MarcBresson
diff --git a/‎doc/whats_new/v1.6.rst
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diff --git a/‎sklearn/linear_model/_coordinate_descent.py
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diff --git a/‎sklearn/linear_model/tests/test_coordinate_descent.py
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+84-40Lines changed: 84 additions & 40 deletions
@@ -261,6 +261,11 @@ Changelog
   has no effect. `copy_X` will be removed in 1.8.
   :pr:`29105` by :user:`Adam Li <adam2392>`.
 
+- |Fix| :class:`linear_model.LassoCV` and :class:`linear_model.ElasticNetCV` now
+  take sample weights into accounts to define the search grid for the internally tuned
+  `alpha` hyper-parameter. :pr:`29442` by :user:`John Hopfensperger <s-banach> and
+  :user:`Shruti Nath <snath-xoc>`.
+
 :mod:`sklearn.manifold`
 .......................
 
 
@@ -99,6 +99,7 @@ def _alpha_grid(
     eps=1e-3,
     n_alphas=100,
     copy_X=True,
+    sample_weight=None,
 ):
     """Compute the grid of alpha values for elastic net parameter search
 
@@ -133,6 +134,8 @@ def _alpha_grid(
 
     copy_X : bool, default=True
         If ``True``, X will be copied; else, it may be overwritten.
+
+    sample_weight : ndarray of shape (n_samples,), default=None
     """
     if l1_ratio == 0:
         raise ValueError(
@@ -141,43 +144,39 @@ def _alpha_grid(
             "your estimator with the appropriate `alphas=` "
             "argument."
         )
-    n_samples = len(y)
-
-    sparse_center = False
-    if Xy is None:
-        X_sparse = sparse.issparse(X)
-        sparse_center = X_sparse and fit_intercept
-        X = check_array(
-            X, accept_sparse="csc", copy=(copy_X and fit_intercept and not X_sparse)
+    if Xy is not None:
+        Xyw = Xy
+    else:
+        X, y, X_offset, _, _ = _preprocess_data(
+            X,
+            y,
+            fit_intercept=fit_intercept,
+            copy=copy_X,
+            sample_weight=sample_weight,
+            check_input=False,
         )
-        if not X_sparse:
-            # X can be touched inplace thanks to the above line
-            X, y, _, _, _ = _preprocess_data(
-                X, y, fit_intercept=fit_intercept, copy=False
-            )
-        Xy = safe_sparse_dot(X.T, y, dense_output=True)
-
-        if sparse_center:
-            # Workaround to find alpha_max for sparse matrices.
-            # since we should not destroy the sparsity of such matrices.
-            _, _, X_offset, _, X_scale = _preprocess_data(
-                X, y, fit_intercept=fit_intercept
-            )
-            mean_dot = X_offset * np.sum(y)
-
-    if Xy.ndim == 1:
-        Xy = Xy[:, np.newaxis]
-
-    if sparse_center:
-        if fit_intercept:
-            Xy -= mean_dot[:, np.newaxis]
+        if sample_weight is not None:
+            if y.ndim > 1:
+                yw = y * sample_weight.reshape(-1, 1)
+            else:
+                yw = y * sample_weight
+        else:
+            yw = y
+        if sparse.issparse(X):
+            Xyw = safe_sparse_dot(X.T, yw, dense_output=True) - np.sum(yw) * X_offset
+        else:
+            Xyw = np.dot(X.T, yw)
 
-    alpha_max = np.sqrt(np.sum(Xy**2, axis=1)).max() / (n_samples * l1_ratio)
+    if Xyw.ndim == 1:
+        Xyw = Xyw[:, np.newaxis]
+    if sample_weight is not None:
+        n_samples = sample_weight.sum()
+    else:
+        n_samples = X.shape[0]
+    alpha_max = np.sqrt(np.sum(Xyw**2, axis=1)).max() / (n_samples * l1_ratio)
 
-    if alpha_max <= np.finfo(float).resolution:
-        alphas = np.empty(n_alphas)
-        alphas.fill(np.finfo(float).resolution)
-        return alphas
+    if alpha_max <= np.finfo(np.float64).resolution:
+        return np.full(n_alphas, np.finfo(np.float64).resolution)
 
     return np.geomspace(alpha_max, alpha_max * eps, num=n_alphas)
 
