Risk-Averse support vector classifier machine via moments penalization.
Cui FuShuisheng ZhouJunna ZhangBanghe HanYuxue ChenFeng YePublished in: Int. J. Mach. Learn. Cybern. (2022)
Keyphrases
- support vector
- risk averse
- risk neutral
- svm classifier
- decision makers
- support vector machine
- risk aversion
- utility function
- feature selection
- training examples
- stochastic programming
- training data
- cross validation
- classification accuracy
- kernel function
- feature space
- portfolio management
- decision trees
- hyperplane
- binary classification
- support vectors
- maximum margin
- objective function
- expected utility
- learning algorithm
- cost function