Rare Class Classification by Support Vector Machine

The problem of classification on highly imbalanced datasets has been studied extensively in the literature. Most classifiers show significant deterioration in performance when dealing with skewed datasets. In this paper, we first examine the underlying reasons for SVM´s deterioration on imbalanced datasets. We then propose two modifications for the soft margin SVM, where we change or add constraints to the optimization problem. The proposed methods are compared with regular SVM, cost-sensitive SVM and two re-sampling methods. Our experimental results demonstrate that this constrained SVM can consistently outperform the other associated methods.