On the Convergence Rate of <i>l</i><sub>p</sub>-Norm Multiple Kernel Learning

Marius Kloft, Gilles Blanchard.

Year: 2012, Volume: 13, Issue: 80, Pages: 2465−2502


We derive an upper bound on the local Rademacher complexity of lp-norm multiple kernel learning, which yields a tighter excess risk bound than global approaches. Previous local approaches analyzed the case p=1 only while our analysis covers all cases 1≤p≤∞, assuming the different feature mappings corresponding to the different kernels to be uncorrelated. We also show a lower bound that shows that the bound is tight, and derive consequences regarding excess loss, namely fast convergence rates of the order O(n-α/1+α), where α is the minimum eigenvalue decay rate of the individual kernels.