Optimizing ψ-learning via mixed integer programming
Yufeng Liu, Yichao Wu · Statistica Sinica · 2006
As a new margin-based classier, -learning shows great potential for high accuracy. However, the optimization of -learning involves non-convex min- imization and is very challenging to implement. In this article, we convert the optimization of -learning into a mixed integer programming (MIP) problem. This enables us to utilize the state-of-art algorithm of MIP to solve -learning. More- over, the new algorithm can solve -learning with a general piecewise linear loss and does not require continuity of the loss function. We also examine the variable selection property of 1-norm -learning and make comparisons with the SVM.