Note that SGD is not very good at optimizing finely with a non-smooth penalty (e.g. l1 or elasticnet). The future SAGA solver is going to be much better at finding the optimal sparsity support (although this support is not guaranteed to be stable across re-sampling of the training set if the training set is small).
-- Olivier _______________________________________________ scikit-learn mailing list [email protected] https://mail.python.org/mailman/listinfo/scikit-learn
