Support vector regression based hybrid rule extraction methods for forecasting

Support Vector Regression (SVR) solves regression problems based on the concept of Support Vector Machine (SVM) introduced by Vapnik (1995). The main drawback of these newer techniques is their lack of interpretability. In other words, it is difficult for the human analyst to understand the knowledge learnt by these models during training. The most popular way to overcome this difficulty is to extract if–then rules from SVM and SVR. Rules provide explanation capability to these models and improve the comprehensibility of the system. Over the last decade, different algorithms for extracting rules from SVM have been developed. However rule extraction from SVR is not widely available yet. In this paper a novel hybrid approach for extracting rules from SVR is presented. The proposed hybrid rule extraction procedure has two phases: (1) Obtain the reduced training set in the form of support vectors using SVR (2) Train the machine leaning techniques (with explanation capability) using the reduced training set. Machine learning techniques viz., Classification And Regression Tree (CART), Adaptive Network based Fuzzy Inference System (ANFIS) and Dynamic Evolving Fuzzy Inference System (DENFIS) are used in the phase 2. The proposed hybrid rule extraction procedure is compared to stand-alone CART, ANFIS and DENFIS. Extensive experiments are conducted on five benchmark data sets viz. Auto MPG, Body Fat, Boston Housing, Forest Fires and Pollution, to demonstrate the effectiveness of the proposed approach in generating accurate regression rules. The efficiency of these techniques is measured using Root Mean Squared Error (RMSE). From the results obtained, it is concluded that when the support vectors with the corresponding predicted target values are used, the SVR based hybrids outperform the stand-alone intelligent techniques and also the case when the support vectors with the corresponding actual target values are used.