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Paper · 1701.02967 · 2017

A Large Dimensional Analysis of Least Squares Support Vector Machines

arXiv · PDF · Open in the Atlas

Code that ran

We lifted 2 functions out of this paper's own repositories and ran 1 of them in a sandbox. "Ran" means the function executed on a synthesized input and returned a value. It is not a reproduction of the paper's results.

RepositoryRoleRan
Zhenyu-LIAO/RMT4LSSVM canonical 1 of 2
FunctionStatusWhere it lives
get_kernel Ran Zhenyu-LIAO/RMT4LSSVM/RMT4LSSVM.py
code served (permissive licence) · get_code("c7c79b1cfda5e989")
get_stat Not yet run Zhenyu-LIAO/RMT4LSSVM/RMT4LSSVM.py
code served (permissive licence) · get_code("5f2fd641f6b2ad26")

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Abstract

In this article, a large dimensional performance analysis of kernel least squares support vector machines (LS-SVMs) is provided under the assumption of a two-class Gaussian mixture model for the input data. Building upon recent advances in random matrix theory, we show, when the dimension of data $p$ and their number $n$ are both large, that the LS-SVM decision function can be well approximated by a normally distributed random variable, the mean and variance of which depend explicitly on a local behavior of the kernel function. This theoretical result is then applied to the MNIST and Fashion-MNIST datasets which, despite their non-Gaussianity, exhibit a convincingly close behavior. Most importantly, our analysis provides a deeper understanding of the mechanism into play in SVM-type methods and in particular of the impact on the choice of the kernel function as well as some of their theoretical limits in separating high dimensional Gaussian vectors.

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