Support vector method for novelty detection

Suppose you are given some dataset drawn from an underlying probabil (cid: 173) ity distribution P and you want to estimate a" simple" subset S of input space such that the probability that a test point drawn from P lies outside of S equals some a priori specified l/between 0 and 1. We propose a method to approach this problem by trying to estimate a function f which is positive on S and negative on the complement. The functional form of f is given by a kernel expansion in terms of a poten (cid: 173) tially small subset of the training data; it is regularized by controlling the length of the weight vector in an associated feature space. We provide a theoretical analysis of the statistical performance of our algorithm. The algorithm is a natural extension of the support vector algorithm to the case of unlabelled data.