Training very large scale nonlinear SVMs using Alternating Direction Method of Multipliers coupled with the Hierarchically Semi-Separable kernel approximations
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Typically, nonlinear Support Vector Machines (SVMs) produce significantly higher classification quality when compared to linear ones but, at the same time, their computational complexity is prohibitive for large-scale datasets: this drawback is essentially related to the necessity to store and manipulate large, dense and unstructured kernel matrices. Despite the fact that at the core of training a SVM there is a simple convex optimization problem, the presence of kernel matrices is responsible for dramatic performance reduction, making SVMs unworkably slow for large problems. Aiming to an efficient solution of large-scale nonlinear SVM problems, we propose the use of the Alternating Direction Method of Multipliers coupled with Hierarchically Semi-Separable (HSS) kernel approximations. As shown in this work, the detailed analysis of the interaction among their algorithmic components unveils a particularly efficient framework and indeed, the presented experimental results demonstrate a significant speed-up when compared to the state-of-the-art nonlinear SVM libraries (without significantly affecting the classification accuracy).
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