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I was wondering if anyone here can explain the difference between the l1, l2 and max normalization mode in sklearn.preprocessing.normalize() module? Having read the documentation I couldn't realize the difference!

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The options lead to different normalizations. if $x$ is the vector of covariates of length $n$, and say that the normalized vector is $y = x / z$ then the three options denote what to use for $z$:

  • L1: $z = \| x\|_1 = \sum_{i=1}^n |x_i|$
  • L2: $z = \| x\|_2 = \sqrt{\sum_{i=1}^n x_i^2}$
  • Max: $z = \max x_i$

Note that using Max does not take absolute values first, so it is not equal to the $l_\infty$ norm.

(source code)

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