Linear Models for Regression — Applied Machine Learning in Python

from sklearn.linear_model import Lasso

# TODO explain options
param_grid = {'alpha': np.logspace(-5, 0, 10)}
grid = GridSearchCV(Lasso(max_iter=10000, normalize=True), param_grid, cv=10)
grid.fit(X_train, y_train)

print(grid.best_score_)
print(grid.best_params_)