A Direct Method for Building Sparse Kernel Learning Algorithms.

Many kernel learning algorithms, including support vector machines, result in a kernel machine, such as a kernel classifier, whose key component is a weight vector in a feature space implicitly introduced by a positive definite kernel function. This weight vector is usually obtained by solving a convex optimization problem. Based on this fact we present a direct method to build sparse kernel learning algorithms by adding one more constraint to the original convex optimization problem, such that the sparseness of the resulting kernel machine is explicitly controlled while at the same time performance is kept as high as possible. A gradient based approach is provided to solve this modified optimization problem. Applying this method to the support vectom machine results in a concrete algorithm for building sparse large margin classifiers. These classifiers essentially find a discriminating subspace that can be spanned by a small number of vectors, and in this subspace, the different classes of data are linearly well separated. Experimental results over several classification benchmarks demonstrate the effectiveness of our approach.