Global Model Selection for Semi-Supervised Support Vector Machine via Solution Paths.

Semi-supervised support vector machine (S3VM) is important because it can use plentiful unlabeled data to improve the generalization accuracy of traditional SVMs. In order to achieve good performance, it is necessary for S3VM to take some effective measures to select hyperparameters. However, model selection for semi-supervised models is still a key open problem. Existing methods for semi-supervised models to search for the optimal parameter values are usually computationally demanding, especially those ones with grid search. To address this challenging problem, in this article, we first propose solution paths of S3VM (SPS3VM), which can track the solutions of the nonconvex S3VM with respect to the hyperparameters. Specifically, we apply incremental and decremental learning methods to update the solution and let it satisfy the Karush-Kuhn-Tucker (KKT) conditions. Based on the SPS3VM and the piecewise linearity of model function, we can find the model with the minimum cross-validation (CV) error for the entire range of candidate hyperparameters by computing the error path of S3VM. Our SPS3VM is the first solution path algorithm for nonconvex optimization problem of semi-supervised learning models. We also provide the finite convergence analysis and computational complexity of SPS3VM. Experimental results on a variety of benchmark datasets not only verify that our SPS3VM can globally search the hyperparameters (regularization and ramp loss parameters) but also show a huge reduction of computational time while retaining similar or slightly better generalization performance compared with the grid search approach.