A Walk from 2-Norm SVM to 1-Norm SVM

@article{Kujala2009AWF,
  title={A Walk from 2-Norm SVM to 1-Norm SVM},
  author={Jussi Kujala and Timo Aho and Tapio Elomaa},
  journal={2009 Ninth IEEE International Conference on Data Mining},
  year={2009},
  pages={836-841}
}
This paper studies how useful the standard 2-norm regularized SVM is in approximating the 1-norm SVM problem. To this end, we examine a general method that is based on iteratively re-weighting the features and solving a 2-norm optimization problem. The convergence rate of this method is unknown. Previous work indicates that it might require an excessive number of iterations. We study how well we can do with just a small number of iterations. In theory the convergence rate is fast, except for… CONTINUE READING
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