Multi-scale Support Vector Regression

A multi-kernel Support Vector Machine model, called Hierarchical Support Vector Regression (HSVR), is proposed here. This is a self-organizing (by growing) multiscale version of a Support Vector Regression (SVR) model. It is constituted of hierarchical layers, each containing a standard SVR with Gaussian kernel, at decreasing scales. HSVR have been applied to a noisy synthetic dataset. The results illustrate their power in denoising the original data, obtaining an effective multiscale reconstruction of better quality than that obtained by standard SVR. Furthermore with this approach the well known problem of tuning the SVR parameters is strongly simplified.