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Fast Bayesian Support Vector Machine Parameter Tuning with the Nystrom Method

Gold, Carl and Sollich, Peter (2005) Fast Bayesian Support Vector Machine Parameter Tuning with the Nystrom Method. In: 2005 Proceedings of the International Joint Conference on Neural Networks (IJCNN). IEEE International Joint Conference on Neural Networks (IJCNN). IEEE , Piscataway, NJ, pp. 2820-2825. ISBN 0-7803-9048-2 http://resolver.caltech.edu/CaltechAUTHORS:20110817-102358825

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Abstract

We experiment with speeding up a Bayesian method for tuning the hyperparameters of a support vector machine (SVM) classifier. The Bayesian approach gives the gradients of the evidence as averages over the posterior, which can be approximated using hybrid Monte Carlo simulation (HMC). By using the Nystrom approximation to the SVM kernel, our method significantly reduces the dimensionality of the space to be simulated in the HMC. We show that this speeds up the running time of the HMC simulation from O(n^2) (with a large prefactor) to effectively O(n), where n is the number of training samples. We conclude that the Nystrom approximation has an almost insignificant effect on the performance of the algorithm when compared to the full Bayesian method, and gives excellent performance in comparison with other approaches to hyperparameter tuning.


Item Type:Book Section
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http://dx.doi.org/ 10.1109/IJCNN.2005.1556372 DOIUNSPECIFIED
http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=1556372PublisherUNSPECIFIED
Additional Information:© 2005 IEEE. Issue Date: 31 July-4 Aug. 2005. Date of Current Version: 27 December 2005.
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INSPEC Accession Number8774051
Record Number:CaltechAUTHORS:20110817-102358825
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20110817-102358825
Official Citation:Gold, C.; Sollich, P.; , "Fast Bayesian support vector machine parameter tuning with the Nystrom method," Neural Networks, 2005. IJCNN '05. Proceedings. 2005 IEEE International Joint Conference on , vol.5, no., pp. 2820- 2825 vol. 5, 31 July-4 Aug. 2005 doi: 10.1109/IJCNN.2005.1556372 URL: http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=1556372&isnumber=33093
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:24908
Collection:CaltechAUTHORS
Deposited By: Ruth Sustaita
Deposited On:17 Aug 2011 17:44
Last Modified:17 Aug 2011 17:44

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