I am currently doing a nested cross-validation for lasso regression to determine the best lambda value.
I am using the mlr3 package with the documentation from https://mlr3book.mlr-org.com/optimization.html#sec-nested-resampling
In the example, the hyperparameters selected and tested on the outer fold were:
iteration cost gamma classif.ce
1 -11.512925 -11.512925 0.4567227
1 -11.512925 5.756463 0.4567227
1 -5.756463 -11.512925 0.4567227
1 0.000000 5.756463 0.4567227
1 5.756463 -11.512925 0.2747899
...
3 0.000000 -11.512925 0.4678571
3 0.000000 -5.756463 0.2151261
3 0.000000 5.756463 0.4678571
3 5.756463 0.000000 0.4678571
3 11.512925 -5.756463 0.1941176
So how do I determine the best hyperparameters (cost and gamma in this case) for my final model?