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(Neural Computation. 2005;17:7-18.)
© 2005 The MIT Press

Note

Convergence of the IRWLS Procedure to the Support Vector Machine Solution

Fernando Pérez-Cruz

fernando{at}gatsby.ucl.ac.uk, Gatsby Computational Neuroscience Unit, 17 Queen Sqaure, London WC1N 3AR, U.K., and Department of Signal Theory and Communications, University Carlos III in Madrid, Avda Universidad 30, 28911 Leganes (Madrid), Spain

Carlos Bousoño-Calzón

cbousono{at}tsc.uc3m.es, Department of Signal Theory and Communications, University Carlos III in Madrid, Avda Universidad 30, 28911 Leganes (Madrid), Spain

Antonio Artés-Rodríguez

antonion{at}ieee.org, Department of Signal Theory and Communications, University Carlos III in Madrid, Avda Universidad 30, 28911 Leganes (Madrid), Spain

An iterative reweighted least squares (IRWLS) procedure recently proposed is shown to converge to the support vector machine solution. The convergence to a stationary point is ensured by modifying the original IRWLS procedure.






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