Generalized support vector regression: duality and tensor-kernel representation
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Fenchel-Rockafellar dualityregularized empirical riskreproducing kernel Banach spacessupport vector regressiontensors
Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Nonparametric regression and quantile regression (62G08) Learning and adaptive systems in artificial intelligence (68T05)
Abstract: In this paper we study the variational problem associated to support vector regression in Banach function spaces. Using the Fenchel-Rockafellar duality theory, we give explicit formulation of the dual problem as well as of the related optimality conditions. Moreover, we provide a new computational framework for solving the problem which relies on a tensor-kernel representation. This analysis overcomes the typical difficulties connected to learning in Banach spaces. We finally present a large class of tensor-kernels to which our theory fully applies: power series tensor kernels. This type of kernels describe Banach spaces of analytic functions and include generalizations of the exponential and polynomial kernels as well as, in the complex case, generalizations of the Szeg"o and Bergman kernels.
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