Reliability of cross-validation for SVMs in high-dimensional, low sample size scenarios

Abstract

A Support-Vector-Machine (SVM) learns for given 2-class-data a classifier that tries to achieve good generalisation by maximising the minimal margin between the two classes. The performance can be evaluated using cross-validation testing strategies. But in case of low sample size data, high dimensionality might lead to strong side-effects that can significantly bias the estimated performance of the classifier. On simulated data, we illustrate the effects of high dimensionality for cross-validation of both hard- and soft-margin SVMs. Based on the theoretical proofs towards infinity we derive heuristics that can be easily used to validate whether or not given data sets are subject to these constraints. © Springer-Verlag Berlin Heidelberg 2008.