scikit-learn/scikit-learn — pull request #2068 by eickenberg (2013-06-14 09:19:49+00:00)
Title: Multi target ridge regression with individual penalties

Hi everybody,

as indicated a few days ago in https://github.com/scikit-learn/scikit-learn/pull/1333, here is a minimal version of a multiple target ridge regression with the possibility of individual penalties per target.

It is a small increment on Fabian's recent contribution https://github.com/scikit-learn/scikit-learn/pull/1914

It is available within the function ridge_regression and in the Ridge estimator. For individual penalties with the ridge estimator one must pass a 1d array like object as the penalties, with length corresponding to the number of targets. Otherwise an exception will be thrown.

This PR is supposed to be small, but self-contained. As far as I can see, it is - please let me know your opinion on this and what to add if necessary.

Thanks very much for your time!
Michael