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Old 05-20-2013, 10:39 PM
jforbes jforbes is offline
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Join Date: Apr 2013
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Default Re: Q8-Q10, computing b, Ein non-zero

Quote:
Originally Posted by marek View Post
I'm having a similar issue and am using python cvxopt. First off the alphas are never identically 0. They are extremely close, but always just a little bit off. Is it supposed to give identically 0, or is what I'm experiencing typical?

As a result, in the calculation of w, I ignored alpha's that were not at least 10^-5 away from 0. And then depending on which remaining SV I select, my b values differ very slightly. As a result, I imagine this is what is causing a small fraction of cases to have nonzero Ein (however in my case, its very rare. Only 2 out of 1000).

I am quite unhappy with how things are turning out, as none of this feels right. But unfortunately I have no idea how to fix it -- this seems to be internal to this QP solver.
Same here. I'm about to follow the advice on this thread http://book.caltech.edu/bookforum/showthread.php?t=1209
i.e. using all the alpha's, not just those with |alpha| > 1e-5 to calculate w.

I also seem to remember a thread which I can't find right now which suggests changing the tolerance parameters of cvxopt. This page has the relevant options: http://abel.ee.ucla.edu/cvxopt/userg...thm-parameters
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