A Unified Classification Model Based on Robust Optimization

A wide variety of machine learning models such as support vector machine (SVM), minimax probability machine (MPM), and Fisher discriminant analysis (FDA), exist for binary classification. We briefly review the above models and then provide a unified classification model that includes those models through a robust optimization approach. This unified model has several benefits. One is that the extensions and improvements intended for SVM become applicable to MPM and FDA, and vice versa. We show some numerical results.