But How Does It Work in Theory? Linear SVM with Random Features
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We prove that, under low noise assumptions, the support vector machine with N≪ m random features (RFSVM) can achieve the learning rate faster than O(1/√(m)) on a training set with m samples when an optimized feature map is used. Our work extends the previous fast rate analysis of random features method from least square loss to 0-1 loss. We also show that the reweighted feature selection method, which approximates the optimized feature map, helps improve the performance of RFSVM in experiments on a synthetic data set.
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