Lasso uses LeastSquaresGradient and L1Updater, but
diff = brzWeights.dot(brzData) - label
in LeastSquaresGradient would cause too big diff, then will affect the L1Updater, which increases weights exponentially. Small shrinkage value cannot lasso weights back to zero then. Finally, the weights and losses reach Infinity.
For example, data = (0.5 repeats 10k times), weights = (0.6 repeats 10k times), then data.dot(weights) approximates 300+, the diff will be 300. Then L1Updater sets weights to approximate 300. In the next iteration, the weights will be set to approximate 30000, and so on.