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Is there any way to test multiple algorithms rather than doing it once for each and every algorithm; then checking the result? There are a lot of times where I don’t really know which one to use, so I would like to test multiple and get the result (error rate) fairly quick in Azure Machine Learning Studio.

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You can use the module called Cross Validate Model. Once that is done, you can evaluate which algorithm worked the best by adding Filter-based-feature selection. 

The cross validate model splits the input in different chunks and reserves the last column as the answer. It then trains the other 9 chunks and measures it with the answer piece to return the accuracy. 

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