Nonparametric regression subject to convexity or concavity constraints is increasingly popular in economics, finance, operations research, machine learning, and statistics. However, the conventional convex regression based on the least squares loss function often suffers from overfitting and outliers. This paper proposes to address these two issues by introducing the convex support vector regression (CSVR) method, which effectively combines the key elements of convex regression and support vector regression. Numerical experiments demonstrate the performance of CSVR in prediction accuracy and robustness that compares favorably with other state-of-the-art methods.
翻译:在经济学、金融学、业务研究、机器学习和统计学中,日益流行以混凝土或混凝土限制为条件的非参数回归。然而,基于最小平方损失功能的常规曲线回归往往受到过大和离线的影响。本文件建议通过引入二次曲线支持矢量回归方法(CSVR)来解决这两个问题,这种方法有效地结合了二次曲线回归和矢量回归的关键要素。数字实验表明CSVR在预测准确性和稳健性方面的表现,与其他最先进的方法相比是优异的。