I'm working on a time-series forecasting project, where we found regularized linear models to work well. But we have a feature that has small but important impact for some period. We want to be sure this column is not regularized to 0.
Is there any way to skip regularization for generalized linear models, such as Lasso, Ridge, ElasticNet in the SkLearn library? I can't find the option in the documentation. What would be a good workaround if this option is not available?