Multicategory Classification via Forward-Backward Support Vector Machine.

In this paper, we propose a new algorithm to extend support vector machine (SVM) for binary classification to multicategory classification. The proposed method is based on a sequential binary classification algorithm: we first classify a target class by excluding the possibility of labeling as any other classes using a forward step of sequential SVM; we then exclude the already classified classes and repeat the same procedure for the remaining classes in a backward step. The proposed algorithm relies on SVM for each binary classification and utilizes only feasible data in each step; therefore, the method guarantees convergence and entails light computational burden. We prove Fisher consistency of the proposed forward-backward-SVM (FB-SVM) and obtain a stochastic bound for the predicted misclassification rate. We conduct extensive simulations and analyze real-world data to demonstrate the superior performance of FB-SVM, for example, FB-SVM achieves a classification accuracy much higher than the current standard for predicting conversion from mild cognitive impairment to Alzheimer's disease.