Healing the Relevance Vector Machine through Augmentation

  • Carl E. Rasmussen ,
  • Joaquin Quiñonero Candela

Proceedings of the 22nd International Conference on Machine Learning |

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 they get smaller the further you move away from the training cases. We give a thorough analysis. Inspired by the analogy to nondegenerate 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.