Matthew Norton, Alexander Mafusalov, Stan Uryasev.
Year: 2017, Volume: 18, Issue: 68, Pages: 1−43
In this paper, we show that the popular C-SVM, soft-margin support vector classifier is equivalent to minimization of Buffered Probability of Exceedance (bPOE), a recently introduced characterization of uncertainty. To show this, we introduce a new SVM formulation, called the EC-SVM, which is derived from a simple bPOE minimization problem that is easy to interpret with a meaningful free parameter, optimal objective value, and probabilistic derivation. Over the range of its free parameter, the EC-SVM has both a convex and non-convex case which we connect to existing SVM formulations. We first show that the C-SVM, formulated with any regularization norm, is equivalent to the convex EC-SVM. Similarly, we show that the E$\nu$-SVM is equivalent to the EC-SVM over its entire parameter range, which includes both the convex and non-convex case. These equivalences, coupled with the interpretability of the EC-SVM, allow us to gain surprising new insights into the C-SVM and fully connect soft margin support vector classification with superquantile and bPOE concepts. We also show that the EC-SVM can easily be cast as a robust optimization problem, where bPOE is minimized with data lying in a fixed uncertainty set. This reformulation allows us to clearly differentiate between the convex and non-convex case, with convexity associated with pessimistic views of uncertainty and non-convexity associated with optimistic views of uncertainty. Finally, we address some practical considerations. First, we show that these new insights can assist in making parameter selection more efficient. Second, we discuss optimization approaches for solving the EC-SVM. Third, we address the issue of generalization, providing generalization bounds for both bPOE and misclassification rate.