Selection of Meta-parameters for Support Vector Regression

  • Vladimir Cherkassky
  • Yunqian Ma
Conference paper

DOI: 10.1007/3-540-46084-5_112

Part of the Lecture Notes in Computer Science book series (LNCS, volume 2415)
Cite this paper as:
Cherkassky V., Ma Y. (2002) Selection of Meta-parameters for Support Vector Regression. In: Dorronsoro J.R. (eds) Artificial Neural Networks — ICANN 2002. ICANN 2002. Lecture Notes in Computer Science, vol 2415. Springer, Berlin, Heidelberg

Abstract

We propose practical recommendations for selecting metaparameters for SVM regression (that is, ε -insensitive zone and regularization parameter C). The proposed methodology advocates analytic parameter selection directly from the training data, rather than resampling approaches commonly used in SVM applications. Good generalization performance of the proposed parameter selection is demonstrated empirically using several low-dimensional and high-dimensional regression problems. In addition, we compare generalization performance of SVM regression (with proposed choiceε) with robust regression using ‘least-modulus’ loss function (ε=0). These comparisons indicate superior generalization performance of SVM regression.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Vladimir Cherkassky
    • 1
  • Yunqian Ma
    • 1
  1. 1.Department of Electrical and Computer EngineeringUniversity of MinnesotaMinneapolis

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