Summary: This paper introduces a general Bayesian framework for obtaining sparse solutions to regression and classification tasks utilizing models linear in the parameters. Although this framework is fully general, we illustrate our approach with a particular specialization that we denote the ‘Relevance Vector Machine’ (RVM), a model of identical functional form to the popular and state-of-the-art ‘Support Vector Machine’ (SVM). We demonstrate that by exploiting a probabilistic Bayesian learning framework, we can derive accurate prediction models which typically utilize dramatically fewer basis functions than a comparable SVM while offering a number of additional advantages. These include the benefits of probabilistic predictions, automatic estimation of ‘nuisance’ parameters, and the facility to utilize arbitrary basis functions (e.g. non-‘Mercer’ kernels).
We detail the Bayesian framework and associated learning algorithm for the RVM, and give some illustrative examples of its application along with some comparative benchmarks. We offer some explanation for the exceptional degree of sparsity obtained, and discuss and demonstrate some of the advantageous features, and potential extensions, of Bayesian relevance learning.