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Multi-group Support Vector Machines with measurement costs: a biobjective approach

Emilio Carrizosa (ecarrizosa***at***us.es)
Belen Martin-Barragan (belmart***at***us.es)
Dolores Romero Morales (dolores.Romero-Morales***at***sbs.ox.ac.uk)

Abstract: Support Vector Machine has shown to have good performance in many practical classification settings. In this paper we propose, for multi-group classification, a biobjective optimization model in which we consider not only the generalization ability (modelled through the margin maximization), but also costs associated with the features. This cost is not limited to an economical payment, but can also refer to risk, computational effort, space requirements, etc. We introduce a biobjective mixed integer problem, for which Pareto optimal solutions are obtained. Those Pareto optimal solutions correspond to different classification rules, among which the user would choose the one yielding the most appropriate compromise between the cost and the expected misclassification rate.

Keywords: {\bf Keywords:} Multi-group Classification, Pareto Optimality, Biobjective Mixed Integer Programming, Feature Cost, Support Vector Machines.

Category 1: Applications -- Science and Engineering (Data-Mining )


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Entry Submitted: 05/11/2006
Entry Accepted: 05/11/2006
Entry Last Modified: 05/11/2006

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