Asymptotic Properties of Support Vector Machines in High-Dimension, Low-Sample-Size Settings under a Spiked Model

Abstract:In this paper, we consider asymptotic properties of the support vector machine (SVM) in high-dimension, low-sample-size (HDLSS) settings under a spiked model. The existing theory of the SVM in the HDLSS context relies on the geometric representation of HDLSS data, which requires that the eigenvalues of the covariance matrices are not dominant. We first show that the geometric representation does not hold under the spiked model. We show that the Gram matrix of HDLSS data converges in distribution to a random matrix, namely, the HDLSS data converge to a random configuration in a finite-dimensional space whose dimension is given by the number of the spikes. We show that the misclassification rates of the SVM do not tend to zero, that is, the SVM does not hold the consistency property. We also show that the bias-corrected SVM (BC-SVM) does not give preferable performance in this setting because the bias term itself should be modified. In order to overcome such difficulties, we propose a spike-corrected SVM (SC-SVM). We show that the SC-SVM holds the consistency property when the sample size goes to infinity, and that the growth of the sample size is essential in the sense that any projection-based procedure fails when the sample size is fixed. Finally, we check the performance of the classifiers by numerical simulations.

Machine Learning (stat.ML); Machine Learning (cs.LG)

arXiv:2609.39173 [stat.ML]

(or arXiv:2609.39173v1 [stat.ML] for this version)

https://doi.org/10.48550/arXiv.2609.39173 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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