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).
J.-Y. Hsia and C.-J. Lin. Parameter Selection for Linear Support Vector Regression. IEEE Transactions on Neural Networks and Learning Systems, 2020. (supplementary materials and code for 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 a logistic regression solver.
> train -s 0 -C -v 5 heart_scaleFind parameters by ten-fold cross validation and a linear L2-loss SVR solver.
> train -s 11 -C -v 10 heart_scale