Non-crossing large-margin probability estimation and its application to robust SVM via preconditioning

Many large-margin classifiers such as the Support Vector Machine (SVM) sidestep estimating conditional class probabilities and target the discovery of classification boundaries directly. However, estimation of conditional class probabilities can be useful in many applications. Wang, Shen, and Liu (2008) bridged the gap by providing an interval estimator of the conditional class probability via bracketing. The interval estimator was achieved by applying different weights to positive and negative classes and training the corresponding weighted large-margin classifiers. They propose to estimate the weighted large-margin classifiers individually. However, empirically the individually estimated classification boundaries may suffer from crossing each other even though, theoretically, they should not.In this work, we propose a technique to ensure non-crossing of the estimated classification boundaries. Furthermore, we take advantage of the estimated conditional class probabilities to precondition our training data. The standard SVM is then applied to the preconditioned training data to achieve robustness. Simulations and real data are used to illustrate their finite sample performance.