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Tightening big Ms in integer programming formulations for support vector machines with ramp loss

Author

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  • Baldomero-Naranjo, Marta
  • Martínez-Merino, Luisa I.
  • Rodríguez-Chía, Antonio M.

Abstract

This paper considers various models of support vector machines with ramp loss, these being an efficient and robust tool in supervised classification for the detection of outliers. The exact solution approaches for the resulting optimization problem are of high demand for large datasets. Hence, the goal of this paper is to develop algorithms that provide efficient methodologies to exactly solve these optimization problems. These approaches are based on three strategies for obtaining tightened values of the big M parameters included in the formulation of the problem. Two of them require solving a sequence of continuous problems, while the third uses the Lagrangian relaxation to tighten the bounds. The proposed resolution methods are valid for the ℓ1-norm and ℓ2-norm ramp loss formulations. They were tested and compared with existing solution methods in simulated and real-life datasets, showing the efficiency of the developed methodology.

Suggested Citation

  • Baldomero-Naranjo, Marta & Martínez-Merino, Luisa I. & Rodríguez-Chía, Antonio M., 2020. "Tightening big Ms in integer programming formulations for support vector machines with ramp loss," European Journal of Operational Research, Elsevier, vol. 286(1), pages 84-100.
    • Handle: RePEc:eee:ejores:v:286:y:2020:i:1:p:84-100
    DOI: 10.1016/j.ejor.2020.03.023
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    References listed on IDEAS

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