Tuda K., Rätsch G., Mika S., Müller KR. (2001) Learning to Predict the Leave-One-Out Error of Kernel Based Classifiers. In: Dorffner G., Bischof H., Hornik K. (eds) Artificial Neural Networks — ICANN 2001. ICANN 2001. Lecture Notes in Computer Science, vol 2130. Springer, Berlin, Heidelberg
We propose an algorithm to predict the leave-one-out (LOO) error for kernel based classifiers. To achieve this goal with computational efficiency, we cast the LOO error approximation task into a classification problem. This means that we need to learn a classification of whether or not a given training sample - if left out of the data set - would be misclassified. For this learning task, simple data dependent features are proposed, inspired by geometrical intuition. Our approach allows to reliably select a good model as demonstrated in simulations on Support Vector and Linear Programming Machines. Comparisons to existing learning theoretical bounds, e.g. the span bound, are given for various model selection scenarios.