Thanks, Alex. That is helpful. Looks like the glmnet documentation says that this is how they do it as well. What they don't explain is how to find alpha_max in the first place. The only thing I've thought of is doing something like a binary search until you find the smallest alpha yielding the coef_ of zeros, with some limit on how many steps you do it in. But is there a better way?
Also, how do you choose the smallest alpha value (or in other words, how do you choose eps)? I came across an unofficial third-party description of glmnet that said that if nobs < nvars, a higher value is chosen (0.01, I think), whereas if nobs > nvars, a smaller value is chosen (say, 0.0001). The basic idea makes sense, but it seems a bit ad hoc to me, and it seems like it would be sensible to have more than two possible values, based on the ratio of nobs to nvars. Any thoughts? > hi James, > > for a given value of l1_ratio, the grid of alphas is chosen in log scale > starting from alpha_max to alpha_max / 10**eps. Any value of alpha > larger than alpha_max will lead to a coef_ full of zeros. > > HTH > Alex ------------------------------------------------------------------------------ October Webinars: Code for Performance Free Intel webinars can help you accelerate application performance. Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from the latest Intel processors and coprocessors. See abstracts and register > http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk _______________________________________________ Scikit-learn-general mailing list Scikit-learn-general@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/scikit-learn-general
