Hello,
I have interest in weight my samples for linear learners such as
LassoLarsCV and friends.
I found an example for SVM based on per-sample C (
http://scikit-learn.org/stable/auto_examples/svm/plot_weighted_samples.html),
but this isn't the kind of learner I want to use. And sample_weight doesn't
seem to work on LassoLarsCV or other related linear methods I've tested it
on.
I tried pre-weighting based on weighted LS math (
http://en.wikipedia.org/wiki/Least_squares#Weighted_least_squares), and it
sort of worked in simple tests (where I either scaled or repeated samples),
but it doesn't seem to be working in my actual use case.
Is there any support in sklearn that I've missed? Or should my
pre-weighting work after all (and therefore I'm likely just doing it wrong)?
Thanks,
Tom Palmer
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