Selection of Meta-parameters for Support Vector Regression

  • Authors:
  • Vladimir Cherkassky;Yunqian Ma

  • Affiliations:
  • -;-

  • Venue:
  • ICANN '02 Proceedings of the International Conference on Artificial Neural Networks
  • Year:
  • 2002

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Abstract

We propose practical recommendations for selecting metaparameters for SVM regression (that is, 驴 -insensitive zone and regularization parameter C). The proposed methodology advocates analytic parameter selection directly from the training data, rather than resampling approaches commonly used in SVM applications. Good generalization performance of the proposed parameter selection is demonstrated empirically using several lowdimensional and high-dimensional regression problems. In addition, we compare generalization performance of SVM regression (with proposed choice驴) with robust regression using 'least-modulus' loss function (驴 =0). These comparisons indicate superior generalization performance of SVM regression.