Convergence of the IRWLS Procedure to the Support Vector Machine Solution

  • Authors:
  • Fernando Pérez-Cruz;Carlos Bousoño-Calzón;Antonio Artés-Rodríguez

  • Affiliations:
  • Gatsby Computational Neuroscience Unit, 17 Queen Sqaure, London WC1N 3AR, U.K.;Department of Signal Theory and Communications, University Carlos III in Madrid, Avda Universidad 30, 28911 Leganes (Madrid), Spain;Department of Signal Theory and Communications, University Carlos III in Madrid, Avda Universidad 30, 28911 Leganes (Madrid), Spain

  • Venue:
  • Neural Computation
  • Year:
  • 2005

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Abstract

An iterative reweighted least squares (IRWLS) procedure recently proposed is shown to converge to the support vector machine solution. The convergence to a stationary point is ensured by modifying the original IRWLS procedure.