Specifying the lambda path

[cruyffturn]

Thank you for making this library! Is it possible to specify the lambda path for the model to search?

[idc9]

Yup, see https://github.com/yaglm/yaglm/blob/main/docs/2_tuning.ipynb You can do this at 3 levels

from yaglm.config.penalty import Lasso
from yaglm.GlmTuned import GlmCV

# default penalty sequence created automatically from X/Y
penalty = Lasso()

# specify details of how the automatically inferred sequence is created
penalty=Lasso().tune(n_pen_vals=100,
                     pen_min_mult=1e-3,
                     pen_max_mult=1,
                     pen_spacing='log')

# manually specify the tuning parameter sequence
penalty=Lasso().tune(pen_val_seq=[.1, 1, 10, 100])

est = GlmCV(penalty=penalty).fit(X, y)

See the documentation of Lasso().tune()