Using an iterative linear solver in an interior-point method for generating support vector machines

  • Authors:
  • E. Michael Gertz;Joshua D. Griffin

  • Affiliations:
  • University of Wisconsin, Madison, USA;Computational Sciences and Mathematical Research Division, Sandia National Laboratories, Livermore, USA 94551

  • Venue:
  • Computational Optimization and Applications
  • Year:
  • 2010

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Abstract

This paper concerns the generation of support vector machine classifiers for solving the pattern recognition problem in machine learning. A method is proposed based on interior-point methods for convex quadratic programming. This interior-point method uses a linear preconditioned conjugate gradient method with a novel preconditioner to compute each iteration from the previous. An implementation is developed by adapting the object-oriented package OOQP to the problem structure. Numerical results are provided, and computational experience is discussed.