Optimal Hyper-Parameter Tuning of SVM Classifiers With Application to Medical Diagnosis

Proper tuning of hyper-parameters is essential to the successful application of SVM-classifiers. Several methods have been used for this problem: grid search, random search, estimation of distribution Algorithms (EDAs), bio-inspired metaheuristics, among others. The objective of this paper is to determine the optimal method among those that recently reported good results: Bat algorithm, Firefly algorithm, Fruit-fly optimization algorithm, particle Swarm optimization, Univariate Marginal Distribution Algorithm (UMDA), and Boltzmann-UMDA. The criteria for optimality include measures of effectiveness, generalization, efficiency, and complexity. Experimental results on 15 medical diagnosis problems reveal that EDAs are the optimal strategy under such criteria. Finally, a novel performance index to guide the optimization process, that improves the generalization of the solutions while maintaining their effectiveness, is presented.