Publication details


G. Ferrari-Trecate. Bayesian methods for nonparametric regression with neural networks . PhD thesis, Universita' degli Studi di Pavia, Dip. di Informatica e Sistemistica, Pavia, Italy, 1999.


A regression problem amounts to the reconstruction of a multi-dimensional hypersurface from a finite number ofnoisy samples. In modern engineering regression algorithms play a fundamental role due to their capability ofinferring mathematical models of phenomena from experimental measures.Regression problems can be tackled using both parametric and nonparametric techniques. With the latter, overfittingis avoided by penalizing the irregularity of the estimate (Tychonov regularization). Then, the estimator has thestructure of a special Neural Network called Regularization Network. These Networks admit also a Bayesianinterpretation if the unknown function is modeled as a Gaussian process. Unfortunately, the computational cost ofsuch nonparametric techniques scales with the cube of the number of data.This thesis clarifies several computational and Approximation issues within Bayesian regression theory.In the second chapter (Bayesian regression) an introduction to the basics of Bayesian inference is provided,highlighting the role of Gaussian priors over spaces of functions.The third chapter (State-space methods in Bayesian regression) focuses on mono dimensional regression problemsfor which the prior admits a state-space representation. In this setting, two new algorithms (with linear complexity)for the computation of the Regularization Network and the so-called equivalent degrees of freedom are presented.In the fourth chapter (Consistent nonparametric identification of NARX models) it is shown that regularizationnetworks are capable of identifying in a consistent way an infinite dimensional class of NARX (NonlinearAutoRegressive eXogenous) models.Finally, in the last chapter (Finite dimensional models) some procedures for the finite dimensional approximation ofthe Bayes estimate are considered. New parametric regression algorithms with linear and quadratic complexity areproposed and their generalization properties analyzed. It is also shown how to apply such procedures to theparametric identification of NARX models.