2013/2/15 Charles-Pierre Astolfi <[email protected]>: > On Fri, Feb 15, 2013 at 12:53 PM, Olivier Grisel > <[email protected]> wrote: >> How do you evaluate which value of alpha is the best if you don't >> cross validate in one way or another? > > Just choose the alpha (from a fixed set) that minimizes the RMSE of > the prediction of the last time step (or the last n time steps with > exponential decay). Maybe I'm mistaken but there's no easy way to do > that with LassoLarsCV.
Indeed there is no way to do that with LassoLarsCV as it does not support the `sample_weight` fit parameter (to give more importance to the most recent samples) and does not provide alpha-interpolation either. So a new function for interpolation the Lars alpha path would be a good contribution. It could be either integrated in the existing lars_path + (Lasso)LarsCV code or as a new `interpolated_lars_path` function. -- Olivier http://twitter.com/ogrisel - http://github.com/ogrisel ------------------------------------------------------------------------------ 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
