The HPSVM Procedure

The PENALTY statement specifies a list of penalty values. The penalty values are positive real numbers. If you specify a nonpositive penalty value, the procedure issues an error message and stops. If you specify the PENALTY statement, the penalty value in the C= option in the PROC HPSVM statement is ignored.

The PENALTY statement is combined with the SELECT statement to select the best penalty value through the cross validation statistics. The maximum number of penalty values in the list is 20. If the number of penalty values is more than 20, PROC HPSVM issues an error message and stops.

The PENALTY statement is optional.