Using L1 penalty in XGBoost I'm trying to use L1 regularization to select features in XGBoost classifier. However, I don't see any example code on how to specify the penalty of l1. 

This is how I do in sklearn's LogisticRegression. 

C = [10, 1, .1, .001]

for c in C:
    clf = LogisticRegression(penalty='l1', C=c)
    clf.fit(X_train, y_train)
    print('C:', c)
    print('Training accuracy:', clf.score(X_train, y_train))


How should I specify penalty and C in XGBoost?
L2 and L1 regularization are controlled via the lambda (=reg_lambda) and alpha (=reg_alpha) parameter respectively. Higher values of alpha mean more L1 regularization. See the documentation here.