The entire quantile path of a risk-agnostic SVM classifier

A quantile binary classifier uses the rule: Classify x as + 1 if P(Y = 1|X = x) ≥ τ, and as -1 otherwise, for a fixed quantile parameter τ ∈ [0, 1]. It has been shown that Support Vector Machines (SVMs) in the limit are quantile classifiers with τ = 1/2. In this paper, we show that by using asymmetric cost of misclassification SVMs can be appropriately extended to recover, in the limit, the quantile binary classifier for any τ. We then present a principled algorithm to solve the extended SVM classifier for all values of τ simultaneously. This has two implications: First, one can recover the entire conditional distribution P(Y = 1|X = x) = τ for τ ∈ [