Statistics Group Research Seminar

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16 Οκτ 2013 (πριν από 3 χρόνια και 7 μήνες)

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Statistics

Group

Research Seminar

Support Vector Machines in the Primal

using Majorization and Kernels

Professor
Patrick Groenen

Erasmus University, Rotterdam


Fri
day

23
rd

January

200
9



11.00am

Room

Q229, M Block

Abstract


Support Vector Machines (SVMs) have become one of the mainstream methods for two
-
group
classification. The method is not so much differe
nt from logistic regression except that a different loss
function is used. In Groenen, Nalbantov and Bioch (2007, 2008) we proposed SVM
-
Maj, a
majorization algorithm that minimizes the SVM loss function, A big advantage of majorization is that
in each it
eration, the SVM
-
Maj algorithm is guaranteed to decrease the loss until the global minimum
is reached.


One of the features of the SVM is that it can take care of nonlinearity of the predictor variables. This
can be done by replacing the predictor variabl
es by their monotone spline bases and then doing a
linear SVM. Another, more common way in the machine learning literature to introduce nonlinearity is
to apply kernels.


In this presentation we will explain the basic idea of the SVM and present the SVM
-
M
aj algorithm. In
addition, we show how the algorithm can be adapted to include kernels. As a side effect, this
adaptation makes SVM
-
Maj much more efficient for the case that the number of predictor variables
m

is larger than the number of observations
n
.


*Everyone Welcome*


Tea and coffee will be available

from 10.30am