Implementation of CVaR-based Support Vector Machine with Portfolio Safeguard
CVaR-based Support Vector Machine (SVM) was implemented with Portfolio Safeguard (PSG) and tested on six available classification data sets. As it was shown earlier, CVaR-based SVM is equivalent to nu-SVM. It can be reduced to minimization of quadratic and CVaR-risk function. Both functions have already been pre coded in PSG. It allows user to call them without going into details of their realization.