SVM via Saddle Point Optimization: New Bounds and Distributed Algorithms

Yifei Jin; Lingxiao Huang; Jian Li

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arXiv · 1705.07252

SVM via Saddle Point Optimization: New Bounds and Distributed Algorithms

Yifei Jin·Lingxiao Huang·Jian Li

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Abstract

We study two important SVM variants: hard-margin SVM (for linearly separable cases) and $\nu$-SVM (for linearly non-separable cases). We propose new algorithms from the perspective of saddle point optimization. Our algorithms achieve $(1-\epsilon)$-approximations with running time $\tilde{O}(nd+n\sqrt{d / \epsilon})$ for both variants, where $n$ is the number of points and $d$ is the dimensionality. To the best of our knowledge, the current best algorithm for $\nu$-SVM is based on quadratic programming approach which requires $\Omega(n^2 d)$ time in worst case~\cite{joachims1998making,platt199912}. In the paper, we provide the first nearly linear time algorithm for $\nu$-SVM. The current best algorithm for hard margin SVM achieved by Gilbert algorithm~\cite{gartner2009coresets} requires $O(nd / \epsilon )$ time. Our algorithm improves the running time by a factor of $\sqrt{d}/\sqrt{\epsilon}$. Moreover, our algorithms can be implemented in the distributed settings naturally. We prove that our algorithms require $\tilde{O}(k(d +\sqrt{d/\epsilon}))$ communication cost, where $k$ is the number of clients, which almost matches the theoretical lower bound. Numerical experiments support our theory and show that our algorithms converge faster on high dimensional, large and dense data sets, as compared to previous methods.

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Yifei Jin, Lingxiao Huang, Jian Li. 2017-05-20. SVM via Saddle Point Optimization: New Bounds and Distributed Algorithms. https://arxiv.org/abs/1705.07252

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