# Semagle.MachineLearning.SVM Library

Semagle.MachineLearning.SVM implements training and prediction functions for two class classification, one class classification and regression. The library is based on generalization of Sequential Minimal Optimization (SMO) algorithm.

## Performance

The main idea of the library was to create an extensible SVM implementation for solving many machine learning problems. However, high-level abstractions and .Net runtime take their toll on performance. Check the performance tables for details.

## Kernels

The library implements the following popular kernels:

• Kernel.linear - $$\mathbf{x}_i \cdot \mathbf{x}_j$$
• Kernel.polynomial - $$(\gamma(\mathbf{x}_i \cdot \mathbf{x}_j) + \mu)^n$$
• Kernel.rbf - $$e^{\gamma(\mathbf{x}_i - \mathbf{x}_j)^2}$$
• Kernel.sigmoid - $$tanh(\gamma(\mathbf{x}_i \cdot \mathbf{x}_j) + \mu)$$

## Two Class Classification

### Training

Function SMO.C_SVC finds a solution of the following optimization problem: $\begin{array} \mathop{min}_{\mathbf{w},b,\mathbf{\xi}} & \quad \frac{1}{2} \mathbf{w}^T\mathbf{w} + C \sum_{i=1}^l \xi_i \\ \text{subject to} & \quad y_i(\mathbf{w}^T\phi(\mathbf{x}_i) + b) \geq 1 - \xi_i \\ & \quad \xi_i \geq 0, i=1, \dots, l \end{array}$ in the dual form: $\begin{array} \mathop{min}_{\mathbf{\alpha}} & \quad \frac{1}{2} \mathbf{\alpha}^TQ\mathbf{w} - \mathbf{e}^T\mathbf{\alpha} \\ \text{subject to} & \quad \mathbf{y}^T\mathbf{\alpha} = 0 \\ & \quad 0 \leq \alpha_i \leq C, i=1, \dots, l \end{array}$ where $$Q_{ij}=y_iy_jK(\mathbf{x}_i, \mathbf{x}_j)$$.

 1: 2: 3: 4: 5:  open Semagle.MachineLearning.SVM let svm = SMO.C_SVC train_x train_y (Kernel.rbf 0.1f) { C_p = 1.0f; C_n = 1.0f; epsilon = 0.001f; options = { strategy = SMO.SecondOrderInformation; maxIterations = 1000000; shrinking = true; cacheSize = 200 } } 

### Prediction

Two class prediction function implements the decision rule $$sign(\sum_{i=1}^l y_i\alpha_i K(\mathbf{x}_i, x) + b)$$, where $$K$$ - kernel function, $$\alpha_i$$ - $$i$$-th solution of the dual optimization problem, $$y_i$$ - label of $$i$$-th support vector, $$\mathbf{x}_i$$ - $$i$$-th support vector, $$b$$ - bias value.

 1:  TwoClass.predict svm x 

## One Class Classification

### Training

Function SMO.OneClass finds a solution of the following optimization problem: $\begin{array} \mathop{min}_{\mathbf{w},\rho,\mathbf{\xi}} & \quad \frac{1}{2} \mathbf{w}^T\mathbf{w} - \rho + \frac{1}{\nu l} \sum_{i=1}^l \xi_i \\ \text{subject to} & \quad \mathbf{w}^T\phi(\mathbf{x}_i) \geq \rho - \xi_i \\ & \quad \xi_i \geq 0, i=1, \dots, l \end{array}$ in the dual form: $\begin{array} \mathop{min}_{\mathbf{\alpha}} & \quad \frac{1}{2} \mathbf{\alpha}^TQ\mathbf{w} \\ \text{subject to} & \quad \mathbf{e}^T\mathbf{\alpha} = 1 \\ & \quad 0 \leq \alpha_i \leq \frac{1}{\nu l}, i=1, \dots, l \end{array}$ where $$Q_{ij}=K(\mathbf{x}_i, \mathbf{x}_j)$$.

 1: 2: 3: 4: 5:  open Semagle.MachineLearning.SVM let svm = SMO.OneClass train_x (Kernel.rbf 0.1f) { nu = 0.5f; epsilon = 0.001f; options = { strategy = SMO.SecondOrderInformation; maxIterations = 1000000; shrinking = true; cacheSize = 200 } } 

### Prediction

Two class prediction function implements the decision rule $$sign(\sum_{i=1}^l \alpha_i K(\mathbf{x}_i, x) + \rho)$$, where $$K$$ - kernel function, $$\alpha_i$$ - $$i$$-th solution of the dual optimization problem, $$\mathbf{x}_i$$ - $$i$$-th support vector, $$\rho$$ - bias value.

 1:  OneClass.predict svm x 

## Regression

### Training

Function SMO.C_SVR finds a solution of the following optimization problem: $\begin{array} \mathop{min}_{\mathbf{w},b,\mathbf{\xi}} & \quad \frac{1}{2} \mathbf{w}^T\mathbf{w} + C \sum_{i=1}^l \xi_i + C \sum_{i=1}^l \xi_i^* \\ \text{subject to} & \quad \mathbf{w}^T\phi(\mathbf{x}_i) + b - z_i \leq \eta + \xi_i \\ & \quad z_i - \mathbf{w}^T\phi(\mathbf{x}_i) - b \leq \eta - \xi_i \\ & \quad \xi_i, \xi_i^* \geq 0, i=1, \dots, l \end{array}$ in the dual form: $\begin{array} \mathop{min}_{\mathbf{\alpha}} & \quad \frac{1}{2} (\mathbf{\alpha} - \mathbf{\alpha}^*)^T Q (\mathbf{\alpha} - \mathbf{\alpha}^*) + \eta \sum_{i=1}^l (\alpha_i + \alpha_i^*) + \sum_{i=1}^l (\alpha_i - \alpha_i^*) \\ \text{subject to} & \quad \mathbf{e}^T(\mathbf{\alpha} - \mathbf{\alpha}^*) = 0 \\ & \quad 0 \leq \alpha_i, \alpha_i^* \leq \frac{1}{\nu l}, i=1, \dots, l \end{array}$ where $$Q_{ij}=K(\mathbf{x}_i, \mathbf{x}_j)$$.

 1: 2: 3: 4: 5:  open Semagle.MachineLearning.SVM let svm = SMO.C_SVR train_x train_y (Kernel.rbf 0.1f) { eta = 0.1f; C = 1.0f; epsilon = 0.001f; options = { strategy = SMO.SecondOrderInformation; maxIterations = 1000000; shrinking = true; cacheSize = 200 } } 

### Prediction

Regression function computes the approximation function $$\sum_{i=1}^l (-\alpha_i + \alpha_i^*) K(\mathbf{x}_i, x) + \rho)$$, $$K$$ - kernel function, $$\alpha_i$$ - $$i$$-th solution of the dual optimization problem, $$\mathbf{x}_i$$ - $$i$$-th support vector, $$\rho$$ - bias value.

 1:  Regression.predict svm x 
val svm : obj

Full name: index.svm