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Making Logistic Regression a Core Data Mining Tool with TR-IRLS Export

In ICDM '05: Proceedings of the Fifth IEEE International Conference on Data Mining (2005), pp. 685-688.

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Binary classification is a core data mining task. For large datasets or real-time applications, desirable classifiersare accurate, fast, and need no parameter tuning. We present a simple implementation of logistic regression that meets these requirements. A combination of regularization, truncated Newton methods, and iteratively re-weighted least squares make it faster and more accurate than modern SVM implementations, and relatively insensitive to parameters. It is robust to linear dependencies and some scaling problems, making most data preprocessing unnecessary.


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