<p>In <a href="https://github.com/mlpack/mlpack/pull/457#discussion_r40792344">src/mlpack/methods/softmax_regression/softmax_regression_function.hpp</a>:</p>
<pre style='color:#555'>&gt; @@ -38,12 +37,25 @@ class SoftmaxRegressionFunction
&gt;    const arma::mat InitializeWeights();
&gt;  
&gt;    /**
&gt; +   * Initialize Softmax Regression weights(trainable parameters) with
&gt; +   * the given parameters.
&gt; +   * @param featureSize The features size of the training set
&gt; +   * @param numClasses Number of classes for classification.
&gt; +   * @param fitIntercept Intercept term flag.
&gt; +   * @return weights after initialize
&gt; +   */
&gt; +  static const arma::mat InitializeWeights(const size_t featureSize,
&gt; +                                           const size_t numClasses,
&gt; +                                           const bool fitIntercept = false);
</pre>
<p>I think for now I'll go with <code>weights</code> as a parameter (in part for consistency with other code), but if you run some quick simulations to determine that gcc and clang are doing RVO correctly here, we can change it.</p>

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