Docs for P1 are a bit unclear

[david-cortes]

In the API reference for glum.GeneralizedLinearRegressor:
https://glum.readthedocs.io/en/latest/glm.html#glum.GeneralizedLinearRegressor

It says about P2:

With this option, you can set the P2 matrix in the L2 penalty w * P2 * w. This gives a fine control over this penalty (Tikhonov regularization). A 2d array is directly used as the square matrix P2.

But for P1:

With this array, you can exclude coefficients from the L1 penalty. Set the corresponding value to 1 (include) or 0 (exclude).

The latter one gives the impression that P1 is only for inclusion/exclusion instead of also being usable as a per-feature multiplier.

[MarcAntoineSchmidtQC]

Thanks for pointing this out. You are 100% correct. See the corresponding PR for a rephrased docstring: #595.

[jtilly]

Closed by #595