Hi Marlene,
I'm going to cut out much of your post and just cut to the chase:
On Sep 1, 2009, at 9:03 AM, marlene marchena wrote:
Looking only to prediction purpose the scale model is good but Im
mainly
interested in w. Is it possible to improve this model to get lower
values to
w? Actually Im trying to run the SVM-GARCH and one condition to the
model
is that the sum of
ws <1 (in my model I have only two independent variables).
If you have any idea how to improve the model or if you find any
problem
with it please let me now.
In principle you should be able to do what you're after (of
course :-), but I'm pretty sure you won't be able to do this using
the e1071 package since you're imposing a linear constraint on w (this
is almost like an l1 w/o using absolute vals of w's components, no?),
while e1071::svm is solving a convex constraint (l2 on w).
You say you're "mainly interested in w," so are you looking for a
means of doing feature selection? You can stick with e1071 and try
doing recursive feature elimination (google it, you'll find mucho (aka
SVM RFE)), or you can rig up an l1-svm which is already implemented
for you in the penalized svm package (haven't used it myself):
cran: http://cran.r-project.org/web/packages/penalizedSVM/index.html
publication:
http://bioinformatics.oxfordjournals.org/cgi/content/full/25/13/1711
Does that help?
-steve
--
Steve Lianoglou
Graduate Student: Computational Systems Biology
| Memorial Sloan-Kettering Cancer Center
| Weill Medical College of Cornell University
Contact Info: http://cbio.mskcc.org/~lianos/contact
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