General cost functions for support vector regression.
AJ Smola, Bernhard Schölkopf, K-R Müller, Tom Downs, Marcus R. Frean, Marcus Gallagher · 1998
The concept of Support Vector Regression is extended to a more general class of convex cost functions. Moreover it is shown how the resulting convex constrained optimization problems can be efficiently solved by a Primal-Dual Interior Point path following method. Both computational feasibility and improvement of estimation is demonstrated in the experiments.