On Mon, Jan 13, 2014 at 5:09 PM, florian.wilh...@gmail.com <
florian.wilh...@gmail.com> wrote:
>
> So setting epsilon=0 and C to a large value should result in a
> regression in the L1 norm with almost no regularization of w, right?.
> One thing that just crossed my mind. Would it be possible in a linear
> SVR setting to let the norm(w) term [in the primal objective funtion]
> be in the L1 norm in order to get some sparsity like in Lasso?
>
That's definitely possible. If your dataset is not too large, you can
formulate the objective as a linear program (LP) and use an LP solver to
find the solution.
Mathieu
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