.py and make a pull request? Or is this
functionality too specialized?
As we said in the issue you opened recently, SGDRegressor doesn't monitor
> convergence therefore warm_start won't make things faster out of the box.
> But you can still try to reduce the number of iterations by hand (since the
> solution is warm-started, you can expect SGD to find a solution in a fewer
> iterations).
>
Do you know of other fast estimators I can use that do check for
convergence? Or is SGDRegressor in general the fastest? I know speed will
depend on many factors, what other estimators would you suggest as quite
quick?
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