Physical Sciences and Mathematics Commons^™

Fully Bayesian Analysis Of Relevance Vector Machine Classification With Probit Link Function For Imbalanced Data Problem, Wenyang Wang, Dongchu Sun, Peng Shao, Haibo Kuang, Cong Sui

Department of Statistics: Faculty Publications

The original RVM classification model uses the logistic link function to build the likelihood function making the model hard to be conducted since the posterior of the weight parameter has no closed-form solution. This article proposes the probit link function approach instead of the logistic one for the likelihood function in the RVM classification model, namely PRVM (RVM with the probit link function). We show that the posterior of the weight parameter in PRVM follows the Multivariate Normal distribution and achieves a closed-form solution. A latent variable is needed in our algorithms to simplify the Bayesian computation greatly, and its …