I am wondering how Lassocv can run so fast, I write a cv version for Lasso, but it can't work as fast as the scikit version. According to my test, the time of 5-fold on my device needs 50 seconds to finish, but 20 folds only need 50 seconds too. I thought it at least needs 200 seconds or more. I wonder what is the method that scikit use to fasten the process of cv. Continue reading...