Nicolaj Søndergaard Mühlbach comments

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                                            Nicolaj Søndergaard Mühlbach

Add option to specify "catch" in OptunaSearchCV

I have discovered that it is not the estimator that fails when calling `.fit()`, it is the sampler. I see two different patterns: **Pattern 1:** ``` Traceback (most recent call...

Sampler getting stuck non-optimally in search space?

Yes, I will try that. Note that the CMA-ES sampler does not have this issue.

What is the point of "nonconformity_quantiles" when "quantiles" can be specified independently at inference?

This is an excellent explanation! As a follow-up question, does this mean that in order to use conformal prediction to predict distribution I do need a quantile predictor and cannot...

What is the point of "nonconformity_quantiles" when "quantiles" can be specified independently at inference?

Thanks for your excellent guidance! Last, other than the default settings, do you have some general rule-of-thumbs parameters that you use, e.g., what are good choices of `nonconformity_quantiles` and `quantiles`?

What is the point of "nonconformity_quantiles" when "quantiles" can be specified independently at inference?

Thanks, this was very helpful!

Arg `always_select` does not seem to strictly enforce non-zero coefficients

Yes, that's true. But then `always_select` is not doing what it is supposed to. I would wish for a way to enforce that, so `always_select` is strict. Could be another...