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Robust support vector machines via conic optimization

arXiv 2402.01797 ↗First posted 2 Feb 2024cs.LG math.OC stat.COcited by 0

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Abstract (arXiv)

We consider the problem of learning support vector machines robust to uncertainty. It has been established in the literature that typical loss functions, including the hinge loss, are sensible to data perturbations and outliers, thus performing poorly in the setting considered. In contrast, using the 0-1 loss or a suitable non-convex approximation results in robust estimators, at the expense of large computational costs. In this paper we use mixed-integer optimization techniques to derive a new loss function that better approximates the 0-1 loss compared with existing alternatives, while preserving the convexity of the learning problem. In our computational results, we show that the proposed estimator is competitive with the standard SVMs with the hinge loss in outlier-free regimes and better in the presence of outliers.

Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 13 of its 48 references that are in the map. First posted on arXiv 2 Feb 2024.

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13 of 48 references.

References · 13

  1. 2014Making Risk Minimization Tolerant to Label Noisecited by 54
  2. 2020Sparse Regression at Scale: Branch-and-Bound rooted in First-Order Optimizationcited by 45
  3. 2017Sparse High-Dimensional Regression: Exact Scalable Algorithms and Phase Transitionscited by 43
  4. 2021Sparse Plus Low Rank Matrix Decomposition: A Discrete Optimization Approachcited by 14
  5. 2015Regularization vs. Relaxation: A conic optimization perspective of statistical variable selectioncited by 13
  6. 2019Rank-one Convexification for Sparse Regressioncited by 13
  7. 2020Mixed-Projection Conic Optimization: A New Paradigm for Modeling Rank Constraintscited by 13
  8. 2020Exact and Approximation Algorithms for Sparse PCAcited by 8
  9. 2020Solving sparse principal component analysis with global supportcited by 8
  10. 2020Safe Screening Rules for ℓ0-Regressioncited by 7
  11. 2020The ratio-cut polytope and K-means clusteringcited by 7
  12. 2022On the convex hull of convex quadratic optimization problems with indicatorscited by 6
1 more
  1. 2013Supersparse Linear Integer Models for Predictive Scoring Systemscited by 3

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