Structured variable selection in support vector machines

Details Structured variable selection in support vector machines Structured variable selection in support vector machines

2007-10-02

arxiv.org/abs/0710.0508v2

Electronic Journal of Statistics 2008, Vol. 2, 103-117

Statistics

Machine Learning

Published in at http://dx.doi.org/10.1214/07-EJS125 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by t

Scientific paper

10.1214/07-EJS125

When applying the support vector machine (SVM) to high-dimensional classification problems, we often impose a sparse structure in the SVM to eliminate the influences of the irrelevant predictors. The lasso and other variable selection techniques have been successfully used in the SVM to perform automatic variable selection. In some problems, there is a natural hierarchical structure among the variables. Thus, in order to have an interpretable SVM classifier, it is important to respect the heredity principle when enforcing the sparsity in the SVM. Many variable selection methods, however, do not respect the heredity principle. In this paper we enforce both sparsity and the heredity principle in the SVM by using the so-called structured variable selection (SVS) framework originally proposed in Yuan, Joseph and Zou (2007). We minimize the empirical hinge loss under a set of linear inequality constraints and a lasso-type penalty. The solution always obeys the desired heredity principle and enjoys sparsity. The new SVM classifier can be efficiently fitted, because the optimization problem is a linear program. Another contribution of this work is to present a nonparametric extension of the SVS framework, and we propose nonparametric heredity SVMs. Simulated and real data are used to illustrate the merits of the proposed method.

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