Column-and-constraint-generation-for-L1-SVM-and-cousins

This is a solver for L1-SVM and related problems using linear program with column and constraint generations. For details see https://arxiv.org/abs/1901.01585.

Examples

See the Main folder for a few examples:

1. example_L1_SVM_n_small_p_large.ipynb: This is an example of L1-SVM when n is small and p is large.

2. example_L1_SVM_n_large_p_small.ipynb: This is an example of L1-SVM when n is large and p is small.

3. example_L1_SVM_n_large_p_large.ipynb: This is an example of L1-SVM when both n and p are large.

4. example_group_SVM_n_small_p_large.ipynb: This is an example of Group-SVM when n is small and p is large.

5. example_slope_SVM_n_small_p_large.ipynb: This is an example of Slope-SVM when n is small and p is large.