Scalable Matrix-valued Kernel Learning for High-dimensional Nonlinear Multivariate Regression and Granger Causality

9 Aug 2014Vikas SindhwaniHa Quang MinhAurelie Lozano

We propose a general matrix-valued multiple kernel learning framework for high-dimensional nonlinear multivariate regression problems. This framework allows a broad class of mixed norm regularizers, including those that induce sparsity, to be imposed on a dictionary of vector-valued Reproducing Kernel Hilbert Spaces... (read more)

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