% Section 8.6.1, Boyd & Vandenberghe "Convex Optimization"
% Original by Lieven Vandenberghe
% Adapted for CVX by Joelle Skaf - 10/16/05
% (a figure is generated)
%
% The goal is to find a function f(x) = a'*x - b that classifies the non-
% separable points {x_1,...,x_N} and {y_1,...,y_M} by allowing some
% misclassification. a and b can be obtained by solving the following
% problem:
%           minimize    1'*u + 1'*v
%               s.t.    a'*x_i - b >= 1 - u_i        for i = 1,...,N
%                       a'*y_i - b <= -(1 - v_i)     for i = 1,...,M
%                       u >= 0 and v >= 0

% data generation
n = 2;
randn('state',2);
N = 50; M = 50;
Y = [1.5+0.9*randn(1,0.6*N), 1.5+0.7*randn(1,0.4*N);
     2*(randn(1,0.6*N)+1), 2*(randn(1,0.4*N)-1)];
X = [-1.5+0.9*randn(1,0.6*M),  -1.5+0.7*randn(1,0.4*M);
      2*(randn(1,0.6*M)-1), 2*(randn(1,0.4*M)+1)];
T = [-1 1; 1 1];
Y = T*Y;  X = T*X;

% Solution via CVX
cvx_begin
    variables a(n) b(1) u(N) v(M)
    minimize (ones(1,N)*u + ones(1,M)*v)
    X'*a - b >= 1 - u;
    Y'*a - b <= -(1 - v);
    u >= 0;
    v >= 0;
cvx_end

% Displaying results
linewidth = 0.5;  % for the squares and circles
t_min = min([X(1,:),Y(1,:)]);
t_max = max([X(1,:),Y(1,:)]);
tt = linspace(t_min-1,t_max+1,100);
p = -a(1)*tt/a(2) + b/a(2);
p1 = -a(1)*tt/a(2) + (b+1)/a(2);
p2 = -a(1)*tt/a(2) + (b-1)/a(2);

graph = plot(X(1,:),X(2,:), 'o', Y(1,:), Y(2,:), 'o');
set(graph(1),'LineWidth',linewidth);
set(graph(2),'LineWidth',linewidth);
set(graph(2),'MarkerFaceColor',[0 0.5 0]);
hold on;
plot(tt,p, '-r', tt,p1, '--r', tt,p2, '--r');
axis equal
title('Approximate linear discrimination via linear programming');
% print -deps svc-discr.eps

 
Calling Mosek 9.1.9: 203 variables, 100 equality constraints
------------------------------------------------------------

MOSEK Version 9.1.9 (Build date: 2019-11-21 11:32:15)
Copyright (c) MOSEK ApS, Denmark. WWW: mosek.com
Platform: MACOSX/64-X86

Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : LO (linear optimization problem)
  Constraints            : 100             
  Cones                  : 0               
  Scalar variables       : 203             
  Matrix variables       : 0               
  Integer variables      : 0               

Optimizer started.
Presolve started.
Linear dependency checker started.
Linear dependency checker terminated.
Eliminator started.
Freed constraints in eliminator : 0
Eliminator terminated.
Eliminator - tries                  : 1                 time                   : 0.00            
Lin. dep.  - tries                  : 1                 time                   : 0.00            
Lin. dep.  - number                 : 0               
Presolve terminated. Time: 0.00    
Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : LO (linear optimization problem)
  Constraints            : 100             
  Cones                  : 0               
  Scalar variables       : 203             
  Matrix variables       : 0               
  Integer variables      : 0               

