Nyström approximate model selection for LSSVM

Abstract

Model selection is critical to least squares support vector machine (LSSVM). A major problem of existing model selection approaches is that a standard LSSVM needs to be solved with O(n 3) complexity for each iteration, where n is the number of training examples. In this paper, we propose an approximate approach to model selection of LSSVM. We use Nyström method to approximate a given kernel matrix by a low rank representation of it. With such approximation, we first design an efficient LSSVM algorithm and theoretically analyze the effect of kernel matrix approximation on the decision function of LSSVM. Based on the matrix approximation error bound of Nyström method, we derive a model approximation error bound, which is a theoretical guarantee of approximate model selection. We finally present an approximate model selection scheme, whose complexity is lower than the previous approaches. Experimental results on benchmark datasets demonstrate the effectiveness of approximate model selection. © 2012 Springer-Verlag.