How do I formulate soft margin SVM in primal form for quadprog function?

조회 수: 3 (최근 30일)
Tushar Aggarwal
Tushar Aggarwal 2015년 11월 1일
답변: Nitin Khola 2015년 11월 3일
I am not able to formulate the matrices needed for quadprog function to solve soft margin SVM.

답변 (1개)

Nitin Khola
Nitin Khola 2015년 11월 3일
My answer is based on the following Wikipedia article and documentation links. Refer to these links for notation related questions: https://en.wikipedia.org/wiki/Support_vector_machine#Soft_margin. http://www.mathworks.com/help/optim/ug/quadprog.html
For the objective function, you just need need the H to be [1 0 0; 0 0 0; 0 0 0] assuming each of w,eta, and b are scalar quantities. In order to generalize this idea for vector w,eta, and b. You need H to be a multidimensional array so that the dimensions match when you are trying to do [w' eta' b']*H*[w eta b]. Another quantity required is "f" and it should be of the form [0; c; 0].
The constraints are linear as well. You can follow a similar method for setting up the constraints. Hope it helps!

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