Finding optimal threshold in multi-class classification task In a binary classification problem, it is easy to find the optimal threshold (F1) by setting different thresholds, evaluating them and picking the one with the highest F1. Similarly is there a proper way to find optimal thresholds for all the classes in a multi-class setting.

This will be a grid search problem if we do it brute force way. Any efficient way to do this?
Is there any package that ppl use or I can use for this?
Also is it common practice to find optimal threshold in multi-class settings, I couldn't any examples?
One solution is to explore a One-Vs-Rest classifier which creates separate binary classifiers for each class.