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Healing the Relevance Vector Machine through Augmentation
The Relevance Vector Machine (RVM) is a sparse approximate Bayesian kernel method. It provides full predictive distributions for test cases. However, the predictive uncertainties have the unintuitive property, that emph{they get smaller the further you move away from the training cases}. We give a thorough analysis. Inspired by the analogy to non-degenerate Gaussian Processes, we suggest augmentation to solve the problem. The purpose of the resulting model, RVM*, is primarily to corroborate the theoretical and experimental analysis. Although RVM* could be used in practical applications, it is no longer a truly sparse model. Experiments show that sparsity comes at the expense of worse predictive distributions.
@inproceedings{3460, title = {Healing the Relevance Vector Machine through Augmentation}, journal = {Proceedings of the 22nd International Conference on Machine Learning}, abstract = {The Relevance Vector Machine (RVM) is a sparse approximate Bayesian kernel method. It provides full predictive distributions for test cases. However, the predictive uncertainties have the unintuitive property, that emph{they get smaller the further you move away from the training cases}. We give a thorough analysis. Inspired by the analogy to non-degenerate Gaussian Processes, we suggest augmentation to solve the problem. The purpose of the resulting model, RVM*, is primarily to corroborate the theoretical and experimental analysis. Although RVM* could be used in practical applications, it is no longer a truly sparse model. Experiments show that sparsity comes at the expense of worse predictive distributions.}, pages = {689 }, editors = {De Raedt, L. , S. Wrobel}, organization = {Max-Planck-Gesellschaft}, school = {Biologische Kybernetik}, year = {2005}, slug = {3460}, author = {Rasmussen, CE. and Candela, JQ.} }