The partial response SVM
Bradley Walters, Sandra Ortega‐Martorell, Iván Olier, Paulo Lisböa · ESANN 2021 proceedings · 2021
We introduce a probabilistic algorithm for binary classification based on the SVM through the application of the ANOVA decomposition for multivariate functions to express the logit of the Platt estimate of the posterior probability as a non-redundant sum of functions of fewer variables (partial responses) followed by feature selection with the Lasso.The partial response SVM (prSVM) is compared with previous interpretable models of the SVM.Its accuracy and stability are demonstrated with real-world data sets.