Fast one-class support vector machine for novelty detection

Novelty detection arises as an important learning task in several applications. Kernel-based approach to novelty detection has been widely used due to its theoretical rigor and elegance of geometric interpretation. However, computational complexity is a major obstacle in this approach. In this paper, leveraging on the cutting-plane framework with the well-known One-Class Support Vector Machine, we present a new solution that can scale up seamlessly with data. The first solution is exact and linear when viewed through the cutting-plane; the second employed a sampling strategy that remarkably has a constant computational complexity defined relatively to the probability of approximation accuracy. Several datasets are benchmarked to demonstrate the credibility of our framework.

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