Recursive Tensor Network Bayesian Learning of Large-Scale LS-SVMs
M.J. Lucassen (TU Delft - Mechanical Engineering)
Kim Batselier – Mentor (TU Delft - Team Jan-Willem van Wingerden)
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Abstract
Least-squares support-vector-machines are a frequently used supervised learning method for nonlinear regression and classification. The method can be implemented by solving either its primal problem or dual problem. In the dual problem a linear system needs to be solved, yet for large-scale problems this can be impractical as current methods suffer from the \textit{curse of dimensionality}. This phenomena causes the computational and memory requirements to exceed the capabilities of standard computers for large datasets. In this thesis, a tensor network Bayesian learning method was developed to avoid these burdensome complexities. The developed method performs competitively with the current state-of-the-art, and unlike other low-rank approximation methods, allows for incorporation of user-knowledge, noise, early stopping, and yields confidence bounds on the obtained model.