Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 313, Issue 3, Pages 858-870Publisher
ELSEVIER
DOI: 10.1016/j.ejor.2023.05.009
Keywords
Robustness and sensitivity analysis; Convex regression; Support vector regression; Overfitting; Regularization
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Nonparametric regression subject to convexity or concavity constraints is gaining popularity in various fields. The conventional convex regression method often suffers from overfitting and outliers. This paper proposes the convex support vector regression method to address these issues and demonstrates its advantages in prediction accuracy and robustness through numerical experiments.
Nonparametric regression subject to convexity or concavity constraints is increasingly popular in economics, finance, operations research, machine learning, and statistics. However, the conventional convex regression based on the least squares loss function often suffers from overfitting and outliers. This paper proposes to address these two issues by introducing the convex support vector regression (CSVR) method, which effectively combines the key elements of convex regression and support vector regression. Numerical experiments demonstrate the performance of CSVR in prediction accuracy and robustness that compares favorably with other state-of-the-art methods. (c) 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )
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