Asymmetric support vector machines

Many practical applications of classification require the classifier to produce a very low false-positive rate. Although the Support Vector Machine (SVM) has been widely applied to these applications due to its superiority in handling high dimensional data, there are relatively little effort other than setting a threshold or changing the costs of slacks to ensure the low false-positive rate. In this paper, we propose the notion of Asymmetric Support VectorMachine (ASVM) that takes into account the false-positives and the user tolerance in its objective. Such a new objective formulation allows us to raise the confidence in predicting the positives, and therefore obtain a lower chance of false-positives. We study the effects of the parameters in ASVM objective and address some implementation issues related to the Sequential Minimal Optimization (SMO) to cope with large-scale data. An extensive simulation is conducted and shows that ASVM is able to yield either noticeable improvement in performance or reduction in training time as compared to the previous arts.