This paper proposes two improvements to the support vector machine (SVM): (i) extension to a semi-positive definite quadratic surface, which improves the discrimination accuracy;(ii) addition of a variable selection c...
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This paper proposes two improvements to the support vector machine (SVM): (i) extension to a semi-positive definite quadratic surface, which improves the discrimination accuracy;(ii) addition of a variable selection constraint. However, this model is formulated as a mixed-integer semi-definite programming (MISDP) problem, and it cannot be solved easily. Therefore, we propose a heuristic algorithm for solving the MISDP problem efficiently and show its effectiveness by using corporate credit rating data.
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