I am using sklearn's DictVectorizer to construct a large, sparse feature matrix, which is fed to an ElasticNet model. Elastic net (and similar linear models) work best when predictors (columns in the feature matrix) are centered and scaled. The recommended approach is to build a Pipeline that uses a StandardScaler prior to the regressor, however that doesn't work with sparse features, as stated in the docs.
I thought to use the normalize=True flag in ElasticNet which seems to support sparse data, however it's not clear whether the normalization is applied during prediction to the test data as well. Does anyone know if normalize=True applies for prediction as well? If not, is there a way to use the same standardization on the training and test set when dealing with sparse features?
Digging through the sklearn code, it looks like when fit_intercept=True and normalize=True, the coefficients estimated on the normalized data are projected back to the original scale of the data. This is similar to the way glmnet in R handles standardization. The relevant code snippet is the method _set_intercept of LinearModel, see https://github.com/scikit-learn/scikit-learn/blob/master/sklearn/linear_model/base.py#L158. So predictions on unseen data use coefficients in the original scale, i.e., normalize=True is safe to use.