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- W2964187711 abstract "We propose a general matrix-valued multiple kernel learning framework for high-dimensional nonlinear multivariate regression problems. This framework allows a broad class of mixed norm regularizers, including those that induce sparsity, to be imposed on a dictionary of vector-valued Reproducing Kernel Hilbert Spaces. We develop a highly scalable and eigendecomposition-free algorithm that orchestrates two inexact solvers for simultaneously learning both the input and output components of separable matrix-valued kernels. As a key application enabled by our framework, we show how high-dimensional causal inference tasks can be naturally cast as sparse function estimation problems, leading to novel nonlinear extensions of a class of Graphical Granger Causality techniques. Our algorithmic developments and extensive empirical studies are complemented by theoretical analyses in terms of Rademacher generalization bounds." @default.
- W2964187711 created "2019-07-30" @default.
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- W2964187711 creator A5055054658 @default.
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- W2964187711 date "2013-08-11" @default.
- W2964187711 modified "2023-09-27" @default.
- W2964187711 title "Scalable matrix-valued kernel learning for high-dimensional nonlinear multivariate regression and Granger Causality" @default.
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