Embedded Feature Selection for SVM with integer programming: Feature Selection for the SVM procedure using binary quadratic programming.
Data used: MNIST handwritten digits data.
If you have kaggle data obtainable here :https://www.kaggle.com/c/digit-recognizer/data
Otherwise data also obtainable here : http://yann.lecun.com/exdb/mnist/
See pdf file implementation details.
The gurobi optimisation software is required for the this code.
http://www.gurobi.com/ software is free for academics and universities.