B.-Y. Chu, C.-H. Ho, C.-H. Tsai, C.-Y. Lin, and C.-J. Lin. Warm Start for Parameter Selection of Linear Classifiers. ACM KDD 2015 (supplementary materials including the derivation not shown in the paper and more results of experiments).
If you successfully used this code for your applications, please let us know. We are interested in how it's being used.
It is very simple by using the new option -C. Examples:
Find parameters by five-fold cross validation and logistic regression.
> train -s 0 -C -v 5 heart_scaleFind parameters by ten-fold cross validation and L2-loss SVM.
> train -s 2 -C -v 10 heart_scale