AUTO will set the solver based on given data and the other parameters.
IRLSM is fast on on problems with small number of predictors and for lambda-search with L1 penalty, L_BFGS scales better for datasets with many columns.
Must be one of: "AUTO", "IRLSM", "L_BFGS", "COORDINATE_DESCENT_NAIVE", "COORDINATE_DESCENT", "GRADIENT_DESCENT_LH", "GRADIENT_DESCENT_SQERR".
Defaults to AUTO.