Robust and Distributionally Robust Optimization Models for Linear Support Vector Machine

• Published in: Computers & operations research Vol. 147; p. 105930
• Main Authors: Faccini, Daniel, Maggioni, Francesca, Potra, Florian A.
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.11.2022
• Subjects: Distributionally robust optimization; Machine Learning; Robust optimization; Support Vector Machine; Robust optimization; Support Vector Machine; Machine Learning; Distributionally robust optimization

In this paper we present novel data-driven optimization models for Support Vector Machines (SVM), with the aim of linearly separating two sets of points that have non-disjoint convex closures. Traditional classification algorithms assume that the training data points are always known exactly. Howeve...