Extended robust support vector machine based on financial risk minimization

DOI10.1162/NECO_A_00647MaRDI QIDQ5383801zbMATH OpenOpenAlexWikidataFDO

Authors Akiko Takeda, Shuhei Fujiwara, Takafumi Kanamori

Publication date 20 June 2019

Published in Neural Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1162/neco_a_00647

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Financial applications of other theories (91G80)

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Cites work

• 10.1162/153244303321897726
• A unified classification model based on robust optimization
• Coherent measures of risk
• scientific article; zbMATH DE number 47593 (Why is no real title available?)
• scientific article; zbMATH DE number 1950576 (Why is no real title available?)
• scientific article; zbMATH DE number 1836444 (Why is no real title available?)
• Minimum distance to the complement of a convex set: Duality result
• On ψ-Learning
• Pattern recognition and machine learning.
• Robust optimization
• Robust Truncated Hinge Loss Support Vector Machines
• Support Vector Machines with the Ramp Loss and the Hard Margin Loss
• Support-vector networks
• Value-at-risk support vector machine: stability to outliers

Cited in

(8)

• A robust approach based on conditional value-at-risk measure to statistical learning problems
• Interaction between financial risk measures and machine learning methods
• On the application of an augmented Lagrangian algorithm to some portfolio problems
• Robust -support vector machine based on worst-case conditional value-at-risk minimization
• Value-at-risk support vector machine: stability to outliers
• Support vector machines based on convex risk functions and general norms
• Robust support vector machines for classification with nonconvex and smooth losses
• DC algorithm for extended robust support vector machine

Describes a project that uses

Uses Software

• PRMLT
• LIBSVM
• UCI

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