Twin Bounded Support Vector Machine with Capped Pinball Loss

In order to obtain a more robust and sparse classifier, in this paper, we propose a novel classifier termed as twin bounded support vector machine with capped pinball loss (CPin-TBSVM), which has the excellent properties of being insensitive to feature and label noise. Given that the proposed model is non-convex, we use the convex-concave procedure algorithm (CCCP) to solve a series of two smaller-sized quadratic programming problems to find the optimal solution. In the process of solving the iterative subproblem, the dual coordinate descent method (DCDM) is used for speeding up solving optimization problems. Moreover, we analyze its theoretical properties, including that the capped pinball loss satisfies Bayes’ rule and CPin-TBSVM has certain noise insensitivity and sparsity. The properties are verified on an artificial dataset as well. The numerical experiment is conducted on 24 UCI datasets and the results are compared with four other models which include SVM, TSVM, Pin-GTSVM and TPin-TSVM. The results show that the proposed CPin-TBSVM has a better classification effect and noise insensitivity.