How to set max_alpha in GeneralizedLinearRegressorCV?

[mlondschien]

The class does not have an argument max_alpha. The min_alpha description states

Minimum alpha to estimate the model with. The grid will then be created over [max_alpha, min_alpha]

If I set min_alpha and min_alpha_ratio I get a warning

UserWarning: `min_alpha` is set. Ignoring `min_alpha_ratio`.

[MarcAntoineSchmidtQC]

The documentation should be clearer. max_alpha is always set to be the level of alpha required to get all coefficients to be zero when using l1 regularization. Glum computes it internally, and creates a search grid between the min_alpha and that number (or a search grid between min_alpha_ratio * this number and this number). This is also the behavior of glmnet if I recall correctly.

[mlondschien]

Thanks! For 0 < l1_ratio < 1, is this "the level of alpha required to get all coefficients to be zero had l1_ratio=1" or "the level of alpha required to get all coefficients to be zero"? What for l1_ratio = 0?