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HIPAD - A Hybrid Interior-Point Alternating Direction algorithm for knowledge-based SVM and feature selection

Zhiwei Qin(zq2107***at***columbia.edu)
Xiaocheng Tang(xit210***at***lehigh.edu)
Ioannis Akrotirianakis(ioannis.akrotirianakis***at***siemens.com)
Amit Chakraborty(amit.chakraborty***at***siemens.com)

Abstract: We consider classification tasks in the regime of scarce labeled training data in high dimensional feature space, where specific expert knowledge is also available. We propose a new hybrid optimization algorithm that solves the elastic-net support vector machine (SVM) through an alternating direction method of multipliers in the first phase, followed by an interior-point method for the classical SVM in the second phase. Both SVM formulations are adapted to knowledge incorporation. Our proposed algorithm addresses the challenges of automatic feature selection, high optimization accuracy, and algorithmic flexibility for taking advantage of prior knowledge. We demonstrate the effectiveness and efficiency of our algorithm and compare it with existing methods on a collection of synthetic and real-world data.

Keywords: Support Vector Machine, Alternating Direction Method of Multipliers, Interior Point Methods, Elastic Net, Domain Knowledge

Category 1: Applications -- Science and Engineering (Data-Mining )

Category 2: Convex and Nonsmooth Optimization

Category 3: Nonlinear Optimization (Quadratic Programming )

Citation: In Proceedings of the 8th International Conference on Learning and Intelligent OptimizatioN, (LION 8), Gainesville, Florida - USA, Feb 16-21, 2014

Download: [PDF]

Entry Submitted: 10/31/2014
Entry Accepted: 10/31/2014
Entry Last Modified: 10/31/2014

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