Twin Support Vector Regression Model Based on Heteroscedastic Gaussian Noise and Its Application

Abstract

The main purpose of twin support vector regression (TSVR) is to find linear or nonlinear relationships in sample data, and then predict future data. TSVR is the decomposition of a large convex quadratic programming problem into two small convex quadratic programming problems. Therefore, TSVR not only has the advantages of fast computation and low computational complexity, but also has better regression performance. Classic SVR, TSVR is assuming that accords with mean zero, variance of noise with the variance of the gaussian distribution or not to consider the effects of noise, but in some practical applications, such as wind speed forecasting, noise characteristic is more in line with mean zero, variance for heteroscedasticity of gaussian distribution, therefore, the return of the existing technology is not the best. In this paper, the characteristics of heteroscedasticity Gaussian noise are introduced into the model TSVR, and the twin support vector regression model based on heteroscedasticity Gaussian noise (TSVR-HGN) is constructed. The Lagrange multiplier method is used to solve the problem, and the optimization algorithm is used to find the global optimization. The artificial data set, UCI data set and wind speed data set were selected for experimental comparison. The experimental results show that TSVR-HGN has better prediction accuracy.

Keywords

• Twin support vector regression machine
• heteroscedastic gaussian noise
• short-term wind speed forecasting
• inequality constraint