关键词: 支持向量回归, 多输出预测, 在线学习, 投资决策

Abstract:

An on-line multi output support vector machine regression algorithm is proposed in this paper.By using the gradient descent algorithm to minimize the instantaneous regularized risk of prediction results,the iterative for mulae of the weight coefficients and the bias of the regression function are obtained.Thus,the on-line multi-output regression prediction can be implemented for new arriving samples.The proposed algorithm is then applied to the investment decision to predict the optimal portfolio on line.Simulation results show that the proposed algorithm is easy to carry out because of its simple computation and small workload.

Key words: support vector regression, multi-output prediction, on-line learning, investment decision