Optimized fixed-size kernel models for large data sets

Authors:
K. De Brabanter;J. De Brabanter;J. A. K. Suykens;B. De Moor
Affiliations:
Department of Electrical Engineering ESAT-SCD, Katholieke Universiteit Leuven, Kasteelpark Arenberg 10, B-3001 Leuven, Belgium;Department of Electrical Engineering ESAT-SCD, Katholieke Universiteit Leuven, Kasteelpark Arenberg 10, B-3001 Leuven, Belgium and Hogeschool KaHo Sint-Lieven, (Associatie K.U. Leuven), Departemen ...;Department of Electrical Engineering ESAT-SCD, Katholieke Universiteit Leuven, Kasteelpark Arenberg 10, B-3001 Leuven, Belgium;Department of Electrical Engineering ESAT-SCD, Katholieke Universiteit Leuven, Kasteelpark Arenberg 10, B-3001 Leuven, Belgium
Venue:
Computational Statistics & Data Analysis
Year:
2010

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Abstract

A modified active subset selection method based on quadratic Renyi entropy and a fast cross-validation for fixed-size least squares support vector machines is proposed for classification and regression with optimized tuning process. The kernel bandwidth of the entropy based selection criterion is optimally determined according to the solve-the-equation plug-in method. Also a fast cross-validation method based on a simple updating scheme is developed. The combination of these two techniques is suitable for handling large scale data sets on standard personal computers. Finally, the performance on test data and computational time of this fixed-size method are compared to those for standard support vector machines and @n-support vector machines resulting in sparser models with lower computational cost and comparable accuracy.