On Fri, Feb 15, 2013 at 11:30 AM, Gael Varoquaux <[email protected]> wrote: > On Fri, Feb 15, 2013 at 11:22:02AM +0100, Charles-Pierre Astolfi wrote: >> > However, before we do this, I'd like to understand: what is the usecase >> > and the purpose for this function? >> Which? lars_path or lasso_path or my proposition? >> What I propose in an faster and almost (in the sense that it's not >> computed via sgd and coefs may vary) drop-in replacement for >> lasso_path. > > Small remark: lasso_path does a coordinnate descent (CD), and not an SGD. > > I understand that, but the whole point of lasso_path is to use a CD, and > not a LARS, as the CD might be more stable, or even quicker in some > situation. SO why do you want such a function? It is quicker if one tries to do lasso one a small number of alphas. But for a high number of alphas, I don't think it can ever be faster. As for stability (but we're not talking about the same type of stability) I've found lars_path to be more accurate for small alphas (and that was the one I was interested in) than lasso_path.
> I understand that. If you want to do parameter selection using Lars, why > is LassoLarsCV not well-suited for what you want to do? I still don't > understand what usecase you are trying to solve. My setting was online learning with expert advice. At each time step, you receive predictions from experts (models) for the next time step. The goal is to find a linear combination of the predictions that beats the best expert. To find the linear combination I tried lasso and had to do parameter selection at each step. CV is not used at all in this setting, mostly because it (experimentally) does not achieve any significant gain. Also, we now that the last time step is the one we want to optimize on (since the undelrying distribution may vary wrt time). Cheers -- Charles-Pierre ------------------------------------------------------------------------------ Free Next-Gen Firewall Hardware Offer Buy your Sophos next-gen firewall before the end March 2013 and get the hardware for free! Learn more. http://p.sf.net/sfu/sophos-d2d-feb _______________________________________________ Scikit-learn-general mailing list [email protected] https://lists.sourceforge.net/lists/listinfo/scikit-learn-general
