A Convergent Hybrid Decomposition Algorithm Model for SVM Training

Training of support vector machines (SVMs) requires to solve a linearly constrained convex quadratic problem. In real applications, the number of training data may be very huge and the Hessian matrix cannot be stored. In order to take into account this issue, a common strategy consists in using decomposition algorithms which at each iteration operate only on a small subset of variables, usually referred to as the working set. Training time can be significantly reduced by using a caching technique that allocates some memory space to store the columns of the Hessian matrix corresponding to the variables recently updated. The convergence properties of a decomposition method can be guaranteed by means of a suitable selection of the working set and this can limit the possibility of exploiting the information stored in the cache. We propose a general hybrid algorithm model which combines the capability of producing a globally convergent sequence of points with a flexible use of the information in the cache. As an example of a specific realization of the general hybrid model, we describe an algorithm based on a particular strategy for exploiting the information deriving from a caching technique. We report the results of computational experiments performed by simple implementations of this algorithm. The numerical results point out the potentiality of the approach.