Capped Asymmetric Elastic Net Support Vector Machine for Robust Binary Classification

Abstract

Recently, there are lots of literature on improving the robustness of SVM by constructing nonconvex functions, but they seldom theoretically study the robust property of the constructed functions. In this paper, based on our recent work, we present a novel capped asymmetric elastic net (CaEN) loss and equip it with the SVM as CaENSVM. We derive the influence function of the estimators of the CaENSVM to theoretically explain the robustness of the proposed method. Our results can be easily extended to other similar nonconvex loss functions. We further show that the influence function of the CaENSVM is bounded, so that the robustness of the CaENSVM can be theoretically explained. Other theoretical analysis demonstrates that the CaENSVM satisfies the Bayes rule and the corresponding generalization error bound based on Rademacher complexity guarantees its good generalization capability. Since CaEN loss is concave, we implement an efficient DC procedure based on the stochastic gradient descent algorithm (Pegasos) to solve the optimization problem. A host of experiments are conducted to verify the effectiveness of our proposed CaENSVM model.