Frank-Wolfe for Sign-Constrained Support Vector Machines

Abstract

Domain knowledge is useful to improve the generalization performance of learning machines. Sign constraints are a handy representation to combine domain knowledge with learning machine. In this paper, we consider constraining the signs of the weight coefficients in learning the linear support vector machine, and develop an optimization algorithm for minimizing the empirical risk under the sign constraints. The algorithm is based on the Frank-Wolfe method that also converges sublinearly and possesses a clear termination criterion. We show that each iteration of the Frank-Wolfe also requires O(nd+d²) computational cost. Furthermore, we derive the explicit expression for the minimal iteration number to ensure an ε-accurate solution by analyzing the curvature of the objective function. Finally, we empirically demonstrate that the sign constraints are a promising technique when similarities to the training examples compose the feature vector.