LS-SVM Hyperparameter Selection with a Nonparametric Noise Estimator

@inproceedings{Lendasse2005LSSVMHS,
  title={LS-SVM Hyperparameter Selection with a Nonparametric Noise Estimator},
  author={Amaury Lendasse and Yongnan Ji and Nima Reyhani and Michel Verleysen},
  booktitle={ICANN},
  year={2005}
}
This paper presents a new method for the selection of the two hyperparameters of Least Squares Support Vector Machine (LS-SVM) approximators with Gaussian Kernels. The two hyperparameters are the width σ of the Gaussian kernels and the regularization parameter λ. For different values of σ, a Nonparametric Noise Estimator (NNE) is introduced to estimate the variance of the noise on the outputs. The NNE allows the determination of the best λ for each given σ. A Leave-one-out methodology is then… CONTINUE READING