Given a set of points XinReD, they have labels Yin{−1,+1}. I would like to separate the data labeled +1 and the data labeled -1 by a polyhedron.
minwsumixii+frac12|w|22
subject to: xii>maxKj=1[1−(wTjxi+bj)], for yi=+1
and xii>minKj=1[1+(wTjxi+bj)], for yi=−1
and xii>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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