Iterative learning in support vector regression with heterogeneous variances

Journal article


Wu, Jinran and Wang, You-Gan. (2022). Iterative learning in support vector regression with heterogeneous variances. IEEE Transactions on Emerging Topics in Computational Intelligence. pp. 1-10. https://doi.org/10.1109/TETCI.2022.3182725
AuthorsWu, Jinran and Wang, You-Gan
Abstract

The presence of heterogeneous variances is the norm in practice, which makes machine learning predictions less reliable when noise variances are implicitly assumed to be equal. To this end, we extend support vector regression by allowing a range of variance functions in the model training. Specifically, we model the variance as a function of the mean and other variables as traditionally used in statistical modeling. This leads to iterative learning between support vector regression training and heterogeneous variance modeling. Extensive simulations are implemented to validate the effectiveness of the proposed framework in both linear and nonlinear regressions. Finally, two real data sets are used to demonstrate the superiority of the proposed algorithm in the presence of heterogeneity.

Keywordsnoise modelling; heterogeneity; iterative learning; parameter estimation; prediction
Year2022
JournalIEEE Transactions on Emerging Topics in Computational Intelligence
Journal citationpp. 1-10
PublisherInstitute of Electrical and Electronics Engineers
ISSN2471-285X
Digital Object Identifier (DOI)https://doi.org/10.1109/TETCI.2022.3182725
Scopus EID2-s2.0-85133673451
Page range1-10
FunderAustralian Research Council
Publisher's version
License
All rights reserved
File Access Level
Controlled
Output statusIn press
Publication dates
Online24 Jun 2022
Publication process dates
Accepted03 Jun 2022
Deposited25 Aug 2022
ARC Funded ResearchThis output has been funded, wholly or partially, under the Australian Research Council Act 2001
Grant IDDP160104292
CE140100049
IC190100020
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https://acuresearchbank.acu.edu.au/item/8y2z3/iterative-learning-in-support-vector-regression-with-heterogeneous-variances

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