Sparse kernel density estimation technique based on zero-norm constraint

Download

	PDF (manuscript) - Published Version Download (152Kb)
	PDF (slides) - Published Version Download (352Kb)

Description/Abstract

A sparse kernel density estimator is derived based on the zero-norm constraint, in which the zero-norm of the kernel weights is incorporated to enhance model sparsity. The classical Parzen window estimate is adopted as the desired response for density estimation, and an approximate function of the zero-norm is used for achieving mathemtical tractability and algorithmic efficiency. Under the mild condition of the positive definite design matrix, the kernel weights of the proposed density estimator based on the zero-norm approximation can be obtained using the multiplicative nonnegative quadratic programming algorithm. Using the $D$-optimality based selection algorithm as the preprocessing to select a small significant subset design matrix, the proposed zero-norm based approach offers an effective means for constructing very sparse kernel density estimates with excellent generalisation performance.