Duals of the QCQP and SDP Sparse SVM

This is the technical report that accompanies the ICML 2007 paper “Direct Convex Relaxations of Sparse SVM” (Chan et al., 2007). In this report, we derive the dual problems for the SDP and QCQP relaxations of the sparse SVM. Author email: abchan@ucsd.edu c ©University of California San Diego, 2007 This work may not be copied or reproduced in whole or in part for any commercial purpose. Permission to copy in whole or in part without payment of fee is granted for nonprofit educational and research purposes provided that all such whole or partial copies include the following: a notice that such copying is by permission of the Statistical Visual Computing Laboratory of the University of California, San Diego; an acknowledgment of the authors and individual contributors to the work; and all applicable portions of the copyright notice. Copying, reproducing, or republishing for any other purpose shall require a license with payment of fee to the University of California, San Diego. All rights reserved. SVCL Technical reports are available on the SVCL’s web page at http://www.svcl.ucsd.edu University of California, San Diego Statistical Visual Computing Laboratory 9500 Gilman Drive, Mail code 0407 EBU 1, Room 5512 La Jolla, CA 92093-0407