Convergence of the IRWLS Procedure to the Support Vector Machine Solution.
An iterative reweighted least squares (IRWLS) procedure recently proposed is shown to converge to the support vector machine solution. The convergence to a stationary point is ensured by modifying the original IRWLS procedure.
Pérez-Cruz
Fernando
F
Gatsby Computational Neuroscience Unit, London, UK. fernando@gatsby.ucl.ac.uk
Bousoño-Calzón
Carlos
C
Artés-Rodríguez
Antonio
A
D000465:Algorithms; D009716:Numerical Analysis, Computer-Assisted; D012044:Regression Analysis