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Fixed-Size Pegasos for Large Scale Pinball Loss SVM

Fixed-Size Pegasos for Large Scale Pinball Loss SVM

This video was recorded at International Workshop on Advances in Regularization, Optimization, Kernel Methods and Support Vector Machines (ROKS): theory and applications, Leuven 2013. Here we address the problem of learning pinball loss SVM model. We utilize modified Pegasos algorithm for large scale problems. The latter type of problems is leveraged for linearly non-separable cases via Nyström approximation and Fized-Size approach. We present an outline of the improved Pegasos algorithm and a complete learning procedure within the Fixed-Size setting.

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