Classes
class	CSubGradientLPM
Defines
#define	IGNORE_IN_CLASSLIST
	Class SubGradientSVM trains a linear classifier called Linear Programming Machine, i.e. a SVM using a $\ell_1$ norm regularizer.

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#define IGNORE_IN_CLASSLIST

Class SubGradientSVM trains a linear classifier called Linear Programming Machine, i.e. a SVM using a $\ell_1$ norm regularizer.

It solves the following optimization problem using subgradient descent.

$\begin{eqnarray*} \min_{{\bf w}={(\bf w^+},{\bf w^-}), b, {\bf \xi}} && \sum_{i=1}^N ( {\bf w}^+_i + {\bf w}^-_i) + C \sum_{i=1}^{N} \xi_i\\ \mbox{s.t.} && -y_i(({\bf w}^+-{\bf w}^-)^T {\bf x}_i + b)-{\bf \xi}_i \leq -1\\ && \quad {\bf x}_i \geq 0\\\ && {\bf w}_i \geq 0,\quad \forall i=1\dots N \end{eqnarray*}$

Note that this implementation is not very stable numerically for a large number of dimensions. Also note that currently CPLEX is required to solve this problem.

See also:: CLPBoost; CLPM

Definition at line 48 of file SubGradientLPM.h.

SubGradientLPM.h File Reference

Classes

Defines

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