Standardization of the feature matrix before fitting a regularized regression

[dmitrijsk]

Please consider a short discussion (Chapter 5.4 Regularization) of whether or not the feature matrix should be standardized before fitting a regularized regression, such as Ridge or Lasso. The original article seems to assume standardization in the definition and all examples. The scicit-learn documentation mentions standardization as a practical consideration. This was not obvious to me when first time reading about regularization. Thank you for a great book and for considering this suggestion!

[andreas-lindholm]

Good point. We will take this into consideration for future updates.