The Proximal Trajectory Algorithm in SVM Cross Validation

Abstract

We propose a bilevel cross-validation scheme for support vector machine (SVM) model selection based on the construction of the entire regularization path. Since such path is a particular case of the more general proximal trajectory concept from nonsmooth optimization, we propose for its construction an algorithm based on solving a finite number of… (More)
DOI: 10.1109/TNNLS.2015.2430935

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