scikit-learn/scikit-learn — pull request #2814 by larsmans (2014-02-01 13:22:17+00:00)
Title: [WIP] Multinomial logistic regression

This adds the true multinomial (multiclass) logistic regression to `linear_models`. It uses L-BFGS, which means that only L2 penalty is supported, and I didn't bother to implement the dual objective.

The docs need a bit more love; the code could be optimized just a little more; and I'm not really sure how to handle the regularization. Currently, the batch training objective is

-1/m * C * log_loss(w, X, y) + ||w||²

and I'm not sure if the 1/m is appropriate; how does Liblinear do this?