PROBE: Periodic Random Orbiter Algorithm for Machine Learning

We present a new algorithm, which we call PROBE, to find the minimum of a convex function. Such a minimization is important in many machine learning methods, including Support Vector Machines (SVM). We show that PROBE is a viable alternative to published algorithms for SVM learning with several important advantages. PROBE is a simple and easily programmed algorithm, with a well-defined, parametrized stopping criterion; it is not limited to SVM, but can be applied to other convex loss functions, such as the Huber and Maximum Entropy models; and its time and memory requirements are consistently modest in handling very large training sets.