The evidence framework applied to support vector machines

We show that training of the support vector machine (SVM) can be interpreted as performing the level 1 inference of MacKay's evidence framework (1992). We further on show that levels 2 and 3 of the evidence framework can also be applied to SVMs. This integration allows automatic adjustment of the regularization parameter and the kernel parameter to their near-optimal values. Moreover, it opens up a wealth of Bayesian tools for use with SVMs. Performance of this method is evaluated on both synthetic and real-world data sets.