Cost-Sensitive Universum-SVM

Many applications of machine learning involve analysis of sparse high-dimensional data, where the number of input features is larger than the number of data samples. Standard classification methods may not be sufficient for such data, and this provides motivation for non-standard learning settings. One such new learning methodology is called Learning through Contradictions or Universum support vector machine (U-SVM) [1, 2]. Recent studies [2-10] have shown U-SVM to be quite effective for such sparse high-dimensional data settings. However, these studies use balanced data sets with equal misclassification costs. This paper extends the U-SVM for problems with different misclassification costs, and presents practical conditions for the effectiveness of the cost sensitive U-SVM. Finally, several empirical comparisons are presented to illustrate the utility of the proposed approach.