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Awesome package, really looking forward to this function as it will allow me to use it in my packages. > lightgbm additional features such as monotone constraints

We probably need to add a custom loss function for regression problems rather than "copy paste" for logistic

Candidate approaches: * Use `autograd` successor: https://github.com/google/jax * Use `tensorflow` We might just wait for `jax` to be `pip` installable and support windows first; or have a wrapper that imports...

This can be done through l1 and/or l0 norm with gumbel-sampling trick. This is done in a separate private repository, but the interface doesn't lend itself nicely to `sklearn`.