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Functional gradient descent algorithm for a variety of convex and non-convex loss functions, for both classical and robust regression and classification problems. See Wang (2011) doi:10.2202/1557-4679.1304, Wang (2012) doi:10.3414/ME11-02-0020, Wang (2018) doi:10.1080/10618600.2018.1424635, Wang (2018) doi:10.1214/18-EJS1404.
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