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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