Low rank updated LS-SVM classifiers for fast variable selection.

Least squares support vector machine (LS-SVM) classifiers are a class of kernel methods whose solution follows from a set of linear equations. In this work we present low rank modifications to the LS-SVM classifiers that are useful for fast and efficient variable selection. The inclusion or removal of a candidate variable can be represented as a low rank modification to the kernel matrix (linear kernel) of the LS-SVM classifier. In this way, the LS-SVM solution can be updated rather than being recomputed, which improves the efficiency of the overall variable selection process. Relevant variables are selected according to a closed form of the leave-one-out (LOO) error estimator, which is obtained as a by-product of the low rank modifications. The proposed approach is applied to several benchmark data sets as well as two microarray data sets. When compared to other related algorithms used for variable selection, simulations applying our approach clearly show a lower computational complexity together with good stability on the generalization error.