Robust relevance vector machine for classification with variational inference

The relevance vector machine (RVM) is a widely employed statistical method for classification, which provides probability outputs and a sparse solution. However, the RVM can be very sensitive to outliers far from the decision boundary which discriminates between two classes. In this paper, we propose the robust RVM based on a weighting scheme, which is insensitive to outliers and simultaneously maintains the advantages of the original RVM. Given a prior distribution of weights, weight values are determined in a probabilistic way and computed automatically during training. Our theoretical result indicates that the influences of outliers are bounded through the probabilistic weights. Also, a guideline for determining hyperparameters governing a prior is discussed. The experimental results from synthetic and real data sets show that the proposed method performs consistently better than the RVM if a training data set is contaminated by outliers.