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Machine Learning Summer School on Theory and Practice of Computational Learning

Optimization Algorithms in Support Vector Machines

author: Stephen J. Wright, Computer Sciences Department, University of Wisconsin - Madison

Description

This talk presents techniques for nonstationarity detection in the context of speech and audio waveforms, with broad application to any class of time series that exhibits locally stationary behavior. Many such waveforms, in particular information-carrying natural sound signals, exhibit a degree of controlled nonstationarity, and are often well modeled as slowly time-varying systems. The talk first describes the basic concepts of such systems and their analysis via local Fourier methods. Parametric approaches appropriate for speech are then introduced by way of time-varying autoregressive models, along with nonparametric approaches based on variation of time-localized estimates of the power spectral density of an observed random process, along with an efficient offline bootstrap procedure based on the Wold representation. Several real-world examples are given.

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Slides
0:00 Optimization Algorithms in Support Vector Machines
0:25 Summary
1:22 Themes
2:50 Sparse / Regularized Optimization
4:41 Regularized Formulations
5:34 Example: Compressed Sensing
6:48 Example: TV-regularized image denoising
7:29 Example: Cancer Radiotherapy
8:56 Example: Matrix Completion
10:15 Solving Regularized Formulations
11:37 SVM Classification: Primal
13:41 Dual
14:39 Kernel Trick, RKHS (1)
15:35 Kernel Trick, RKHS (2)
15:58 Solving the Primal and (Kernelized) Dual
16:50 Solving the Dual
17:49 Dual SVM: Coordinate Descent
18:42 Dual SVM: Gradient Projection
20:34 Dual SVM: Decomposition (1)
21:15 Dual SVM: Decomposition (2)
22:44 Dual SVM: Active-Set (1)
23:49 Dual SVM: Active-Set (2)
24:18 Dual SVM: Interior-Point
25:42 Low-rank Approx + Active Set
26:49 Solving the Primal
27:22 Primal SVM: Cutting Plane (1)
28:47 Primal SVM: Cutting Plane (2)
29:39 Primal SVM: Stochastic Subgradient
30:56 Stochastic Subgradient
31:45 Stochastic Approximation Viewpoint
33:22 Primal-Dual Approaches
34:39 Discretized TV Denoising
37:13 Min-Max Formulation
39:31 PD Method for Semiparametric SVM Regression (1)
40:55 PD Method for Semiparametric SVM Regression (2)
40:58 PD Method for Semiparametric SVM Regression (3)
41:48 PD Method for Semiparametric SVM Regression (2)
42:26 PD Method for Semiparametric SVM Regression (3)
42:28 Alternative Formulations: ||kw||1
43:13 Elastic Net
43:46 SpaRSA (1)
46:20 SpaRSA (2)
46:31 SpaRSA (1)
46:59 SpaRSA (2)
47:02 Logistic Regression (1)
47:35 Logistic Regression (2)
48:12 References (1)
48:17 References (2)
48:17 References (3)

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