XIAO Feng, ZHOU Jie. Active Set Based Cutting Plane Algorithm for SVM[J]. Acta Electronica Sinica, 2013, 41(4): 757-762. DOI: 10.3969/j.issn.0372-2112.2013.04.022.
As a typical method for solving non-smooth convex optimization problems
cutting plane method is widely used in solving support vector machine problems. However
this algorithm suffers from the instability problem. To ease this instability
researchers proposed an optimized cutting plane algorithm which incorporated a line search stage. However
the computational complexity of such algorithm is too high for applications where the number of training samples is large. In this paper we propose an active set based optimized cutting plane algorithm to reduce the computation complexity of the original algorithm. When computing the objective function and performing line search
only those samples which fall in the active set are considered. Compared to optimized cutting plane algorithm
the proposed algorithm needs to calculate the objective function and perform line search only for a small fraction of the samples
leading to a significant drop in computational complexity without losing accuracy.