@agramfort , Okay. What about my previous questions then?

1] It seems MultiTaskElasticNet uses, cd_fast.enet_coordinate_descent_multi_task(), Do you think something like this


    clf = MultiTaskElasticNet(alpha=[0.1,0.2])
    clf.fit([[0,0], [1, 1], [2, 2]], [[0, 1], [1, 2], [2, 2]])

be useful? that is having different alphas across different tasks? [This would also mean may/maynot changing the cd_fast.pyx file]
If we don't have this, then we are basically stuck to the same problem, i.e which alpha to choose across all tasks, since MultiTask also accepts only float values for alpha.
 
Thanks.