Hooke and Jeeves algorithm for linear support vector machine

Coordinate descent method is a unconstrained optimization technique. When it is applied to support vector machine (SVM), at each step the method updates one component of w by solving a one-variable sub-problem while fixing other components. All components of w update after one iteration. Then go to next iteration. Though the method converges and converges fast in the beginning, it converges slow for final convergence. To improve the speed of final convergence of coordinate descent method, Hooke and Jeeves a...