I am working with the SVMWithSGD classification algorithm on Spark. It works fine for me, however, I would like to recognize the instances that are classified with a high confidence from those with a low one. How do we define the threshold here? Ultimately, I want to keep only those for which the algorithm is very *very* certain about its its decision! How to do that? Is this feature supported already by any MLlib algorithm? What if I had multiple categories?

Any input is highly appreciated!