I am using Elasticnet from scikit-learn in python, I've also used Glmnet package in R for prototyping. I want to use weights in Elasticnet which apparently is not available as an option/argument in Elasticnet in scikit-learn. However it is available in glmnet/elnet in R.
Has anyone used weights with elasticnet in python? Any insight on how it can be done.
glmnet
supports weights for both samples, and for various predictors to increase or decrease the regularization strength on a by-variable basis. Which are you asking about? $\endgroup$ – Matthew Drury Jul 29 '16 at 0:23