Linear Support Vector Regression with Linear Constraints
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Publication:6328645
DOI10.1007/S10994-021-06018-2arXiv1911.02306MaRDI QIDQ6328645FDOQ6328645
Authors: Quentin Klopfenstein, Samuel Vaiter 
Publication date: 6 November 2019
Abstract: This paper studies the addition of linear constraints to the Support Vector Regression (SVR) when the kernel is linear. Adding those constraints into the problem allows to add prior knowledge on the estimator obtained, such as finding probability vector or monotone data. We propose a generalization of the Sequential Minimal Optimization (SMO) algorithm for solving the optimization problem with linear constraints and prove its convergence. Then, practical performances of this estimator are shown on simulated and real datasets with different settings: non negative regression, regression onto the simplex for biomedical data and isotonic regression for weather forecast.
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