Regarding h2o.glm lambda search not appearing to iterate over all lambdas, I read the question as complaining that lambda was too high; they tried setting early_stopping=F
in the hope that might fix that "bug".
Isn't it the case that the original behaviour was a feature, not a bug? And if that is correct, then you should always use early_stopping=T
when using cross-validation with GLM, otherwise the error estimate from cross-validation is useless; you also risk over-fitting.
(My main question is if my understanding of the way GLM and CV work together is correct; but I'd be interested if there are any other things to watch out for when using lambda_search and cross-validation together.)