Distance-weighted support vector machine

DOI10.4310/SII.2015.V8.N3.A7MaRDI QIDQ1747458zbMATH OpenFDO

Authors Xingye Qiao, Lingsong Zhang

Publication date 8 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.3003

zbMATH Keywords

discriminant analysisFisher consistencyhigh-dimensionalimbalanced datalow sample size data

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: A novel linear classification method that possesses the merits of both the Support Vector Machine (SVM) and the Distance-weighted Discrimination (DWD) is proposed in this article. The proposed Distance-weighted Support Vector Machine method can be viewed as a hybrid of SVM and DWD that finds the classification direction by minimizing mainly the DWD loss, and determines the intercept term in the SVM manner. We show that our method inheres the merit of DWD, and hence, overcomes the data-piling and overfitting issue of SVM. On the other hand, the new method is not subject to imbalanced data issue which was a main advantage of SVM over DWD. It uses an unusual loss which combines the Hinge loss (of SVM) and the DWD loss through a trick of axillary hyperplane. Several theoretical properties, including Fisher consistency and asymptotic normality of the DWSVM solution are developed. We use some simulated examples to show that the new method can compete DWD and SVM on both classification performance and interpretability. A real data application further establishes the usefulness of our approach.

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