[scikit-learn] RFE with logistic regression

[Andreas Mueller]

On 07/24/2018 02:07 PM, Benoît Presles wrote:
> I did the same tests as before adding fit_intercept=False and:
>
> 1. I have got the same problem as before, i.e. when I execute the RFE 
> multiple times I don't get the same ranking each time.
>
> 2. When I change the solver to 'sag' 
> (classifier_RFE=LogisticRegression(C=1e9, verbose=1, max_iter=10000, 
> fit_intercept=False, solver='sag')), it seems that I get the same 
> ranking at each run. This is not the case with the 'saga' solver.
> The ranking is not the same between the solvers.
>
> 3. With C=1, it seems that I have the same results at each run for all 
> solvers (liblinear, sag and saga), however the ranking is not the same 
> between the solvers.
>
>
> How can I get reproducible and consistent results?
>
Did you scale your data? If not, saga and sag will basically fail.