D.C. programming for sparse proximal support vector machines

Abstract Proximal support vector machine (PSVM), as a variant of support vector machine (SVM), is to generate a pair of non-parallel hyperplanes for classification. Although PSVM is one of the powerful classification tools, its ability on feature selection is still weak. To overcome this defect, we introduce l 0 -norm regularization in PSVM which enables PSVM to select important features and remove redundant features simultaneously for classification. This PSVM is called as a sparse proximal support vector machine (SPSVM). Due to the presence of l 0 -norm, the resulting optimization problem of SPSVM is neither convex nor smooth and thus, is difficult to solve. In this paper, we introduce a continuous nonconvex function to approximate l 0 -norm, and propose a novel difference of convex functions algorithms (DCA) to solve SPSVM. The main merit of the proposed method is that all subproblems are smooth and admit closed form solutions. The effectiveness of the proposed method is illustrated by theoretical analysis as well as some numerical experiments on both simulation datasets and real world datasets.