Bayesian learning of feature spaces for multitask regression

This paper introduces a novel approach to learn multi-task regression models with constrained architecture complexity. The proposed model, named RFF-BLR, consists of a randomised feedforward neural network with two fundamental characteristics: a single hidden layer whose units implement the random Fourier features that approximate an RBF kernel, and a Bayesian formulation that optimises the weights connecting the hidden and output layers. The RFF-based hidden layer inherits the robustness of kernel methods. The Bayesian formulation enables promoting multioutput sparsity: all tasks interplay during the optimisation to select a compact subset of the hidden layer units that serve as common non-linear mapping for every tasks. The experimental results show that the RFF-BLR framework can lead to significant performance improvements compared to the state-of-the-art methods in multitask nonlinear regression, especially in small-sized training dataset scenarios.