Fast Simultaneous Training of Generalized Linear Models (FaSTGLZ)

31 Jul 2013Bryan R. ConroyJennifer M. WalzBrian CheungPaul Sajda

We present an efficient algorithm for simultaneously training sparse generalized linear models across many related problems, which may arise from bootstrapping, cross-validation and nonparametric permutation testing. Our approach leverages the redundancies across problems to obtain significant computational improvements relative to solving the problems sequentially by a conventional algorithm... (read more)

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