A Probabilistic Framework for SVM Regression and Error Bar Estimation

  • Authors:
  • J. B. Gao;S. R. Gunn;C. J. Harris;M. Brown

  • Affiliations:
  • Image, Speech and Intelligent System Research Group, Department of Electronics and Computer Science, University of Southampton, Southampton SO17 1BJ, UK. jg@ecs.soton.ac.uk;Image, Speech and Intelligent System Research Group, Department of Electronics and Computer Science, University of Southampton, Southampton SO17 1BJ, UK. srg@ecs.soton.ac.uk;Image, Speech and Intelligent System Research Group, Department of Electronics and Computer Science, University of Southampton, Southampton SO17 1BJ, UK. cjh@ecs.soton.ac.uk;Data Exploitation Group, D0170, HS&T, IBM Hursley Laboratory, Winchester SO21 2JN, UK. m1brown@uk.ibm.com

  • Venue:
  • Machine Learning
  • Year:
  • 2002

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Abstract

In this paper, we elaborate on the well-known relationship between Gaussian Processes (GP) and Support Vector Machines (SVM) under some convex assumptions for the loss functions. This paper concentrates on the derivation of the evidence and error bar approximation for regression problems. An error bar formula is derived based on the ε-insensitive loss function.