Sparse Kernel Ridge Regression Using Backward Deletion

Based on the feature map principle, Sparse Kernel Ridge Regression (SKRR) model is proposed. SKRR obtains the sparseness by backward deletion feature selection procedure that recursively removes the feature with the smallest leave-one-out score until the stop criterion is satisfied. Besides good generalization performance, the most compelling property of SKRR is rather sparse, and moreover, the kernel function needs not to be positive definite. Experiments on synthetic and benchmark data sets validate the feasibility and validity of SKRR.