Bias-corrected support vector machine with Gaussian kernel in high-dimension, low-sample-size settings

In this paper, we study asymptotic properties of nonlinear support vector machines (SVM) in high-dimension, low-sample-size settings. We propose a bias-corrected SVM (BC-SVM) which is robust against imbalanced data in a general framework. In particular, we investigate asymptotic properties of the BC-SVM having the Gaussian kernel and compare them with the ones having the linear kernel. We show that the performance of the BC-SVM is influenced by the scale parameter involved in the Gaussian kernel. We discuss a choice of the scale parameter yielding a high performance and examine the validity of the choice by numerical simulations and actual data analyses.