Support vector machines based on convex risk functions and general norms

DOI10.1007/s10479-016-2326-xzbMath1404.68104OpenAlexW2524359883MaRDI QIDQ513637

Stan Uryasev, Jun-Ya Gotoh

Publication date: 7 March 2017

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2326-x

zbMATH Keywords

normdualityrobust optimizationsupport vector machineSVMbinary classificationconvex risk function

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Learning and adaptive systems in artificial intelligence (68T05)

Related Items

Zeroth-Order Stochastic Compositional Algorithms for Risk-Aware Learning, New method for solving Ivanov regularization-based support vector machine learning, Robust and distributionally robust optimization models for linear support vector machine, A survey of decision making and optimization under uncertainty, Support vector machines based on convex risk functions and general norms, Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures, Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization

Uses Software

• CVX
• AdaBoost.MH
• Portfolio Safeguard

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