Hmm, great question. The caret package made for R might actually make that loop possible: http://caret.r-forge.r-project.org/ http://caret.r-forge.r-project.org

Hmm, great question. The caret package made for R might actually make that loop possible: http://caret.r-forge.r-project.org/ http://caret.r-forge.r-project.org/ However, in my experience it's really easy to accidentally ask caret to iterate over a grid of parameters for just one model that would effectively take forever to complete (the useful grids change for each dataset). My bet would be that the algorithm space will expand with more and more computationally intensive methods such that we're always chasing this brute-force method. Even with this great 'caret' abstraction layer today, boy would it be hard to run through even a handful of algorithms in an algorithmic way (not having seen the data ahead of time).