Information criteria for support vector machines

This paper presents kernel regularization information criterion (KRIC), which is a new criterion for tuning regularization parameters in kernel logistic regression (KLR) and support vector machines (SVMs). The main idea of the KRIC is based on the regularization information criterion (RIC). We derive an eigenvalue equation to calculate the KRIC and solve the problem. The computational cost for parameter tuning by the KRIC is reduced drastically by using the Nyström approximation. The test error rate of SVMs or KLR with the regularization parameter tuned by the KRIC is comparable with the one by the cross validation or evaluation of the evidence. The computational cost of the KRIC is significantly lower than the one of the other criteria.