Weighted second-order cone programming twin support vector machine for imbalanced data classification

Abstract: We propose a method of using a Weighted second-order cone programming twin support vector machine (WSOCP-TWSVM) for imbalanced data classification. This method constructs a graph based under-sampling method which is utilized to remove outliers and reduce the dispensable majority samples. Then, appropriate weights are set in order to decrease the impact of samples of the majority class and increase the effect of the minority class in the optimization formula of the classifier. These weights are embedded in the optimization problem of the Second Order Cone Programming (SOCP) Twin Support Vector Machine formulations. This method is tested, and its performance is compared to previous methods on standard datasets. Results of experiments confirm the feasibility and efficiency of the proposed method.