Optimal Feasible Step-size Based Working Set Selection for Large Scale SVMs Training

Effcient training of support vector machines (SVMs) with large-scale samples is of crucial importance in the era of big data. Sequential minimal optimization (SMO) is considered as an effective solution to this challenging task, and the working set selection is one of the key steps in SMO. Various strategies have been developed and implemented for working set selection in LibSVM and Shark. In this work we point out that the algorithm used in LibSVM does not maintain the box-constraints which, nevertheless, are very important for evaluating the final gain of the selection operation. Here, we propose a new algorithm to address this challenge. The proposed algorithm maintains the box-constraints within a selection procedure using a feasible optional step-size. We systematically study and compare several related algorithms, and derive new theoretical results. Experiments on benchmark data sets show that our algorithm effectively improves the training speed without loss of accuracy