On L_1-Norm Multi-class Support Vector Machines

Binary support vector machines (SVM) have proven effective in classification. However, problems remain with respect to feature selection in multi-class classification. This article proposes a novel multi-class SVM, which performs classification and feature selection simultaneously via L₁-norm penalized sparse representations. The proposed methodology, together with our developed regularization solution path, permits feature selection within the framework of classification. The operational characteristics of the proposed methodology is examined via both simulated and benchmark examples, and is compared to some competitors in terms of the accuracy of prediction and feature selection. The numerical results suggest that the proposed methodology is highly competitive