A twin projection support vector machine for data regression

• A twin projection support vector regression (TPSVR) is presented.
• TPSVR determines the regressor by two smaller sized SVM-type problems.
• TPSVR minimizes the variance of projected inputs.
• TPSVR maximizes the correlation coefficients between up- and down-bound targets and projected inputs.
• TPSVR obtains better generalization performance than other algorithms.

In this paper, an efficient twin projection support vector regression (TPSVR) algorithm for data regression is proposed. This TPSVR determines indirectly the regression function through a pair of nonparallel up- and down-bound functions solved by two smaller sized support vector machine (SVM)-type problems. In each optimization problem of TPSVR, it seeks a projection axis such that the variance of the projected points is minimized by introducing a new term, which makes it not only minimize the empirical variance of the projected inputs, but also maximize the empirical correlation coefficient between the up- or down-bound targets and the projected inputs. In terms of generalization performance, the experimental results indicate that TPSVR not only obtains the better and stabler prediction performance than the classical SVR and some other algorithms, but also needs less number of support vectors (SVs) than the classical SVR.