hi Immanuel,

before addressing the sparse logistic case for the GSOC take a look at:

http://jmlr.csail.mit.edu/papers/v13/yuan12a.html

it's likely to be implemented in liblinear (to check)

if it is I would seriously consider patching Liblinear to allow warm
restart than starting a complete reimplementation.
I don't know what others think. The downside would be not to have an
L1+L2 penalty.

Alex

disclaimer : I have not read the paper yet...

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