coupling lambda search with CV
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A further step in the custom implementation of the lasso would be to more tightly integrate the CV and lasso steps so that time is not wasted in evaluating the full sequence of lambdas. This would be done by performing cross-validation on each lambda in the initial sequence one at a time.
By evaluating the CV-MSE at each lambda, we would be able to observe shifts in the CV-MSE and safely stop at a value of lambda where the CV-risk is minimized but before the full sequence of lambdas is evaluated. This saves time by avoiding fitting the model on very small values of lambda for which a disproportionate amount of time is required (since there are more coefficients to fit).
Stale -- closing since we've deprecated lassi as of v0.4.0+