Currently, the user is forced to use the same sequence of tuning parameters (lambda) for each penalty, yet different penalties (like elastic net vs lasso vs grp lasso) require their tuning parameters to be on different scales. A fix would be to change all code structures to allow for separate sequence for each penalty. If user specifies lambda=NULL, then a sequence will be computed for each penalty. Users can specify a vector for lambda which would apply the same sequence for all penalties, or the user could supply a list of vectors.
This issue will take a decent amount of work to resolve
Currently, the user is forced to use the same sequence of tuning parameters (lambda) for each penalty, yet different penalties (like elastic net vs lasso vs grp lasso) require their tuning parameters to be on different scales. A fix would be to change all code structures to allow for separate sequence for each penalty. If user specifies
lambda=NULL, then a sequence will be computed for each penalty. Users can specify a vector for lambda which would apply the same sequence for all penalties, or the user could supply a list of vectors.This issue will take a decent amount of work to resolve