Hi,
RandomizedLasso and lasso_stability path should return the same results if
used on the same data. This does not happen when the number of variables
is smaller than the number of samples
(at least this is the situation that I have tried).
Accoring to the theory the correct result should be the one returned by
lasso_stability_path i.e. all the score equal to 1 in case p<n
alphas, scores = lasso_stability_path(x, y, scaling=0.3)
r = RandomizedLasso(alpha=alphas, scaling=0.3).fit(x,y)
Let me know.
Thanks!
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