To make the choice of L1 vs L2 a little more flexible there's also Elastic net regularization [0] which lets you combine both L1 and L2 Also agree with LDA, I'

To make the choice of L1 vs L2 a little more flexible there's also Elastic net regularization [0] which lets you combine both L1 and L2 Also agree with LDA, I've recently been using it for some unsupervised text classification and the topics it generates are impressively sane. 0.http://en.wikipedia.org/wiki/Elastic_net_regularization http://en.wikipedia.org/wiki/Elastic_net_regularization