We cannot use lambda as parameter name because it is a reserved
keyword of the python language (for defining anonymous functions).
This is why used "alpha" instead of "lambda" for the ElasticNet /
Lasso model initially and then this notation was reused in more
recently implemented estimators such as SGDClassifier, Ridge and so on
to maintain some consistency. In retrospect I would have prefered it
named something explicit like "regularization" or "l2_reg" instead of
"alpha".

Still I like the (alpha, l1_ratio) parameterization better over the
(l2_reg, l1_reg) parameter set as when grid searching it is very
likely that keeping l1_ratio around 0.15 will make it possible to
reach good results when tuning "alpha" and thus make it possible to
grid search only one hyperparams instead of two and make it easier to
implement regularization paths with warm restarts.

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