Hi,
I think that autoscaling of the penalty is not a good idea.
In my field we have variables with a larger variance and in some occasion
we are happy that they are less penalized because we think that they
contain more information.
I guess that the best would be to have an option autoscaling=True
On Wed, Apr 29, 2015 at 4:31 PM, Gael Varoquaux <
gael.varoqu...@normalesup.org> wrote:
> 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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