[MRG] ENH: Add scaling to convergence warning for LBFGS (#15571)

thomasjpfan · jnothman · commit d84785c5e1a1 · 2019-11-17T17:10:14.000+11:00
diff --git a/sklearn/linear_model/tests/test_logistic.py b/sklearn/linear_model/tests/test_logistic.py
@@ -390,8 +390,13 @@ def test_logistic_regression_path_convergence_fail():
     X = np.concatenate((rng.randn(100, 2) + [1, 1], rng.randn(100, 2)))
     y = [1] * 100 + [-1] * 100
     Cs = [1e3]
-    assert_warns(ConvergenceWarning, _logistic_regression_path,
-                 X, y, Cs=Cs, tol=0., max_iter=1, random_state=0, verbose=1)
+
+    msg = (r"lbfgs failed to converge.+Increase the number of iterations or "
+           r"scale the data")
+
+    with pytest.warns(ConvergenceWarning, match=msg):
+        _logistic_regression_path(
+            X, y, Cs=Cs, tol=0., max_iter=1, random_state=0, verbose=0)
 
 
 def test_liblinear_dual_random_state():
diff --git a/sklearn/utils/optimize.py b/sklearn/utils/optimize.py
@@ -234,7 +234,9 @@ def _check_optimize_result(solver, result, max_iter=None):
     if solver == "lbfgs":
         if result.status != 0:
             warnings.warn("{} failed to converge (status={}): {}. "
-                          "Increase the number of iterations."
+                          "Increase the number of iterations or scale the "
+                          "data as shown in https://scikit-learn.org/stable/"
+                          "modules/preprocessing.html"
                           .format(solver, result.status, result.message),
                           ConvergenceWarning, stacklevel=2)
         if max_iter is not None:
