lr_gridsearch.py

penalty = ['l1', 'l2']
C = [0.0001, 0.001, 0.01, 0.1, 1, 10, 100, 1000]
class_weight = [{1:0.5, 0:0.5}, {1:0.4, 0:0.6}, {1:0.6, 0:0.4}, {1:0.7, 0:0.3}]
solver = ['liblinear', 'saga']

param_grid = dict(penalty=penalty,
                  C=C,
                  class_weight=class_weight,
                  solver=solver)

grid = GridSearchCV(estimator=logistic,
                    param_grid=param_grid,
                    scoring='roc_auc',
                    verbose=1,
                    n_jobs=-1)
grid_result = grid.fit(X_train, y_train)

print('Best Score: ', grid_result.best_score_)
print('Best Params: ', grid_result.best_params_)