On Wed, Apr 29, 2015 at 11:28:29AM -0400, josef.p...@gmail.com wrote:
> related question: Does scikit-learn do any autoscaling of the
> penalities?

> I'm just looking into the scaling of penalties for statsmodels. Without
> scaling the data or scaling the penalties, the penalized estimator
> might not make much sense if the user doesn't use the appropriate
> scaling for the data.

In linear models, the "normalize" option does something very similar.

Whether it should be turned on by default or not has been a painful
interrogation for a long while.

G

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