Support Vector Machines with Constraints for Sparsity in the Primal Parameters

This paper introduces a new support vector machine (SVM) formulation to obtain sparse solutions in the primal SVM parameters, providing a new method for feature selection based on SVMs. This new approach includes additional constraints to the classical ones that drop the weights associated to those features that are likely to be irrelevant. A nu-SVM formulation has been used, where nu indicates the fraction of features to be considered. This paper presents two versions of the proposed sparse classifier, a 2-norm SVM and a 1-norm SVM, the latter having a reduced computational burden with respect to the first one. Additionally, an explanation is provided about how the presented approach can be readily extended to multiclass classification or to problems where groups of features, rather than isolated features, need to be selected. The algorithms have been tested in a variety of synthetic and real data sets and they have been compared against other state of the art SVM-based linear feature selection methods, such as 1-norm SVM and doubly regularized SVM. The results show the good feature selection ability of the approaches.