Generalized support vector regression: duality and tensor-kernel representation

Abstract: In this paper we study the variational problem associated to support vector regression in Banach function spaces. Using the Fenchel-Rockafellar duality theory, we give explicit formulation of the dual problem as well as of the related optimality conditions. Moreover, we provide a new computational framework for solving the problem which relies on a tensor-kernel representation. This analysis overcomes the typical difficulties connected to learning in Banach spaces. We finally present a large class of tensor-kernels to which our theory fully applies: power series tensor kernels. This type of kernels describe Banach spaces of analytic functions and include generalizations of the exponential and polynomial kernels as well as, in the complex case, generalizations of the Szeg\"o and Bergman kernels.