I've been looking on having L1 regularization to LogisticRegression. It has a nice property — it's said to be useful for feature selection (see for example this).

As far as I understand, the IterativeReweightedLeastSquares.Regularization parameter is only for L2 regularization, and there's no L1 currently supported. Is this correct?

It would be nice to have it added (for example like this). And maybe even being able to specify both L1 and L2 at the same time.