Implementing a linear, binary SVM (support vector machine) - machine-learning

Question

I want to implement a simple SVM classifier, in the case of high-dimensional binary data (text), for which I think a simple linear SVM is best. The reason for implementing it myself is basically that I want to learn how it works, so using a library is not what I want.
The problem is that most tutorials go up to an equation that can be solved as a "quadratic problem", but they never show an actual algorithm! So could you point me either to a very simple implementation I could study, or (better) to a tutorial that goes all the way to the implementation details?
Thanks a lot!

Answer 1

Some pseudocode for the Sequential Minimal Optimization (SMO) method can be found in this paper by John C. Platt: Fast Training of Support Vector Machines using Sequential Minimal Optimization. There is also a Java implementation of the SMO algorithm, which is developed for research and educational purpose (SVM-JAVA).
Other commonly used methods to solve the QP optimization problem include:
constrained conjugate gradients
interior point methods
active set methods
But be aware that some math knowledge is needed to understand this things (Lagrange multipliers, Karush–Kuhn–Tucker conditions, etc.).

Answer 2

Are you interested in using kernels or not? Without kernels, the best way to solve these kinds of optimization problems is through various forms of stochastic gradient descent. A good version is described in http://ttic.uchicago.edu/~shai/papers/ShalevSiSr07.pdf and that has an explicit algorithm.
The explicit algorithm does not work with kernels but can be modified; however, it would be more complex, both in terms of code and runtime complexity.

Answer 3

Have a look at liblinear and for non linear SVM's at libsvm

Answer 4

The following paper "Pegasos: Primal Estimated sub-GrAdient SOlver for SVM" top of page 11 describes the Pegasos algorithm also for kernels.It can be downloaded from http://ttic.uchicago.edu/~nati/Publications/PegasosMPB.pdf
It appears to be a hybrid of coordinate descent and subgradient descent. Also, line 6 of the algorithm is wrong. In the predicate the second appearance of y_i_t should be replaced with y_j instead.

Answer 5

I would like to add a little supplement to the answer about original Platt's work.
There is a bit simplified version presented in Stanford Lecture Notes, but derivation of all the formulas should be found somewhere else (e.g. this random notes I found on the Internet).
If it's ok to deviate from original implementations, I can propose you my own variation of the SMO algorithm that follows.
class SVM:
def __init__(self, kernel='linear', C=10000.0, max_iter=100000, degree=3, gamma=1):
self.kernel = {'poly':lambda x,y: np.dot(x, y.T)**degree,
'rbf':lambda x,y:np.exp(-gamma*np.sum((y-x[:,np.newaxis])**2,axis=-1)),
'linear':lambda x,y: np.dot(x, y.T)}[kernel]
self.C = C
self.max_iter = max_iter
def restrict_to_square(self, t, v0, u):
t = (np.clip(v0 + t*u, 0, self.C) - v0)[1]/u[1]
return (np.clip(v0 + t*u, 0, self.C) - v0)[0]/u[0]
def fit(self, X, y):
self.X = X.copy()
self.y = y * 2 - 1
self.lambdas = np.zeros_like(self.y, dtype=float)
self.K = self.kernel(self.X, self.X) * self.y[:,np.newaxis] * self.y
for _ in range(self.max_iter):
for idxM in range(len(self.lambdas)):
idxL = np.random.randint(0, len(self.lambdas))
Q = self.K[[[idxM, idxM], [idxL, idxL]], [[idxM, idxL], [idxM, idxL]]]
v0 = self.lambdas[[idxM, idxL]]
k0 = 1 - np.sum(self.lambdas * self.K[[idxM, idxL]], axis=1)
u = np.array([-self.y[idxL], self.y[idxM]])
t_max = np.dot(k0, u) / (np.dot(np.dot(Q, u), u) + 1E-15)
self.lambdas[[idxM, idxL]] = v0 + u * self.restrict_to_square(t_max, v0, u)
idx, = np.nonzero(self.lambdas > 1E-15)
self.b = np.sum((1.0-np.sum(self.K[idx]*self.lambdas, axis=1))*self.y[idx])/len(idx)
def decision_function(self, X):
return np.sum(self.kernel(X, self.X) * self.y * self.lambdas, axis=1) + self.b
In simple cases it works not much worth than sklearn.svm.SVC, comparison shown below (I have posted code that generates these images on GitHub)
I used quite different approach to derive formulas, you may want to check my preprint on ResearchGate for details.