A Sequential Minimal Optimization for the Principle of Relevant Information
نویسنده
چکیده
In this report, we present a sequential minimal optimization routine for the principle of relevant information. The optimization problem is broken down into smaller subproblems that can be solved sequentially. Conditions under which this approach is feasible are verified and an algorithm is proposed. Although the algorithm has computation complexity can be O(n), the memory complexity is linear in the size of the sample allowing for larger data sets that are common in practical applications.
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