Improved Generalized Eigenvalue Proximal Support Vector Machine

In this letter, we propose an improved version of generalized eigenvalue proximal support vector machine (GEPSVM), called IGEPSVM for short. The main improvements are 1) the generalized eigenvalue decomposition is replaced by the standard eigenvalue decomposition, resulting in simpler optimization problems without the possible singularity. 2) An extra meaningful parameter is introduced, resulting in the stronger classification generalization ability. Experimental results on both the artificial datasets and several benchmark datasets show that our IGEPSVM is superior to GEPSVM in both computation time and classification accuracy.