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Fast adaptive variational sparse Bayesian learning with automatic relevance determination

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4 Author(s)
Shutin, D. ; Dept. of Electr. Eng., Princeton Univ., Princeton, NJ, USA ; Buchgraber, T. ; Kulkarni, S.R. ; Poor, H.V.

In this work a new adaptive fast variational sparse Bayesian learning (V-SBL) algorithm is proposed that is a variational counterpart of the fast marginal likelihood maximization approach to SBL. It al lows one to adaptively construct a sparse regression or classification function as a linear combination of a few basis functions by minimizing the variational free energy. In the case of non-informative hyperpriors, also referred to as automatic relevance determination, the minimization of the free energy can be efficiently realized by computing the fixed points of the update expressions for the variational distribution of the sparsity parameters. The criteria that establish convergence to these fixed points, termed pruning conditions, allow an efficient addition or removal of basis functions; they also have a simple and intuitive interpretation in terms of a component's signal-to-noise ratio. It has been demonstrated that this interpretation allows a simple empirical adjustment of the pruning conditions, which in turn improves sparsity of SBL and drastically accelerates the convergence rate of the algorithm. The experimental evidence collected with synthetic data demonstrates the effectiveness of the proposed learning scheme.

Published in:

Acoustics, Speech and Signal Processing (ICASSP), 2011 IEEE International Conference on

Date of Conference:

22-27 May 2011