Implement linear and general SVM

[mdymczyk]

• CUDA implementation takes priority. Then Python API, C++ and R.

• Add unit tests

• Add performance tests comparing to other frameworks

[pseudotensor]

linear SVM already part of pogs, just needs a new matrix multiply piece of code in the src/common/elastic_net* code, and then rest of pogs can handle.

[mdymczyk]

Can we get this done after PCA (#31) or does it make more sense to do this first? I know it's kind of similar but PCA is on the roadmap for this quarter (and apparently more useful), would be cool to have it. @navdeep-G @pseudotensor

[pseudotensor]

You are thinking of SVD, not SVM, right?

[mdymczyk]

@pseudotensor arg yes indeed, wrong ticket. Time to go to bed it seems.

[pseudotensor]

GPUMLib has ANN, SVM and matrix factorization algorithms,
GTSVM has kernelized SVMs, and
cuSVM has SVMs for classification and regression.

[mdymczyk]

@pseudotensor good finds but not sure if we are ok with GPLv3? Think people (and by people I mean corporations) are very hesitant to use GPLv3 software.

[pseudotensor]

ya not suggesting we use them directly, but can learn from them and see if person who made them wants to join us. Don't have to do it all ourselves:)

[pseudotensor]

https://github.com/zeyiwen/thundersvm from @Far0n