## DWDLarge: a MATLAB software for large scale distance weighted discrimination.

### Xin-Yee Lam, J. S. Marron, Defeng Sun, and Kim-Chuan Toh

The software was last updated in 30 Jul 2017.

This software package is for solving the distance weighted discrimination problem of the following form:

where $n$ is the sample size, $d$ is the feature dimension, and $C$ is the penalty parameter. Here, the input $X$ is a $d\times n$ matrix whose columns are the feature vectors, and $y$ is a $n-$vector containing binary classification label $\{-1,1\}$. The notation $Z$ is defined to be $Z:=X \text{diag}(y)$.

The main algorithm for solving $(P)$ is a symmetric Gauss-Seidel based ADMM method. It will output the result $(r,\xi,w,\beta)$ for which $w^T x + \beta = 0$ is a hyperplane separating the two classes of data and $\xi$ is a slack variable to allow the possibility that the positive and negative data points may not be separated cleanly by the hyperplane.

For more details, please see the 'README' file in the package.

##### Important note:
• The software is still under development. Thus it will invariably be buggy. We would appreciate your feedback and bugs' report to the corresponding author: Kim-Chuan Toh, email: mattohkc@nus.edu.sg.
• This is a research software. It is not intended nor designed to be a general purpose software at the moment.

##### Citation:

Lam, X.Y., Marron, J.S., Sun, D.F., and Toh, K.C. (2018), Fast algorithms for large scale generalized distance weighted discrimination, Journal of Computational and Graphical Statistics, 27(2), 368-379.

>> unzip DWDLarge.zip
xxxxxxxxxx>> Installmex_DWD
xxxxxxxxxx>> DWDdemo