Robust chance-constrained support vector machines with second-order moment information

Ximing Wang, Neng Fan, Panos M. Pardalos

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

Support vector machines (SVM) is one of the well known supervised classes of learning algorithms. Basic SVM models are dealing with the situation where the exact values of the data points are known. This paper studies SVM when the data points are uncertain. With some properties known for the distributions, chance-constrained SVM is used to ensure the small probability of misclassification for the uncertain data. As infinite number of distributions could have the known properties, the robust chance-constrained SVM requires efficient transformations of the chance constraints to make the problem solvable. In this paper, robust chance-constrained SVM with second-order moment information is studied and we obtain equivalent semidefinite programming and second order cone programming reformulations. The geometric interpretation is presented and numerical experiments are conducted. Three types of estimation errors for mean and covariance information are studied in this paper and the corresponding formulations and techniques to handle these types of errors are presented.

Original languageEnglish (US)
JournalAnnals of Operations Research
DOIs
StateAccepted/In press - Oct 12 2015

Fingerprint

Support vector machine
Semidefinite programming
Misclassification
Chance constraints
Programming
Numerical experiment
Learning algorithm
Estimation error

Keywords

  • Estimation errors
  • Robust chance constraints
  • Second order cone programming
  • Second-order moment information
  • Semidefinite programming
  • Support vector machines

ASJC Scopus subject areas

  • Management Science and Operations Research
  • Decision Sciences(all)

Cite this

Robust chance-constrained support vector machines with second-order moment information. / Wang, Ximing; Fan, Neng; Pardalos, Panos M.

In: Annals of Operations Research, 12.10.2015.

Research output: Contribution to journalArticle

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