Ramp loss linear programming support vector machine

The ramp loss is a robust but non-convex loss for classification. Compared with other non-convex losses, a local minimum of the ramp loss can be effectively found. The effectiveness of local search comes from the piecewise linearity of the ramp loss. Motivated by the fact that the l1-penalty is piecewise linear as well, the l1-penalty is applied for the ramp loss, resulting in a ramp loss linear programming support vector machine (ramp-LPSVM). The proposed ramp-LPSVM is a piecewise linear minimization problem and the related optimization techniques are applicable. Moreover, the l1-penalty can enhance the sparsity. In this paper, the corresponding misclassification error and convergence behavior are discussed. Generally, the ramp loss is a truncated hinge loss. Therefore ramp-LPSVM possesses some similar properties as hinge loss SVMs. A local minimization algorithm and a global search strategy are discussed. The good optimization capability of the proposed algorithms makes ramp-LPSVM perform well in numerical experiments: the result of ramp-LPSVM is more robust than that of hinge SVMs and is sparser than that of ramp-SVM, which consists of the || ċ || k-penalty and the ramp loss.