Epigraphical proximal projection for sparse multiclass SVM

Sparsity inducing penalizations are useful tools in variational methods for machine learning. In this paper, we design a learning algorithm for multiclass support vector machines that allows us to enforce sparsity through various nonsmooth regularizations, such as the mixed ℓ_{1, p}-norm with p ≥ 1. The proposed constrained convex optimization approach involves an epigraphical constraint for which we derive the closed-form expression of the associated projection. This sparse multiclass SVM problem can be efficiently implemented thanks to the flexibility offered by recent primal-dual proximal algorithms. Experiments carried out for handwritten digits demonstrate the interest of considering nonsmooth sparsity-inducing regularizations and the efficiency of the proposed epigraphical projection method.