Classification using margin pursuit
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In this work, we study a new approach to optimizing the margin distribution realized by binary classifiers. The classical approach to this problem is simply maximization of the expected margin, while more recent proposals consider simultaneous variance control and proxy objectives based on robust location estimates, in the vein of keeping the margin distribution sharply concentrated in a desirable region. While conceptually appealing, these new approaches are often computationally unwieldy, and theoretical guarantees are limited. Given this context, we propose an algorithm which searches the hypothesis space in such a way that a pre-set "margin level" ends up being a distribution-robust estimator of the margin location. This procedure is easily implemented using gradient descent, and admits finite-sample bounds on the excess risk under unbounded inputs. Empirical tests on real-world benchmark data reinforce the basic principles highlighted by the theory, and are suggestive of a promising new technique for classification.
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