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In this blog ( http://www.dataiku.com/blog/2015/08/18/Deep_Learning.html ), at one point we should be able to choose a neural network amongst the models. It is not the case for me, however I installed nolearn as specified, and I made the features be the same as in the tutorial. Are neural networks a basic feature of DSS or do I need to do more configuration ? 

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You need to setup Sparkling Water to use H2O's Neural Network models in DSS.

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