MMDKernelSelectionCombOpt.h File Reference

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Classes
class	CMMDKernelSelectionCombOpt
	Implementation of optimal kernel selection for combined kernel. This class selects a combination of baseline kernels that maximises the ratio of the MMD and its standard deviation for a combined kernel. This boils down to solve the convex program \[ \min_\beta \{\beta^T (Q+\lambda_m) \beta \quad \text{s.t.}\quad \beta^T \eta=1, \beta\succeq 0\}, \] where \(\eta\) is a vector whose elements are the MMDs of the baseline kernels and \(Q\) is a linear time estimate of the covariance of \(\eta\). More...