The regularization paths for the ROC-optimizing support vector machines

초록

Rakotomamonjy (RO-CAI, pp 71-80, 2009) proposed an ROC-SVM that optimizes the receiver operating characteristic curve (ROC) particularly useful for unbalanced classification. In this article, we establish the piecewise linearity of the ROC-SVM solutions as a function of regularization parameter, and develop an efficient algorithm for computing the entire regularization paths of the ROC-SVM. Finally we develop an R package, rocsvm.path, now available in CRAN.

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