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Derive the hard-margin SVM dual

ProofGraduate⏱ 3 hoursClassical MLsvmduallagrangianderivationflagship

Problem

Starting from min⁡12∥w∥22\min\frac12\|w\|_2^2 subject to yi(⟨w,xi⟩+b)≥1y_i(\langle w,x_i\rangle+b)\ge1, derive the dual

max⁡α≥0, α⊤y=0 ∑iαi−12∑i,jαiαjyiyj⟨xi,xj⟩.\max_{\alpha\ge0,\ \alpha^\top y=0}\ \sum_i\alpha_i - \frac12\sum_{i,j}\alpha_i\alpha_jy_iy_j\langle x_i,x_j\rangle .

Explain where the equality constraint comes from, verify strong duality, and give the recovery formulas for w⋆w^\star and b⋆b^\star.

Write a complete argument. Every inequality you use should be one you could state precisely.

Solution

Opening this before you have a real attempt on paper is the fastest way to feel like you understand something you cannot reproduce.

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