Parameter Selection for Linear Support Vector Regression.

Abstract

In linear support vector regression (SVR), the regularization and error sensitivity parameters are used to avoid overfitting the training data. A proper selection of parameters is very essential for obtaining a good model, but the search process may be complicated and time-consuming. In an earlier work by Chu et al. (2015), an effective parameter-selection procedure by using warm-start techniques to solve a sequence of optimization problems has been proposed for linear classification. We extend their techniques to linear SVR, but address some new and challenging issues. In particular, linear classification involves only the regularization parameter, but linear SVR has an extra error sensitivity parameter. We investigate the effective range of each parameter and the sequence in checking the two parameters. Based on this work, an effective tool for the selection of parameters for linear SVR has been available for public use.