In this work we are interested in the problems of supervised learning and variable selection when the input-output dependence is described by a nonlinear function depending on a few variables. Our goal is to consider a sparse nonparametric model, hence avoiding linear or additive models. The key idea is to measure the importance of each variable in the model by making use of partial derivatives. Based on this intuition we propose a new notion of nonparametric sparsity and a corresponding least squares regularization scheme. Using concepts and results from the theory of reproducing kernel Hilbert spaces and proximal methods, we show that the proposed learning algorithm corresponds to a minimization problem which can be provably solved by an iterative procedure. The consistency properties of the obtained estimator are studied both in terms of prediction and selection performance. An extensive empirical analysis shows that the proposed method performs favorably with respect to the state-of-the-art methods.

研究非线性模型下的监督学习与变量选择问题，提出一种基于偏导数的非参数稀疏模型，利用再生核希尔伯特空间的概念和近端方法得出最小化问题及迭代求解算法，并通过理论和实验分析表明其具有优秀的性能表现。

非参数稀疏性和正则化