Fast Estimation of Multinomial Logit Models: R Package mnlogit

@article{Hasan2014FastEO,
  title={Fast Estimation of Multinomial Logit Models: R Package mnlogit},
  author={A. Hasan and Wang Zhiyu and Alireza S. Mahani},
  journal={arXiv: Computation},
  year={2014}
}
We present R package mnlogit for training multinomial logistic regression models, particularly those involving a large number of classes and features. Compared to existing software, mnlogit offers speedups of 10x-50x for modestly sized problems and more than 100x for larger problems. Running mnlogit in parallel mode on a multicore machine gives an additional 2x-4x speedup on up to 8 processor cores. Computational efficiency is achieved by drastically speeding up calculation of the log… Expand
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