Relevance vector machine

In mathematics, a Relevance Vector Machine (RVM) is a machine learning technique that uses Bayesian inference to obtain parsimonious solutions for regression and probabilistic classification.^[1] A greedy optimisation procedure and thus fast version were subsequently developed.^[2][3] The RVM has an identical functional form to the support vector machine, but provides probabilistic classification.

It is actually equivalent to a Gaussian process model with covariance function:

${\displaystyle k(\mathbf {x} ,\mathbf {x'} )=\sum _{j=1}^{N}{\frac {1}{\alpha _{j}}}\varphi (\mathbf {x} ,\mathbf {x} _{j})\varphi (\mathbf {x} ',\mathbf {x} _{j})}$

where ${\displaystyle \varphi }$ is the kernel function (usually Gaussian), ${\displaystyle \alpha _{j}}$ are the variances of the prior on the weight vector ${\displaystyle w\sim N(0,\alpha ^{-1}I)}$, and ${\displaystyle \mathbf {x} _{1},\ldots ,\mathbf {x} _{N}}$ are the input vectors of the training set.^[4]

Compared to that of support vector machines (SVM), the Bayesian formulation of the RVM avoids the set of free parameters of the SVM (that usually require cross-validation-based post-optimizations). However RVMs use an expectation maximization (EM)-like learning method and are therefore at risk of local minima. This is unlike the standard sequential minimal optimization (SMO)-based algorithms employed by SVMs, which are guaranteed to find a global optimum (of the convex problem).

The relevance vector machine was patented in the United States by Microsoft (patent expired September 4, 2019).^[5]

• Kernel trick
• Platt scaling: turns an SVM into a probability model

• dlib C++ Library
• The Kernel-Machine Library
• rvmbinary: R package for binary classification
• scikit-rvm
• fast-scikit-rvm, rvm tutorial

• Tipping's webpage on Sparse Bayesian Models and the RVM
• A Tutorial on RVM by Tristan Fletcher
• Applied tutorial on RVM
• Comparison of RVM and SVM