Relevance vector machine

Relevance Vector Machine (RVMs) is a machine learning technique that uses Bayesian theory to obtain sparse solutions for regression and classification. The RVM has an identical functional form to the Support Vector Machine, but provides probabilistic classification.

Compared to the SVM the Bayesian formulation allows avoiding the set of free parameters that the SVM have and that usually require cross-validation based post optimizations. However RVMs use a Expectation Maximization(EM) like learning method and are therefore at risk of local minima, unlike the standard SMO based algorithms employed by SVMs which are guaranteed to find a global optimum.

Software

• dlib C++ Library
• The Kernel-Machine Library

External links

• The Relevance Vector Machine Tipping's article on the relevance vector machine.
• Tipping's webpage on Sparse Bayesian Models and the RVM