In this paper we propose solving localized multiple kernel learning (LMKL) using LMKL-Net, a feedforward deep neural network. In contrast to previous works, as a learning principle we propose parameterizing both the gating function for learning kernel combination weights and the multiclass classifier in LMKL using an attentional network (AN) and a multilayer perceptron (MLP), respectively. In this way we can learn the (nonlinear) decision function in LMKL (approximately) by sequential applications of AN and MLP. Empirically on benchmark datasets we demonstrate that overall LMKL-Net can not only outperform the state-of-the-art MKL solvers in terms of accuracy, but also be trained about two orders of magnitude faster with much smaller memory footprint for large-scale learning.
Many state-of-the-art approaches for Multi Kernel Learning (MKL) struggle at finding a compromise between performance, sparsity of the solution and speed of the optimization process. In this paper we look at the MKL problem at the same time from a learning and optimization point of view. So, instead of designing a regularizer and then struggling to find an efficient method to minimize it, we design the regularizer while keeping the optimization algorithm in mind. Hence, we introduce a novel MKL formulation, which mixes elements of p-norm and elastic-net kind of regularization. We also propose a fast stochastic gradient descent method that solves the novel MKL formulation. We show theoretically and empirically that our method has 1) state-of-the-art performance on many classification tasks; 2) exact sparse solutions with a tunable level of sparsity; 3) a convergence rate bound that depends only logarithmically on the number of kernels used, and is independent of the sparsity required; 4) independence on the particular convex loss function used. We present a geometric formulation of the Multiple Kernel Learning (MKL) problem. To do so, we reinterpret the problem of learning kernel weights as searching for a kernel that maximizes the minimum (kernel) distance between two convex polytopes. This interpretation combined with novel structural insights from our geometric formulation allows us to reduce the MKL problem to a simple optimization routine that yields provable convergence as well as quality guarantees. As a result our method scales efficiently to much larger data sets than most prior methods can handle. Empirical evaluation on eleven datasets shows that we are significantly faster and even compare favorably with a uniform unweighted combination of kernels.  Multiple Kernel Learning (MKL) aims to learn the kernel in an SVM from training data. Many MKL formulations have been proposed and some have proved effective in certain applications. Nevertheless, as MKL is a nascent field, many more formulations need to be developed to generalize across domains and meet the challenges of real world applications. However, each MKL formulation typically necessitates the development of a specialized optimization algorithm. The lack of an efficient, general purpose optimizer capable of handling a wide range of formulations presents a significant challenge to those looking to take MKL out of the lab and into the real world. This problem was somewhat alleviated by the development of the Generalized Multiple Kernel Learning (GMKL) formulation which admits fairly general kernel parameterizations and regularizers subject to mild constraints. However, the projected gradient descent GMKL optimizer is inefficient as the computation of the step size and a reasonably accurate objective function value or gradient direction are all expensive. We overcome these limitations by developing a Spectral Projected Gradient (SPG) descent optimizer which: a) takes into account second order information in selecting step sizes; b) employs a non-monotone step size selection criterion requiring fewer function evaluations; c) is robust to gradient noise, and d) can take quick steps when far away from the optimum. We show that our proposed SPG-GMKL optimizer can be an order of magnitude faster than projected gradient descent on even small and medium sized datasets. In some cases, SPG-GMKL can even outperform state-of-the-art specialized optimization algorithms developed for a single MKL formulation. Furthermore, we demonstrate that SPG-GMKL can scale well beyond gradient descent to large problems involving a million kernels or half a million data points. Our code and implementation are available publically. While classical kernel-based learning algorithms are based on a single kernel, in practice it is often desirable to use multiple kernels. (2004) considered conic combinations of kernel matrices for classification, leading to a convex quadratically constrained quadratic program. We show that it can be rewritten as a semi-infinite linear program that can be efficiently solved by recycling the standard SVM implementations. Moreover, we generalize the formulation and our method to a larger class of problems, including regression and one-class classification. Experimental results show that the proposed algorithm works for hundred thousands of examples or hundreds of kernels to be combined, and helps for automatic model selection, improving the interpretability of the learning result. In a second part we discuss general speed up mechanism for SVMs, especially when used with sparse feature maps as appear for string kernels, allowing us to train a string kernel SVM on a 10 million real-world splice data set from computational biology. We integrated multiple kernel learning in our machine learning toolbox SHOGUN for which the source code is publicly available at http: www.fml.tuebingen.mpg.de raetsch projects shogun . In recent years there has been a lot of interest in designing principled classification algorithms over multiple cues, based on the intuitive notion that using more features should lead to better performance. In the domain of kernel methods, a principled way to use multiple features is the Multi Kernel Learning (MKL) approach. Here we present a MKL optimization algorithm based on stochastic gradient descent that has a guaranteed convergence rate. We directly solve the MKL problem in the primal formulation. By having a p-norm formulation of MKL, we introduce a parameter that controls the level of sparsity of the solution, while leading to an easier optimization problem. We prove theoretically and experimentally that 1) our algorithm has a faster convergence rate as the number of kernels grows; 2) the training complexity is linear in the number of training examples; 3) very few iterations are sufficient to reach good solutions. Experiments on standard benchmark databases support our claims.  