Robust least squares support vector machine based on recursive outlier elimination

To achieve robust estimation for noisy data set, a recursive outlier elimination-based least squares support vector machine (ROELS-SVM) algorithm is proposed in this paper. In this algorithm, statistical information from the error variables of least squares support vector machine is recursively learned and a criterion derived from robust linear regression is employed for outlier elimination. Besides, decremental learning technique is implemented in the recursive training–eliminating stage, which ensures that the outliers are eliminated with low computational cost. The proposed algorithm is compared with re-weighted least squares support vector machine on multiple data sets and the results demonstrate the remarkably robust performance of the ROELS-SVM.