#StackBounty: #optimization #lasso #glmnet choosing lambda for multi-reponse lasso in glmnet

Bounty: 50

I know that from Hastie et. al’s paper, that in the single response $y$ LASSO, the $lambda$ values are chosen such that:
$Nalphalambda_{max} = max_l |< x_l, y_l > |$
Also, $y$ is by default standardised before forming the grid of $lambda$ values on log-scale. Then, the grid is de-standardized by multiplying back by $sigma_y$.

I’m trying to understand how this is done if $Y$ becomes a matrix (i.e multiresponse). Any ideas how $lambda$ would then be formed?

Get this bounty!!!

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