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Variable Selection for Support Vector Machines in Moderately High Dimensions.


ABSTRACT: The support vector machine (SVM) is a powerful binary classification tool with high accuracy and great flexibility. It has achieved great success, but its performance can be seriously impaired if many redundant covariates are included. Some efforts have been devoted to studying variable selection for SVMs, but asymptotic properties, such as variable selection consistency, are largely unknown when the number of predictors diverges to infinity. In this work, we establish a unified theory for a general class of nonconvex penalized SVMs. We first prove that in ultra-high dimensions, there exists one local minimizer to the objective function of nonconvex penalized SVMs possessing the desired oracle property. We further address the problem of nonunique local minimizers by showing that the local linear approximation algorithm is guaranteed to converge to the oracle estimator even in the ultra-high dimensional setting if an appropriate initial estimator is available. This condition on initial estimator is verified to be automatically valid as long as the dimensions are moderately high. Numerical examples provide supportive evidence.

SUBMITTER: Zhang X 

PROVIDER: S-EPMC4709852 | biostudies-literature | 2016 Jan

REPOSITORIES: biostudies-literature

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Variable Selection for Support Vector Machines in Moderately High Dimensions.

Zhang Xiang X   Wu Yichao Y   Wang Lan L   Li Runze R  

Journal of the Royal Statistical Society. Series B, Statistical methodology 20150105 1


The support vector machine (SVM) is a powerful binary classification tool with high accuracy and great flexibility. It has achieved great success, but its performance can be seriously impaired if many redundant covariates are included. Some efforts have been devoted to studying variable selection for SVMs, but asymptotic properties, such as variable selection consistency, are largely unknown when the number of predictors diverges to infinity. In this work, we establish a unified theory for a gen  ...[more]

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