Github user yinxusen commented on the pull request:

    https://github.com/apache/spark/pull/458#issuecomment-41262172
  
    I do the preprocess of your data, make it with zero-mean, unit norm. But 
Lasso also performances poorly, with Infinity results or rising losses.
    
    Since Lasso is a regression method, maybe we should use regression data to 
test it. the current classification dataset is not suitable. @coderxiang Do you 
have any regression dataset?
    
    More complicated SGDs are worthy of consideration.


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