Abstract
Least Squares Support Vector Machines (LS-SVM) are the state of the art in kernel methods for regression and function approximation. In the last few years, these models have been successfully applied to time series modelling and prediction. A key issue for the good performance of a LS-SVM model are the values chosen for both the kernel parameters and its hyperparameters in order to avoid overfitting the underlying system to be modelled. In this paper an efficient method for the evaluation of the cross validation error for LS-SVM is revised. The expressions for its partial derivatives are presented in order to improve the procedure for parameter optimization. Some initial guesses to set the values of both kernel parameters and the regularization factor are also presented. We finally conduct some experiments on a time series data example using a number of methods for parameter optimization for LS-SVM models. The results show that the proposed partial derivatives and heuristics can improve the performance with respect to both execution time and the optimized model obtained.
Keywords
- Support Vector Machine
- Radial Basis Function
- Little Square Support Vector Machine
- Kernel Parameter
- Time Series Prediction
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Rubio, G., Pomares, H., Rojas, I., Herrera, L.J., Guillén, A. (2009). Efficient Optimization of the Parameters of LS-SVM for Regression versus Cross-Validation Error. In: Alippi, C., Polycarpou, M., Panayiotou, C., Ellinas, G. (eds) Artificial Neural Networks – ICANN 2009. ICANN 2009. Lecture Notes in Computer Science, vol 5769. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04277-5_41
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DOI: https://doi.org/10.1007/978-3-642-04277-5_41
Publisher Name: Springer, Berlin, Heidelberg
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