An optimization method for selecting parameters in support vector machines

Abstract

It has been shown that the cost parameters and kernel parameters are critical in the performance of support vector machines (SVMs). A standard parameter selection method compares parameters among a discrete set of values, called the candidate set, and picks the one which has the best classification accuracy. As a result, the choice of parameters strongly depends on the pre-defined candidate set. In this paper, we formulate the selection of the cost parameter and kernel parameter as a two-level optimization problem, in which the values of parameters vary continuously and thus optimization techniques can be applied to select ideal parameters. Due to the non-smoothness of the objective function in our model, a genetic algorithm has been presented. Numerical results show that the two-level approach can significantly improve the performance of SVM classifier in terms of classification accuracy.