[scikit-learn] How does multiple target Ridge Regression work in scikit learn?

[bthirion]

The alpha parameter is shared for all problems; If you wnat to use 
differnt parameters, you probably want to perform seprate fits.
Best,

Bertrand

On 02/05/2018 13:08, Peer Nowack wrote:
>
> Hi all,
>
> I am struggling to understand the following:
>
> Scikit-learn offers a multiple output version for Ridge Regression, 
> simply by handing over a 2D array [n_samples, n_targets], but how is 
> it implemented?
>
> http://scikit-learn.org/stable/modules/generated/sklearn.linear_model.Ridge.html
>
> Is it correct to assume that each regression for each target is 
> independent? Under these circumstances, how can I adapt this to use 
> individual alpha regularization parameters for each regression? If I 
> use GridSeachCV, I would have to hand over a matrix of possible 
> regularization parameters, or how would that work?
>
> Thanks in advance - I have been searching for hours but could not find 
> anything on this topic.
>
> Peter
>
>
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