Optimizer  - threads                : 8               
Optimizer  - solved problem         : the dual        
Optimizer  - Constraints            : 3
Optimizer  - Cones                  : 0
Optimizer  - Scalar variables       : 100               conic                  : 0               
Optimizer  - Semi-definite variables: 0                 scalarized             : 0               
Factor     - setup time             : 0.00              dense det. time        : 0.00            
Factor     - ML order time          : 0.00              GP order time          : 0.00            
Factor     - nonzeros before factor : 6                 after factor           : 6               
Factor     - dense dim.             : 0                 flops                  : 1.21e+03        
ITE PFEAS    DFEAS    GFEAS    PRSTATUS   POBJ              DOBJ              MU       TIME  
0   4.0e+00  4.5e+01  2.0e+02  0.00e+00   0.000000000e+00   1.000000000e+02   4.0e+00  0.00  
1   1.6e+00  1.8e+01  7.7e+01  1.00e+00   1.326796838e+01   5.217637579e+01   1.6e+00  0.01  
2   3.4e-01  3.9e+00  1.7e+01  8.00e-01   1.276465396e+01   2.276054023e+01   3.4e-01  0.01  
3   9.4e-02  1.1e+00  4.6e+00  7.29e-01   1.056871385e+01   1.373372432e+01   9.4e-02  0.01  
4   5.7e-02  6.4e-01  2.8e+00  6.95e-01   9.981841488e+00   1.207699096e+01   5.7e-02  0.01  
5   2.4e-02  2.7e-01  1.2e+00  5.28e-01   9.577353165e+00   1.084650474e+01   2.4e-02  0.01  
6   1.5e-02  1.7e-01  7.4e-01  -2.38e-01  9.090838843e+00   1.021931758e+01   1.5e-02  0.01  
7   7.1e-03  8.0e-02  3.5e-01  7.88e-01   7.843975801e+00   8.411374355e+00   7.1e-03  0.01  
8   5.3e-03  6.0e-02  2.6e-01  3.60e-01   7.713726063e+00   8.230116821e+00   5.3e-03  0.01  
9   4.2e-03  4.7e-02  2.1e-01  7.82e-01   7.375338663e+00   7.795080822e+00   4.2e-03  0.01  
10  8.1e-04  9.2e-03  4.0e-02  9.81e-01   6.402420149e+00   6.483453549e+00   8.1e-04  0.01  
11  6.0e-04  6.7e-03  2.9e-02  7.09e-01   6.352875466e+00   6.418381327e+00   6.0e-04  0.01  
12  9.4e-05  1.1e-03  4.7e-03  9.89e-01   6.180539134e+00   6.190871435e+00   9.4e-05  0.01  
13  3.8e-07  4.3e-06  1.9e-05  9.96e-01   6.148692445e+00   6.148734520e+00   3.8e-07  0.01  
14  3.9e-11  4.4e-10  1.9e-09  1.00e+00   6.148569445e+00   6.148569449e+00   3.9e-11  0.01  
Basis identification started.
Primal basis identification phase started.
Primal basis identification phase terminated. Time: 0.00
Dual basis identification phase started.
Dual basis identification phase terminated. Time: 0.00
Basis identification terminated. Time: 0.00
Optimizer terminated. Time: 0.02    


Interior-point solution summary
  Problem status  : PRIMAL_AND_DUAL_FEASIBLE
  Solution status : OPTIMAL
  Primal.  obj: 6.1485694488e+00    nrm: 2e+01    Viol.  con: 4e-11    var: 0e+00  
  Dual.    obj: 6.1485694488e+00    nrm: 1e+00    Viol.  con: 0e+00    var: 8e-09  

Basic solution summary
  Problem status  : PRIMAL_AND_DUAL_FEASIBLE
  Solution status : OPTIMAL
  Primal.  obj: 6.1485694227e+00    nrm: 2e+01    Viol.  con: 2e-08    var: 0e+00  
  Dual.    obj: 6.1485694323e+00    nrm: 1e+00    Viol.  con: 0e+00    var: 3e-15  
Optimizer summary
  Optimizer                 -                        time: 0.02    
    Interior-point          - iterations : 14        time: 0.01    
      Basis identification  -                        time: 0.00    
        Primal              - iterations : 0         time: 0.00    
        Dual                - iterations : 0         time: 0.00    
        Clean primal        - iterations : 0         time: 0.00    
        Clean dual          - iterations : 0         time: 0.00    
    Simplex                 -                        time: 0.00    
      Primal simplex        - iterations : 0         time: 0.00    
      Dual simplex          - iterations : 0         time: 0.00    
    Mixed integer           - relaxations: 0         time: 0.00    

------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +6.14857