Improved Sparse Pinball Twin SVM

Abstract

In this paper, we propose an improved version of sparse pinball twin support vector machine (SPTSVM) [1], called improved sparse pinball twin support vector machine (ISPTSVM). SPTSVM implements empirical risk minimization principle and the matrices appearing in the formulation of SPTSVM are positive semi-definite. Here, we reformulate the primal problems of SPTSVM by introducing extra regularization term to the objective function of SPTSVM. Unlike SPTSVM, structural risk minimization (SRM) principle is implemented in the proposed ISPTSVM which embodies the marrow of statistical learning theory. Also, the matrices that appear in the dual formulation of the proposed ISPTSVM are positive definite. Results computed on multiple UCI benchmark datasets clearly indicate the effectiveness and applicability of the proposed ISPTSVM compared to pinball support vector machine (Pin-SVM), twin bounded support vector machine (TBSVM) and SPTSVM.