I was reading the following link. One of the section mentions about selecting the a value for $\alpha$.
Looking at the bottom right plot below (contains MSE for 3 different values of $\alpha$), it seems to me that $\alpha = 0$ gives the lowest MSE and hence should be the best here. However, the image below says that $\alpha=1$ is the best instead.
Question: I do not understand why $\alpha=1$ is the best ? Because it seems to me that $\alpha=0$ yields lowest MSE for all values of $\log(\lambda)$.
And my interpretation is that the higher the value of $\lambda$ , the more penalization there is. And if a model yields MSE lower than other models at the same penalty factor (i.e. same $\lambda$), then surely this should be the best model. Am I wrong ?
What did I misunderstand here ?