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Convergence of the IRWLS Procedure to the Support Vector Machine Solution
Fernando Pérez-Cruz1, Carlos Bousoño-Calzón, Antonio Artés-Rodríguez
1Gatsby Computational Neuroscience Unit, London, UK. fernando@gatsby.ucl.ac.uk
Neural Computation
|March 23, 2005
Abstract:
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.
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