Robust Proximal Support Vector Regression Based on Maximum Correntropy Criterion

Algorithm 1

Half-quadratic optimization for RPSVR-MCC.

	Input: Training set , C, σ, γ, K, a integer , and a small real . Initialize , the diagonal matrix , and let .
	Step 1. Solve (25) and (26) to obtain and .
	Step 2. Obtain error variable by (22) and determine by (27).
	Step 3. Build the diagonal matrix and then solve (25) and (26) to obtain and .
	Step 4. Let . If or , go to Step 5, else go to Step 2. Let t = t + 1.
	Step 5. Derive the final regression estimation by (6).