Supervised Multiple Kernel Embedding for Learning Predictive Subspaces

For supervised learning problems, dimensionality reduction is generally applied as a preprocessing step. However, coupled training of dimensionality reduction and supervised learning steps may improve the prediction performance. In this paper, we propose a novel dimensionality reduction algorithm coupled with a supervised kernel-based learner, called supervised multiple kernel embedding, that integrates multiple kernel learning to dimensionality reduction and performs prediction on the projected subspace with a joint optimization framework. Combining multiple kernels allows us to combine different feature representations and/or similarity measures toward a unified subspace. We perform experiments on one digit recognition and two bioinformatics data sets. Our proposed method significantly outperforms multiple kernel Fisher discriminant analysis followed by a standard kernel-based learner, especially on low dimensions.