Article ID: | iaor20084031 |
Country: | Netherlands |
Volume: | 173 |
Issue: | 3 |
Start Page Number: | 746 |
End Page Number: | 761 |
Publication Date: | Sep 2006 |
Journal: | European Journal of Operational Research |
Authors: | Carrizosa Emilio, Martin-Barragan Belen |
Keywords: | programming: multiple criteria, datamining |
In this paper we propose a biobjective model for two-group classification via margin maximization, in which the margins in both classes are simultaneously maximized. The set of Pareto-optimal solutions is described, yielding a set of parallel hyperplanes, one of which is just the solution of the classical SVM approach. In order to take into account different misclassification costs or a priori probabilities, the ROC curve can be used to select one out of such hyperplanes by expressing the adequate tradeoff for sensitivity and specificity. Our result gives a theoretical motivation for using the ROC approach in case misclassification costs in the two groups are not necessarily equal.