TSVR: An efficient Twin Support Vector Machine for regression

The learning speed of classical Support Vector Regression (SVR) is low, since it is constructed based on the minimization of a convex quadratic function subject to the pair groups of linear inequality constraints for all training samples. In this paper we propose Twin Support Vector Regression (TSVR), a novel regressor that determines a pair of epsilon-insensitive up- and down-bound functions by solving two related SVM-type problems, each of which is smaller than that in a classical SVR. The TSVR formulation is in the spirit of Twin Support Vector Machine (TSVM) via two nonparallel planes. The experimental results on several artificial and benchmark datasets indicate that the proposed TSVR is not only fast, but also shows good generalization performance. (C) 2009 Elsevier Ltd. All rights reserved.