use np.linalg.lstsq to _optimize? about alphagen HOT 4 CLOSED

That's a good shoot! Have you assessed the impact on final results?

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I obtained similar results. But omit alpha*loss_l1 may be bad idea?

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Thank you for your insightful suggestion. We'll make a decision after further evaluations.

from alphagen.

After careful assessment, we have found that l1 regularization has such a significant impact on the stability of the model that we cannot adopt this optimization as default. However, we have implemented it as an optional feature. Thank you for your contribution to this project, once again.

from alphagen.