Feature Selection SVM using Penalty Functions
Feature Selection SVM using penalty functions. The smoothly clipped absolute deviation (SCAD) and L1-norm penalties are availible up to now. Other functions will be implemented in the near feature.
The main function is
svmfs, see the documentation file with examples
Zhang, H. H., Ahn, J., Lin, X. and Park, C. (2006). Gene selection using support vector machines with nonconvex penalty. Bioinformatics, 22, pp. 88-95.
Fung, G. and Mangasarian, O. L. (2004). A feature selection newton method for support vector machine classification. Computational Optimization and Applications Journal ,28.2 , pp. 185-202.