Multiclass Probability Estimation With Support Vector Machines

Xin Wang, Hao Zhang, Yichao Wu

Research output: Contribution to journalArticle

Abstract

Multiclass classification and probability estimation have important applications in data analytics. Support vector machines (SVMs) have shown great success in various real-world problems due to their high classification accuracy. However, one main limitation of standard SVMs is that they do not provide class probability estimates, and thus fail to offer uncertainty measure about class prediction. In this article, we propose a simple yet effective framework to endow kernel SVMs with the feature of multiclass probability estimation. The new probability estimator does not rely on any parametric assumption on the data distribution, therefore, it is flexible and robust. Theoretically, we show that the proposed estimator is asymptotically consistent. Computationally, the new procedure can be conveniently implemented using standard SVM softwares. Our extensive numerical studies demonstrate competitive performance of the new estimator when compared with existing methods such as multiple logistic regression, linear discrimination analysis, tree-based methods, and random forest, under various classification settings. Supplementary materials for this article are available online.

Original languageEnglish (US)
JournalJournal of Computational and Graphical Statistics
DOIs
StatePublished - Jan 1 2019

Keywords

  • LDA
  • Logistic regression
  • Multiclass classification
  • Probability estimation
  • Support vector machines

ASJC Scopus subject areas

  • Statistics and Probability
  • Discrete Mathematics and Combinatorics
  • Statistics, Probability and Uncertainty

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