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Selecting Lasso via cross-validation data leakage #26359

@nielsbijl

Description

@nielsbijl

Describe the issue linked to the documentation

model = make_pipeline(StandardScaler(), LassoCV(cv=20)).fit(X, y)

Optimizing Alpha for lasso involves data leakage because standard scaling is applied on X and y in one go, instant for each fold.

It is used in the example Selecting Lasso via cross-validation
https://scikit-learn.org/stable/auto_examples/linear_model/plot_lasso_model_selection.html

Suggest a potential alternative/fix

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