Using financial risk measures for analyzing generalization performance of machine learning models

DOI10.1016/J.NEUNET.2014.05.006MaRDI QIDQ889281zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Akiko Takeda, Takafumi Kanamori

Publication date 6 November 2015

Published in Neural Networks (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.neunet.2014.05.006

zbMATH Keywords

support vector machineminimax probability machinegeneralization performancefinancial risk measure

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 47593 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
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• Minimum distance to the complement of a convex set: Duality result
• On Nonlinear Fractional Programming
• Quantile regression.
• Robust classification and regression using support vector machines
• Robust optimization
• Robustness and regularization of support vector machines
• Second order cone programming approaches for handling missing and uncertain data
• Second order cone programming formulations for feature selection
• Support Vector Machines
• Support-vector networks
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited in

(4)

• On the application of an augmented Lagrangian algorithm to some portfolio problems
• Interaction between financial risk measures and machine learning methods
• Expected shortfall: heuristics and certificates
• Extended robust support vector machine based on financial risk minimization

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