Following on from my last post on Support Vector Machines in F# using Microsoft Solver Foundation, I’d also like to point to Yin Zhu’s post on Logistic Regression in F# using Microsoft Solver Foundation.
Logistic regression is a workhorse in data mining. Like decision trees and SVMs, it is a very standard classifier. If you have a labeled data, logistic regression definitely is one of the classifiers that should tried.
In this post, I’d like to show how to implement a logistic regression using Microsoft Solver Foundation in F#. Because we use the optimization in Microsoft Solver Foundation, the core part of a logistic regression contains only 20 – 30 lines of code.
If you are only interested in F# and L-BFGS, but not logistic regression, please only read the second section: L-BFGS solver in Microsoft Solver Foundation.
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