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Reproduce lightning and sklearn issue when n_samples > n_features #8

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Reproduce lightning and sklearn issue when n_samples > n_features #8

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mathurinm
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@mathurinm mathurinm changed the title Add lightning Reproduce lightning and sklearn issue when n_samples > n_features Dec 9, 2021
@Klopfe
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Klopfe commented Dec 9, 2021

I ran into some issues with some solvers acting weird (sklearn and lightning).
Below is the suboptimality curve on the primal objective value.

newplot (2)

I have the impression this happens when n_samples > n_features (and or when C is large)

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@agramfort @mblondel
do you know why lightning and sklearn give different results when n_samples > n_features ?

n_samples < n_features, all fine:
image

When n_samples > n_features:
image

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@mathurinm @Klopfe