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Quantile regression with ℓ 1—regularization and Gaussian kernels
Authors:Lei Shi  Xiaolin Huang  Zheng Tian  Johan A K Suykens
Institution:1. Department of Electrical Engineering, KU Leuven, ESAT-SCD-SISTA, 3001, Leuven, Belgium
2. Shanghai Key Laboratory for Contemporary Applied Mathematics, School of Mathematical Sciences, Fudan University, Shanghai, 200433, People’s Republic of China
Abstract:The quantile regression problem is considered by learning schemes based on ? 1—regularization and Gaussian kernels. The purpose of this paper is to present concentration estimates for the algorithms. Our analysis shows that the convergence behavior of ? 1—quantile regression with Gaussian kernels is almost the same as that of the RKHS-based learning schemes. Furthermore, the previous analysis for kernel-based quantile regression usually requires that the output sample values are uniformly bounded, which excludes the common case with Gaussian noise. Our error analysis presented in this paper can give satisfactory convergence rates even for unbounded sampling processes. Besides, numerical experiments are given which support the theoretical results.
Keywords:
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