A support vector machine with forgetting factor and its statistical properties

Abstract

In order to make a support vector machine applicable to time-varying problems, a forgetting factor is introduced to its cost function, in the same way as the RLS algorithm for adaptive filters. The idea of the forgetting factor is simple but it is shown to drastically change the performance of SVMs by deriving the average generalization error in a simple case where input space is one-dimensional. The average generalization error does not converge to zero, differently from the SVM in batch or online. We confirmed our results by computer simulations. © 2009 Springer Berlin Heidelberg.