@@ -1704,6 +1703,7 @@ def fit(self, X, y, sample_weight=None, **params):
                     eps=self.eps,
                     n_alphas=self.n_alphas,
                     copy_X=self.copy_X,
+                    sample_weight=sample_weight,
                 )
                 for l1_ratio in l1_ratios
             ]
 
@@ -48,6 +48,7 @@
     assert_almost_equal,
     assert_array_almost_equal,
     assert_array_equal,
+    assert_array_less,
     ignore_warnings,
 )
 from sklearn.utils.fixes import COO_CONTAINERS, CSC_CONTAINERS, CSR_CONTAINERS
@@ -1304,55 +1305,78 @@ def test_enet_sample_weight_consistency(
 
 @pytest.mark.parametrize("fit_intercept", [True, False])
 @pytest.mark.parametrize("sparse_container", [None] + CSC_CONTAINERS)
-def test_enet_cv_sample_weight_correctness(fit_intercept, sparse_container):
-    """Test that ElasticNetCV with sample weights gives correct results."""
-    rng = np.random.RandomState(42)
-    n_splits, n_samples, n_features = 3, 10, 5
-    X = rng.rand(n_splits * n_samples, n_features)
+def test_enet_cv_sample_weight_correctness(
+    fit_intercept, sparse_container, global_random_seed
+):
+    """Test that ElasticNetCV with sample weights gives correct results.
+
+    We fit the same model twice, once with weighted training data, once with repeated
+    data points in the training data and check that both models converge to the
+    same solution.
+
+    Since this model uses an internal cross-validation scheme to tune the alpha
+    regularization parameter, we make sure that the repetitions only occur within
+    a specific CV group. Data points belonging to other CV groups stay
+    unit-weighted / "unrepeated".
+    """
+    rng = np.random.RandomState(global_random_seed)
+    n_splits, n_samples_per_cv, n_features = 3, 10, 5
+    X_with_weights = rng.rand(n_splits * n_samples_per_cv, n_features)
     beta = rng.rand(n_features)
     beta[0:2] = 0
-    y = X @ beta + rng.rand(n_splits * n_samples)
-    sw = np.ones_like(y)
+    y_with_weights = X_with_weights @ beta + rng.rand(n_splits * n_samples_per_cv)
+
     if sparse_container is not None:
-        X = sparse_container(X)
+        X_with_weights = sparse_container(X_with_weights)
     params = dict(tol=1e-6)
 
-    # Set alphas, otherwise the two cv models might use different ones.
-    if fit_intercept:
-        alphas = np.linspace(0.001, 0.01, num=91)
-    else:
-        alphas = np.linspace(0.01, 0.1, num=91)
-
-    # We weight the first fold 2 times more.
-    sw[:n_samples] = 2
-    groups_sw = np.r_[
-        np.full(n_samples, 0), np.full(n_samples, 1), np.full(n_samples, 2)
-    ]
-    splits_sw = list(LeaveOneGroupOut().split(X, groups=groups_sw))
-    reg_sw = ElasticNetCV(
-        alphas=alphas, cv=splits_sw, fit_intercept=fit_intercept, **params
+    # Assign random integer weights only to the first cross-validation group.
+    # The samples in the other cross-validation groups are left with unit
+    # weights.
+
+    sw = np.ones_like(y_with_weights)
+    sw[:n_samples_per_cv] = rng.randint(0, 5, size=n_samples_per_cv)
+    groups_with_weights = np.concatenate(
+        [
+            np.full(n_samples_per_cv, 0),
+            np.full(n_samples_per_cv, 1),
+            np.full(n_samples_per_cv, 2),
+        ]
+    )
+    splits_with_weights = list(
+        LeaveOneGroupOut().split(X_with_weights, groups=groups_with_weights)
+    )
+    reg_with_weights = ElasticNetCV(
+        cv=splits_with_weights, fit_intercept=fit_intercept, **params
     )
-    reg_sw.fit(X, y, sample_weight=sw)
 
