Lecture 2 Piecewise-linear optimization

Approximate linear separation of non-separable sets
minimize
N∑
max{0,1−s i (a T v i +b)}
i=1
• penalty 1−s i (a T i v i+b) for misclassifying point v i
• can be interpreted as a heuristic for minimizing #misclassified points
• a piecewise-linear minimization problem with variables a, b
Piecewise-linear optimization 2–21