Sparsity in multiple kernel learning
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Publication:620564
DOI10.1214/10-AOS825zbMATH Open1204.62086arXiv1211.2998OpenAlexW2058007550MaRDI QIDQ620564FDOQ620564
Authors: Ming Yuan, Vladimir Koltchinskii 
Publication date: 19 January 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: The problem of multiple kernel learning based on penalized empirical risk minimization is discussed. The complexity penalty is determined jointly by the empirical norms and the reproducing kernel Hilbert space (RKHS) norms induced by the kernels with a data-driven choice of regularization parameters. The main focus is on the case when the total number of kernels is large, but only a relatively small number of them is needed to represent the target function, so that the problem is sparse. The goal is to establish oracle inequalities for the excess risk of the resulting prediction rule showing that the method is adaptive both to the unknown design distribution and to the sparsity of the problem.
Full work available at URL: https://arxiv.org/abs/1211.2998
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reproducing kernel Hilbert spacessparsityhigh dimensionalityoracle inequalitymultiple kernel learningrestricted isometry
Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of functional analysis in probability theory and statistics (46N30) Inequalities; stochastic orderings (60E15) Nonparametric inference (62G99)
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