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lambda2

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This MATLAB package enables to efficiently compute leave-one-out cross validation error for multinomial logistic regression with elastic net (L1 and L2) penalty. The computation is based on an analytical approximation, which enables to avoid re-optimization and to reduce much computational time. Python version: https://github.com/T-Obuchi/Accele…

  • Updated Aug 19, 2020
  • MATLAB

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