Concept

Relevance vector machine

Summary
In mathematics, a Relevance Vector Machine (RVM) is a machine learning technique that uses Bayesian inference to obtain parsimonious solutions for regression and probabilistic classification. The RVM has an identical functional form to the support vector machine, but provides probabilistic classification. It is actually equivalent to a Gaussian process model with covariance function: :k(\mathbf{x},\mathbf{x'}) = \sum_{j=1}^N \frac{1}{\alpha_j} \varphi(\mathbf{x},\mathbf{x}_j)\varphi(\mathbf{x}',\mathbf{x}_j) where \varphi is the kernel function (usually Gaussian), \alpha_j are the variances of the prior on the weight vector w \sim N(0,\alpha^{-1}I), and \mathbf{x}_1,\ldots,\mathbf{x}_N are the input vectors of the training set. Compared to that of support vector machines (SVM), the Bayesian formulation of the RVM avoids the set of free parameters of the SVM (that usually require cross-validation-based post-optimizatio
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