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Robust formulations for handling uncertainty in kernel matrices
, Sourangshu Bhattacharya, Chiranjib Bhattacharyya, Aharon Ben-Tal
Published in
2010
Pages: 71 - 78
Abstract
We study the problem of uncertainty in the entries of the Kernel matrix, arising in SVM formulation. Using Chance Constraint Programming and a novel large deviation inequality we derive a formulation which is robust to such noise. The resulting formulation applies when the noise is Gaussian, or has finite support. The formulation in general is non-convex, but in several cases of interest it reduces to a convex program. The problem of uncertainty in kernel matrix is motivated from the real world problem of classifying proteins when the structures are provided with some uncertainty. The formulation derived here naturally incorporates such uncertainty in a principled manner leading to significant improvements over the state of the art. Copyright 2010 by the author(s)/owner(s).
About the journal
JournalICML 2010 - Proceedings, 27th International Conference on Machine Learning