Kernel SVM and Sparsity

Learn how to implement kernel SVM and observe sparsity in the solution vector for better generalization.

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Kernels in SVM

The dual formulation straightforwardly offers kernelization of SVM. As we notice in the following dual optimization problem, the Gram matrix KK can be computed using any kernel function:

maxaaT112ayTKays.t.0aC\begin{aligned} \max_{\bold a} \quad & \bold a^T\bold 1 - \frac{1}{2}\bold a^T_{\bold y}K\bold a_{\bold y}\\ \textrm{s.t.} \quad & 0\le \bold a \le C \end{aligned} ...