So recently I wrote this code:
https://github.com/jaberg/asgd/blob/early_stopping/asgd/linsvm.py

My intent with this class was to provide a sklearn-like interface to
train linear SVMs, but which would have automatic selection logic to
handle various problem dimensions, which call for different
algorithms:
* if you have more features than examples, you should use a
gram-matrix algorithm,
* if you don't then you should use an sgd-type algorithm
* if you have more than two classes, you should use a larank-type
algorithm (i think?), but ...
* if you have to use a gram-matrix algorithm for efficiency then I
wonder if maybe you can't do larank so you should use a one-vs-all
approach (or one vs. one?).

Anyway this code uses SVC in some cases, and uses @npinto's asgd code
in other cases, and uses some of my code in others... but I have a
feeling that I'm reinventing a wheel here, is there something in
sklearn that already does this type of thing?

- James

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