Design of a multiple kernel learning algorithm for LS-SVM by convex programming

As a kernel based method, the performance of least squares support vector machine (LS-SVM) depends on the selection of the kernel as well as the regularization parameter (Duan, Keerthi, & Poo, 2003). Cross-validation is efficient in selecting a single kernel and the regularization parameter; however, it suffers from heavy computational cost and is not flexible to deal with multiple kernels. In this paper, we address the issue of multiple kernel learning for LS-SVM by formulating it as semidefinite programming (SDP). Furthermore, we show that the regularization parameter can be optimized in a unified framework with the kernel, which leads to an automatic process for model selection. Extensive experimental validations are performed and analyzed.