Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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e-SVR using IRWLS Procedure

  • Shim, Joo-Yong (Department of Applied Statistics, Catholic University of Daegu)
  • Published : 2005.11.30
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Abstract

e-insensitive support vector regression(e-SVR) is capable of providing more complete description of the linear and nonlinear relationships among random variables. In this paper we propose an iterative reweighted least squares(IRWLS) procedure to solve the quadratic problem of e-SVR with a modified loss function. Furthermore, we introduce the generalized approximate cross validation function to select the hyperparameters which affect the performance of e-SVR. Experimental results are then presented which illustrate the performance of the IRWLS procedure for e-SVR.

Keywords

References

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