Optimizing SVR Hyperparameters via Fast Cross-Validation using AOSVR

The performance of support vector regression (SVR) deeply depends on its hyperparameters such as an insensitive zone thickness, a penalty factor, and kernel parameters. A method called MCV-SVR was once proposed, which optimizes SVR hyperparameters so that cross-validation error is minimized. However, the computational cost of CV is usually high. In this paper we apply accurate online support vector regression (AOSVR) to the MCV-SVR cross-validation procedure. The AOSVR enables an efficient update of a trained SVR function when a sample is removed from training data. We show the AOSVR dramatically accelerates the MCV-SVR. Moreover, our experiments using real-world data showed our faster MCV-SVR has better generalization than other existing methods such as Bayesian SVR or practical setting.