I recently came across the following question on Stackoverflow (after getting stuck on the same issue independently):
It turns out that the answer is nuanced and relates to the impact of group-wise orthogonalization on the group lasso penalty.
I think it is worth writing down the answer to the above question; however I don't want to answer on Stackoverflow, because math mode seems not to be enabled and also it seems that the question would be of a lot more interest to the cross-validated community.
Given the above, how should I proceed?
- Open a similar (better phrased) question on cross-validated and answer myself and then link to the response as a comment on the Stackoverflow post?
- Bite the bullet and reply directly on Stackoverflow?
- Is there any other reasonable option?