On 4 Oct 2012 16:41, "Gael Varoquaux" <[email protected]> wrote:
>
> On Thu, Oct 04, 2012 at 06:39:00AM -0600, Alejandro Weinstein wrote:
> > Any reason for this behavior?
>
> It's probably because the lars algorithm is unstable with correlated
> regressors. This is a fundamental problem and is not really fixable. In
> such a situation, use the 'Lasso' object, that relies on a
> coordinate-descent solver, rather than the Lars to solve the lasso
> problem.
This problem does not occur with the r version of the lars lasso. We also
noticed this problem and one of my coworker spend quite a while comparing r
code with sklearn's. Any idea why it would work with the r implementation
and not the scikit's ?
Cheers,
N
>
> HTH,
>
> Gaël
>
>
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