Semagle.Framework :: Semagle.MachineLearning.SVM


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 \(Q_{ij}=y_iy_jK(\mathbf{x}_i, \mathbf{x}_j)\).

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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<MB> } }

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.

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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 \(Q_{ij}=K(\mathbf{x}_i, \mathbf{x}_j)\).

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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<MB> } }

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.

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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 \(Q_{ij}=K(\mathbf{x}_i, \mathbf{x}_j)\).

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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<MB> } }

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.

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Regression.predict svm x                                      
val svm : obj

Full name: index.svm
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