Symmetric LINEX loss twin support vector machine for robust classification and its fast iterative algorithm.

Twin support vector machine (TSVM) is a practical machine learning algorithm, whereas traditional TSVM can be limited for data with outliers or noises. To address this problem, we propose a novel TSVM with the symmetric LINEX loss function (SLTSVM) for robust classification. There are several advantages of our method: (1) The performance of the proposed SLTSVM for data with outliers or noise can be improved by using the symmetric LINEX loss function. (2) The introduction of regularization term can effectively improve the generalization ability of our model. (3) An efficient iterative algorithm is developed to solve the optimization problems of our SLTSVM. (4) The convergence and time complexity of the iterative algorithm are analyzed in detail. Furthermore, our model does not involve loss function parameter, which makes our method more competitive. Experimental results on synthetic, benchmark and image datasets with label noises and feature noises demonstrate that our proposed method slightly outperforms other state-of-the-art methods on most datasets.