Given a set of points $XinRe^D$, they have labels $Yin${$-1,+1$}. I would like to separate the data labeled +1 and the data labeled -1 by a polyhedron.
$min_w sum_i xi_i + frac{1}{2}|w|_2^2$
subject to: $ xi_i > max_{j=1}^K[1-(w_j^Tx_i+b_j)]$, for $y_i=+1$
and $ xi_i > min_{j=1}^K[1+(w_j^Tx_i+b_j)]$, for $y_i=-1$
and $ xi_i > 0 $, for all $i$.
Where K is the number of faces of the polyhedron, i represents each sample, j represents each face of the polyhedron. I assume that all positive data go inside the polyhedron while negative data are outside. Following the max-margin principle, we let the distance of the point to the face offset by a margin 1.
Optimizing with the first constraint is straightforward. But the second one seems difficult.
Is there anyway to optimize them in a fast way to the optimal?
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