Learning the Kernel Function via Regularization

  • Authors:
  • Charles A. Micchelli;Massimiliano Pontil

  • Affiliations:
  • -;-

  • Venue:
  • The Journal of Machine Learning Research
  • Year:
  • 2005

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Abstract

We study the problem of finding an optimal kernel from a prescribed convex set of kernels K for learning a real-valued function by regularization. We establish for a wide variety of regularization functionals that this leads to a convex optimization problem and, for square loss regularization, we characterize the solution of this problem. We show that, although K may be an uncountable set, the optimal kernel is always obtained as a convex combination of at most m+2 basic kernels, where m is the number of data examples. In particular, our results apply to learning the optimal radial kernel or the optimal dot product kernel.