A simple yet efficient algorithm for multiple kernel learning under elastic-net constraints

This report presents an algorithm for the solution of multiple kernel learning (MKL) problems with elastic-net constraints on the kernel weights. Please see Sun et al. (2013) and Yang et al. (2011) for a review on multiple kernel learning and its extensions. In particular Yang et al. (2011) introduced the generalized multiple kernel learning (GMKL) model where the kernel weights are subject to elastic-net constraints. While Xu et al. (2010) presents an elegant algorithm to solve MKL problems with L