예측성향을 고려한 비대칭 서포트벡터 회귀의 적용

Abstract

Most of the predictions using machine learning are neutral predictions considering the symmetrical situation where the predicted value is not smaller or larger than the actual value. However, in some situations, asymmetric prediction such as over-prediction or under-prediction may be better than neutral prediction, and it can induce better judgment by providing various predictions to decision makers. A method called Asymmetric Twin Support Vector Regression (ATSVR) using TSVR(Twin Support Vector Regression), which has a fast calculation time, was proposed by controlling the asymmetry of the upper and lower widths of the ε-tube and the asymmetry of the penalty with two parameters. In addition, by applying the existing GSVQR and the proposed ATSVR, prediction using the prediction propensities of over-pre- diction, under-prediction, and neutral prediction was performed. When two parameters were used for both GSVQR and ATSVR, it was possible to predict according to the prediction propensity, and ATSVR was found to be more than twice as fast in terms of calculation time. On the other hand, in terms of accuracy, there was no significant difference between ATSVR and GSVQR, but it was found that GSVQR reflected the prediction propensity better than ATSVR when checking the figures. The accuracy of under-prediction or over-prediction was lower than that of neutral prediction. It seems that using both parameters rather than using one of the two parameters (p_1,p_2) increases the change in the prediction tendency. However, depending on the situation, it may be better to use only one of the two parameters.