Data-Driven Optimization Using Reproducing Kernel Hilbert Spaces

The “kernel trick” is well established as a means of constructing nonlinear algorithms from linear ones, by transferring the linear algorithms to a high dimensional feature space: specifically, a reproducing kernel Hilbert space (RKHS). Recently, it has become clear that a potentially more far reaching use of kernels is as a linear way of dealing with higher order statistics, by embedding proba...

In this paper we consider quantile regression in reproducing kernel Hilbert spaces, which we refer to as kernel quantile regression (KQR). We make three contributions: (1) we propose an efficient algorithm that computes the entire solution path of the KQR, with essentially the same computational cost as fitting one KQR model; (2) we derive a simple formula for the effective dimension of the KQR...

We study a positive reproducing kernel for holomorphic functions on complex domains. This kernel, which induces what has now come to be known as the Berezin transform, is manufactured from the Bergman kernel using an idea of L. K. Hua. The kernel has important analytic and geometric properties which we develop in some detail.

Suppose H is a space of functions on X. If H is a Hilbert space with reproducing kernel then that structure of H can be used to build distance functions on X. We describe some of those and their interpretations and interrelations. We also present some computational properties and examples.