My library for large-scale linear classification / regression, lightning,
already supports multiclass logistic regression (by SGD and by coordinate
descent). It also includes many other goodies, including my upcoming paper
on sparse multiclass classification. For all my Cython code, I used a
dataset abstraction which allows to support both dense and sparse data in a
single implementation (and without memory copy). I will blog about
lightning later when my paper is up.

https://github.com/mblondel/lightning

Mathieu
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