Machine Learning Program , National ICT for Australia , Canberra , ACT 0200 , Australia
We present a fast iterative support vector training algorithm for a large variety of different formulations. It works by incrementally changing a candidate support vector set using a greedy approach, until the supporting hyperplane is found within a finite number of iterations. It is derived from a simple active set method which sweeps through the set of Lagrange multipliers and keeps optimality in the unconstrained variables, while discarding large amounts of bound-constrained variables. The hard-margin version can be viewed as a simple (yet computationally crucial) modification of the incremental SVM training algorithms of Cauwenberghs and Poggio. Experimental results for various settings are reported. In all cases our algorithm is considerably faster than competing methods such as Sequential Minimal Optimization or the Nearest Point Algorithm.