One-class LS-SVM with zero leave-one-out error

Abstract

This paper extends the closed form calculation of the leave-one-out (LOO) error for least-squares support vector machines (LS-SVMs) from the two-class to the one-class case. Furthermore, it proposes a new algorithm for determining the hyperparameters of a one-class LS-SVM with Gaussian kernels which exploits the efficient LOO error calculation. The standard deviations are selected by prior knowledge while the regularization parameter is optimized in order to obtain a tight decision boundary under the constraint of a zero LOO error.