Geodesic
Minimax feature selection problem for constructing a classifier using support vector machines
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 50 (2010) no. 5, pp. 967-976

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A minimax feature selection problem for constructing a classifier using support vector machines is considered. Properties of the solutions of this problem are analyzed. An improvement of the saddle point search algorithm based on extending the bound for the step parameter is proposed. A new nondifferential optimization algorithm is developed that, together with the saddle point search algorithm, forms a hybrid feature selection algorithm. The efficiency of the algorithm for computing Dykstra’s projections as applied for the feature selection problem is experimentally estimated. 
@article{ZVMMF_2010_50_5_a13,
     author = {Yu. V. Goncharov},
     title = {Minimax feature selection problem for constructing a classifier using support vector machines},
     journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
     pages = {967--976},
     publisher = {mathdoc},
     volume = {50},
     number = {5},
     year = {2010},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZVMMF_2010_50_5_a13/}
}
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Yu. V. Goncharov. Minimax feature selection problem for constructing a classifier using support vector machines. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 50 (2010) no. 5, pp. 967-976. http://geodesic.mathdoc.fr/item/ZVMMF_2010_50_5_a13/