Sparse reject option classifier using successive linear programming

Abstract

In this paper, we propose an approach for learning sparse reject option classifiers using double ramp loss Ldr. We use DC programming to find the risk minimizer. The algorithm solves a sequence of linear programs to learn the reject option classifier. We show that the loss Ldr is Fisher consistent. We also show that the excess risk of loss Ld is upper bounded by excess risk of Ldr. We derive the generalization error bounds for the proposed approach. We show the effectiveness of the proposed approach by experimenting it on several real world datasets. The proposed approach not only performs comparable to the state of the art, it also successfully learns sparse classifiers.