Online Kernel-Based Nonlinear Neyman-Pearson Classification

We propose a novel Neyman-Pearson (NP) classification algorithm, which achieves the maximum detection rate and meanwhile keeps the false alarm rate around a user-specified threshold. The proposed method processes data in an online framework with nonlinear modeling capabilities by transforming the observations into a high dimensional space via the random Fourier features. After this transformation, we use a linear classifier whose parameters are sequentially learned. We emphasize that our algorithm is the first online Neyman-Pearson classifier in the literature, which is suitable for both linearly and nonlinearly separable datasets. In our experiments, we investigate the performance of our algorithm on well-known datasets and observe that the proposed online algorithm successfully learns the nonlinear class separations (by outperforming the linear models) while matching the desired false alarm rate.