Currently, if lambda is not supplied by the user, we use the same range as glmnet (more or less).
Does theory suggest a better default? Ideally, we want lambda_max to be the smallest value of lambda that gives exactly one non-zero element in each group, but there are problems for which no such lambda exists and even when it does, it's not clear how to calculate it quickly.
Currently, if
lambdais not supplied by the user, we use the same range asglmnet(more or less).Does theory suggest a better default? Ideally, we want
lambda_maxto be the smallest value of lambda that gives exactly one non-zero element in each group, but there are problems for which no such lambda exists and even when it does, it's not clear how to calculate it quickly.