Full length article: Support vector machines regression with l1-regularizer

  • Authors:
  • Hongzhi Tong;Di-Rong Chen;Fenghong Yang

  • Affiliations:
  • School of Information Technology & Management, University of International Business and Economics, Beijing 100029, PR China;Department of Mathematics and LMIB, Beijing University of Aeronautics and Astronautics, Beijing 100083, PR China;School of Applied Mathematics, Central University of Finance and Economics, Beijing 100081, PR China

  • Venue:
  • Journal of Approximation Theory
  • Year:
  • 2012

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Abstract

The classical support vector machines regression (SVMR) is known as a regularized learning algorithm in reproducing kernel Hilbert spaces (RKHS) with a @e-insensitive loss function and an RKHS norm regularizer. In this paper, we study a new SVMR algorithm where the regularization term is proportional to l^1-norm of the coefficients in the kernel ensembles. We provide an error analysis of this algorithm, an explicit learning rate is then derived under some assumptions.