Bayesian Generalized Kernel Models

We propose a fully Bayesian approach for generalized kernel models (GKMs), which are extensions of generalized linear models in the feature space induced by a reproducing kernel. We place a mixture of a point-mass distribution and Silverman's g-prior on the regression vector of GKMs. This mixture prior allows a fraction of the regression vector to be zero. Thus, it serves for sparse modeling and Bayesian computation. For inference, we exploit data augmentation methodology to develop a Markov chain Monte Carlo (MCMC) algorithm in which the reversible jump method is used for model selection and a Bayesian model averaging method is used for posterior prediction.

• Type: Journal
• Year: 2010
• Where: JMLR
• Authors: Zhihua Zhang, Guang Dai, Donghui Wang, Michael I. Jordan
• Keywords: JMLR 2010, Markov Chain Monte Carlo, Regression Vector, Reversible Jump Method