-    # We repeat the first fold 2 times and provide splits ourselves
+    reg_with_weights.fit(X_with_weights, y_with_weights, sample_weight=sw)
+
     if sparse_container is not None:
-        X = X.toarray()
-    X = np.r_[X[:n_samples], X]
+        X_with_weights = X_with_weights.toarray()
+    X_with_repetitions = np.repeat(X_with_weights, sw.astype(int), axis=0)
     if sparse_container is not None:
-        X = sparse_container(X)
-    y = np.r_[y[:n_samples], y]
-    groups = np.r_[
-        np.full(2 * n_samples, 0), np.full(n_samples, 1), np.full(n_samples, 2)
-    ]
-    splits = list(LeaveOneGroupOut().split(X, groups=groups))
-    reg = ElasticNetCV(alphas=alphas, cv=splits, fit_intercept=fit_intercept, **params)
-    reg.fit(X, y)
+        X_with_repetitions = sparse_container(X_with_repetitions)
+
+    y_with_repetitions = np.repeat(y_with_weights, sw.astype(int), axis=0)
+    groups_with_repetitions = np.repeat(groups_with_weights, sw.astype(int), axis=0)
+
+    splits_with_repetitions = list(
+        LeaveOneGroupOut().split(X_with_repetitions, groups=groups_with_repetitions)
+    )
+    reg_with_repetitions = ElasticNetCV(
+        cv=splits_with_repetitions, fit_intercept=fit_intercept, **params
+    )
+    reg_with_repetitions.fit(X_with_repetitions, y_with_repetitions)
 
-    # ensure that we chose meaningful alphas, i.e. not boundaries
-    assert alphas[0] < reg.alpha_ < alphas[-1]
-    assert reg_sw.alpha_ == reg.alpha_
-    assert_allclose(reg_sw.coef_, reg.coef_)
-    assert reg_sw.intercept_ == pytest.approx(reg.intercept_)
+    # Check that the alpha selection process is the same:
+    assert_allclose(reg_with_weights.mse_path_, reg_with_repetitions.mse_path_)
+    assert_allclose(reg_with_weights.alphas_, reg_with_repetitions.alphas_)
+    assert reg_with_weights.alpha_ == pytest.approx(reg_with_repetitions.alpha_)
+
+    # Check that the final model coefficients are the same:
+    assert_allclose(reg_with_weights.coef_, reg_with_repetitions.coef_, atol=1e-10)
+    assert reg_with_weights.intercept_ == pytest.approx(reg_with_repetitions.intercept_)
 
 
 @pytest.mark.parametrize("sample_weight", [False, True])
@@ -1444,9 +1468,29 @@ def test_enet_cv_sample_weight_consistency(
         assert_allclose(reg.intercept_, intercept)
 
 
+@pytest.mark.parametrize("X_is_sparse", [False, True])
+@pytest.mark.parametrize("fit_intercept", [False, True])
+@pytest.mark.parametrize("sample_weight", [np.array([10, 1, 10, 1]), None])
+def test_enet_alpha_max_sample_weight(X_is_sparse, fit_intercept, sample_weight):
+    X = np.array([[3.0, 1.0], [2.0, 5.0], [5.0, 3.0], [1.0, 4.0]])
+    beta = np.array([1, 1])
+    y = X @ beta
+    if X_is_sparse:
+        X = sparse.csc_matrix(X)
+    # Test alpha_max makes coefs zero.
+    reg = ElasticNetCV(n_alphas=1, cv=2, eps=1, fit_intercept=fit_intercept)
+    reg.fit(X, y, sample_weight=sample_weight)
+    assert_allclose(reg.coef_, 0, atol=1e-5)
+    alpha_max = reg.alpha_
+    # Test smaller alpha makes coefs nonzero.
+    reg = ElasticNet(alpha=0.99 * alpha_max, fit_intercept=fit_intercept)
+    reg.fit(X, y, sample_weight=sample_weight)
+    assert_array_less(1e-3, np.max(np.abs(reg.coef_)))
+
+
 @pytest.mark.parametrize("estimator", [ElasticNetCV, LassoCV])
 def test_linear_models_cv_fit_with_loky(estimator):
-    # LinearModelsCV.fit performs inplace operations on fancy-indexed memmapped
+    # LinearModelsCV.fit performs operations on fancy-indexed memmapped
     # data when using the loky backend, causing an error due to unexpected
     # behavior of fancy indexing of read-only memmaps (cf. numpy#14132).