Chance constrained conic-segmentation support vector machine with uncertain data

Abstract

Support vector machines (SVM) is one of the well known supervised machine learning model. The standard SVM models are dealing with the situation where the exact values of the data points are known. This paper studies the SVM model when the data set contains uncertain or mislabelled data points. To ensure the small probability of misclassification for the uncertain data, a chance constrained conic-segmentation SVM model is proposed for multiclass classification. Based on the data set, a mixed integer programming formulation for the chance constrained conic-segmentation SVM is derived. Kernelization of chance constrained conic-segmentation SVM model is also exploited for nonlinear classification. The geometric interpretation is presented to show how the chance constrained conic-segmentation SVM works on uncertain data. Finally, experimental results are presented to demonstrate the effectiveness of the chance constrained conic-segmentation SVM for both artificial and real-world data.