Model selection for support vector machines: Advantages and disadvantages of the Machine Learning Theory

A common belief is that Machine Learning Theory (MLT) is not very useful, in pratice, for performing effective SVM model selection. This fact is supported by experience, because well-known hold-out methods like cross-validation, leave-one-out, and the bootstrap usually achieve better results than the ones derived from MLT. We show in this paper that, in a small sample setting, i.e. when the dimensionality of the data is larger than the number of samples, a careful application of the MLT can outperform other methods in selecting the optimal hyperparameters of a SVM.