gensvm: A Generalized Multiclass Support Vector Machine

The GenSVM classifier is a generalized multiclass support vector machine (SVM). This classifier aims to find decision boundaries that separate the classes with as wide a margin as possible. In GenSVM, the loss function is very flexible in the way that misclassifications are penalized. This allows the user to tune the classifier to the dataset at hand and potentially obtain higher classification accuracy than alternative multiclass SVMs. Moreover, this flexibility means that GenSVM has a number of other multiclass SVMs as special cases. One of the other advantages of GenSVM is that it is trained in the primal space, allowing the use of warm starts during optimization. This means that for common tasks such as cross validation or repeated model fitting, GenSVM can be trained very quickly. Based on: G.J.J. van den Burg and P.J.F. Groenen (2018) <https://www.jmlr.org/papers/v17/14-526.html>.

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