Robust support vector machine for high-dimensional imbalanced data

Abstract

In this paper, we consider asymptotic properties of support vector machine (SVM) in high-dimension, low-sample-size (HDLSS) settings. In particular, we investigate the behavior of soft-margin SVM for the regularization parameter C. We show that SVM cannot handle imbalanced classification and SVM is very biased in HDLSS settings. In order to overcome such difficulties, we propose a robust SVM (RSVM). We show that RSVM gives preferable performances in HDLSS settings. Finally, we check the performance of RSVM in actual data analyses.