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Fast exact leave-one-out cross-validation of sparse least-squares support vector machines

Cawley, Gavin C., Talbot, Nicola L.C.·2004·Neural Networks

Abstract

Leave-one-out cross-validation has been shown to give an almost unbiased estimator of the generalisation properties of statistical models, and therefore provides a sensible criterion for model selection and comparison. In this paper we show that exact leave-one-out cross-validation of sparse Least-Squares Support Vector Machines (LS-SVMs) can be implemented with a computational complexity of only O(ln2) floating point operations, rather than the O(l2n2) operations of a naïve implementation, where l is the number of training patterns and n is the number of basis vectors. As a result, leave-one-out cross-validation becomes a practical proposition for model selection in large scale applications. For clarity the exposition concentrates on sparse least-squares support vector machines in the context of non-linear regression, but is equally applicable in a pattern recognition setting.

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Metadata

Authors
Cawley, G. C., & Talbot, N. L. C.
Venue
Neural Networks
Publisher
Elsevier BV
Published
2004-12
Volume
17
Issue
10
Pages
1467-1475
ISSN
0893-6080 (ISSN-L)
OpenAlex
W2069659771
Cited by
332
References
49
FWCI
7.46
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Fast exact leave-one-out cross-validation of sparse least-squares support vector machines. https://app.cochat.ai/papers/10.1016/j.neunet.2004.07.002
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Cawley, G. C., & Talbot, N. L. C. (2004). Fast exact leave-one-out cross-validation of sparse least-squares support vector machines. Neural Networks. https://doi.org/10.1016/j.neunet.2004.07.002

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