With L1-regularization, for a given value of the regularization parameter
alpha, you get a certain number of non-zero coefficients. Lars works by
automatically computing the decrease in alpha that you need to increment
the number of non-zero coefficient by 1. That's why lars_path returns the
alphas, one for each feature added.
Mathieu
On Tue, Aug 21, 2012 at 3:02 AM, Vlad Niculae <[email protected]> wrote:
> This is confusing to me too. I wanted to copy it for the OMP CV, but it
> seems overly complicated.
>
> Vlad
>
> On Aug 20, 2012, at 17:19 , Andreas Müller <[email protected]>
> wrote:
>
> > Hi Alex.
> > Thanks for the answer. So it estimates ``n_nonzero_coefs``.
> > As far as I can see, you can not get this from the fitted LarsCV
> > extimator.
> > As Lars is forward stepwise without any regularization as I understand,
> > I don't see what the alpha parameter that is returned does.
> >
> > So basically I'm a bit confused by the interface.
> > I could dig into the code but I thought someone might explain it...
> >
> > Cheers,
> > Andy
> >
> >
> > ----- Ursprüngliche Mail -----
> > Von: "Alexandre Gramfort" <[email protected]>
> > An: [email protected]
> > Gesendet: Montag, 20. August 2012 15:20:04
> > Betreff: Re: [Scikit-learn-general] What does LarsCV do?
> >
> > hi Andy,
> >
> > Lars is a forward feature selection technique. The parameter to
> cross-validate
> > is the number of used features (like in OrthogonalMatchingPursuit btw)
> > LarsCV should (in principle) estimate it.
> >
> > Alex
> >
> > On Sat, Aug 18, 2012 at 9:27 PM, Andreas Mueller
> > <[email protected]> wrote:
> >> Hi everybody.
> >> I was just trying to understand LarsCV. I am not so familiar with
> >> the linear models so this might be a stupid question.
> >> What parameter of Lars does LarsCV actually cross-validate?
> >> It seems to me like the only important parameter of Lars is
> n_nonzero_coefs,
> >> but I don't see how this can be obtained from LarsCV.
> >> What am I missing?
> >>
> >> Best,
> >> Andy
> >>
> >>
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> ------------------
> Vlad N.
> http://vene.ro
>
>
>
>
>
>
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