I'm working on multiclass logistic regression model with a large number of features (numFeatures > 100). Using a Maximum Likelihood Estimation based on the cost function and gradient, the fmincg algorithm solves the problem quickly. However, I'm also experimenting with a different cost function and do not have a gradient.
Is there a good way to speed up the calculation process? E.g., is there a different algorithm or fmincg setting that I can use?