Bayesian Approach for Radial Kernel Parameter Tuning

Abstract: In this paper we present a new fast and accurate method for Radial Basis Function (RBF) approximation, including interpolation as a special case, which enables us to effectively find the optimal value of the RBF shape parameter. In particular, we propose a statistical technique, called Bayesian optimization, that consists in modelling the error function with a Gaussian process, by which, through an iterative process, the optimal shape parameter is selected. The process is step by step self-updated resulting in a relevant decrease in search time with respect to the classical leave one out cross validation technique. Numerical results deriving from some test examples and an application to real data show the performance of the proposed method.