Distributionally robust chance-constrained kernel-based support vector machine

Support vector machine (SVM) is a powerful model for supervised learning. This article addresses the nonlinear binary classification problem using kernel-based SVM with uncertainty involved in the input data specified by the first- and second-order moments. To achieve a robust classifier with small probabilities of misclassification, we investigate a distributionally robust chance-constrained kernel-based SVM model. Since the moment information in the original problem becomes unclear/unavailable in the feature space via kernel transformation, we develop a data-driven approach utilizing empirical moments to provide a second-order cone programming (SOCP) reformulation for efficient computation. To speed up the required computations for solving large-size problems in higher dimensional space and/or with more sampling points involved in estimating empirical moments, we further design an alternating direction multipliers-based algorithm for fast computations. Extensive computational results support the effectiveness and efficiency of the proposed model and solution method. Results on public benchmark datasets without any moment information indicate that the proposed approach still works and, surprisingly, outperforms some commonly used state-of-the-art kernel-based SVM models.