Ensemble learning for generalised eigenvalues proximal support vector machines

In this paper, to improve the generalisation ability of generalised eigenvalues proximal support vector machines (GEPSVM), we propose an ensemble GEPSVM, called EnGEP for short. Note that GEPSVM is not sensitive to different weights of the points, to increase the potential diversity of GEPSVM, firstly, we introduce an extra parameter in GEPSVM, which gives different penalties for two non-hyperplanes determines by GEPSVM. Then, we use a novel bagging strategy to ensemble GEPSVM with additional parameters. Experimental results both on artificial and benchmark datasets show that our EnGEP improves the generalisation performance of GEPSVM greatly, and it also reveals the effectiveness of our EnGEP.