Improved Sparse Multi-Class SVM and Its Application for Gene Selection in Cancer Classification

Microarray techniques provide promising tools for cancer diagnosis using gene expression profiles. However, molecular diagnosis based on high-throughput platforms presents great challenges due to the overwhelming number of variables versus the small sample size and the complex nature of multi-type tumors. Support vector machines (SVMs) have shown superior performance in cancer classification due to their ability to handle high dimensional low sample size data. The multi-class SVM algorithm of Crammer and Singer provides a natural framework for multi-class learning. Despite its effective performance, the procedure utilizes all variables without selection. In this paper, we propose to improve the procedure by imposing shrinkage penalties in learning to enforce solution sparsity.