Optimal ν-SVM parameter estimation using multi objective evolutionary algorithms

Using a machine learning algorithm for a given application often requires tuning design parameters of the classifier to obtain optimal classification performance without overfitting. In this contribution, we present an evolutionary algorithm based approach for multi-objective optimization of the sensitivity and specificity of a ν-SVM. The ν-SVM is often preferred over the standard C-SVM due to smaller dynamic range of the ν parameter compared to the unlimited dynamic range of the C parameter. Instead of looking for a single optimization result, we look for a set of optimal solutions that lie along the Pareto optimality front. The traditional advantage of using the Pareto optimality is of course the flexibility to choose any of the solutions that lies on the Pareto optimality front. However, we show that simply maximizing sensitivity and specificity over the Pareto front leads to parameters that appear to be mathematically optimal yet still cause overfitting. We propose a multiple objective optimization approach with three objective functions to find additional parameter values that do not cause overfitting.