[MRG] ENH: Add scaling to convergence warning for LBFGS #15571
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CC @amueller Maybe there is something more you would want to add to the warning message? |
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I'd kinda prefer #15583. |
Although the solution of this PR is nice for solvers that do not have preconditioning enabled (yet). |
ogrisel
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Reference Issues/PRs
Partially addresses #15556
What does this implement/fix? Explain your changes.
Adds "scale the data" to the
ConvergenceWarningfor lbfgs.Any other comments?
My whiteboard tells me it is possible to make the optimization more stable with some proper care for sparse matrices, regularization, and zero variance features. (I still need to work out the multinomial case to be sure)