Feature Selection Using Sparse Twin Support Vector Machine with Correntropy-Induced Loss

Abstract

Twin support vector machine (TSVM) has been widely applied to classification problems. But TSVM is sensitive to outliers and is not efficient enough to realize feature selection. To overcome the shortcomings of TSVM, we propose a novel sparse twin support vector machine with the correntropy-induced loss (C-STSVM), which is inspired by the robustness of the correntropy-induced loss and the sparsity of the \(\ell _1\)-norm regularization. The objective function of C-STSVM includes the correntropy-induced loss that replaces the hinge loss, and the \(\ell _1\)-norm regularization that can make the decision model sparse to realize feature selection. Experiments on real-world datasets with label noise and noise features demonstrate the effectiveness of C-STSVM in classification accuracy and confirm the above conclusion further.