Available in: GLM, GAM
This option limits the number of active predictors. (Note that the actual number of non-zero predictors in the model is going to be slightly lower.) It is useful when obtaining a sparse solution to avoid costly computation of models with too many predictors.
When using the \(\lambda_1\) penalty with lambda search, this option will stop the search before it completes. Models built at the beginning of the lambda search have higher lambda values, consider fewer predictors, and take less time to calculate the model. Models built at the end of the lambda search have lower lambda values, incorporate more predictors, and take a longer time to calculate the model. Set the
nlambdas parameter for a lambda search to specify the number of models attempted across the search.
solveris IRLSM, COORDINATE_DESCENT, or COORDINATE_DESCENT_NAIVE, then
max_active_predictorsdefaults to 5000.
solveris AUTO and you have less than 5000 active predictors initially, then the solver will be IRLSM or COD (with lambda search), and
max_active_predictorsis set to 5000.
If you run lambda search with
alpha> 0, and
solveris AUTO, then
solverwill be COORDINATE_DESCENT, and
max_active_predictorswill default to 5000.
For all other scenarios,
max_active_predictorswill default to 100000000.