Weston-Watkins Hinge Loss and Ordered Partitions

Multiclass extensions of the support vector machine (SVM) have been formulated in a variety of ways. A recent empirical comparison of nine such formulations [Dovgan et al. 2016] recommends the variant proposed by Weston and Watkins (WW), despite the fact that the WW-hinge loss is not calibrated with respect to the 0-1 loss. In this work we introduce a novel discrete loss function for multiclass classification, the ordered partition loss, and prove that the WW-hinge loss is calibrated with respect to this loss. We also argue that the ordered partition loss is maximally informative among discrete losses satisfying this property. Finally, we apply our theory to justify the empirical observation made by Dovgan et al. that the WW-SVM can work well even under massive label noise, a challenging setting for multiclass SVMs.