P. Rivas-Perea, Juan Cota-Ruiz, J. Venzor, D. G. Chaparro, J. Rosiles
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LP-SVR Model Selection Using an Inexact Globalized Quasi-Newton Strategy
In this paper we study the problem of model selection for a linear programming-based support vector machine for regression. We propose generalized method that is based on a quasi-Newton method that uses a globalization strategy and an inexact computation of first order information. We explore the case of two-class, multi-class, and regression problems. Simulation results among standard datasets suggest that the algorithm achieves insignificant variability when measuring residual statistical properties.