I am trying to use the
glmnet MATLAB package to train my elastic net model on some huge data. My features are of size 13200, and I have around 6000 samples of these. I directly tried to use
lassoglm in MATLAB with these features and corresponding target taking cross validation to just 3 folds and alpha = 0.5. It's already 6 hours and it hasn't finished. I have to do it for several others as well.
Any suggestions what I should do?