Scalable Nonparametric Low-Rank Kernel Learning Using Block Coordinate Descent

摘要

Nonparametric kernel learning (NPKL) is a flexible approach to learn the kernel matrix directly without assuming any parametric form. It can be naturally formulated as a semidefinite program (SDP), which, however, is not very scalable. To address this problem, we propose the combined use of low-rank approximation and block coordinate descent (BCD). Low-rank approximation avoids the expensive positive semidefinite constraint in the SDP by replacing the kernel matrix variable with , where is a low-rank matrix. The resultant nonlinear optimization problem is then solved by BCD, which optimizes each column of sequentially. It can be shown that the proposed algorithm has nice convergence properties and low computational complexities. Experiments on a number of real-world data sets show that the proposed algorithm outperforms state-of-the-art NPKL solvers.