title: SciKit SGD Regressor RBF Kernel Approximation
body: <p>I am using scikit-learn and would like to run SVR with RBF kernel. My dataset was quite large so from reading other posts, I was advised to use SGD regression and RBF approximation. Interestingly I get worse results from using SGD with RBF compared to just SGD by itself. I'd imagine this would be due to wrong parameter values. I tried looping through gamma and n_components for RBF sampler and tried a number of parameters for SGD regessor to no avail. I also output the training and cross validation error, and both are roughly the same, so I believe its a bias issue.</p>