Hi Ariel,

On Tue, Sep 25, 2012 at 05:44:21PM -0700, Ariel Rokem wrote:
> Initially, I suspected that this has to do with the non-negativity
> constraint I applied, so I removed that.

Indeed, if you are imposing positivity, you do not have a least square.

> Then, I was wondering whether it might have to do with the correlation
> among my regressors, so I tried linear_model.LinearRegression. This
> fits all the way, leaving no residuals.

With no regularization, the algorithm used by the ElasticNet object (a
coordinate descent) has a very hard time converging. Are you sure that
the residuals that you are seeing are not simply numerical errors?

HTH,

Gaël

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