Adaptive Basis Function Construction: An Approach for Adaptive Building of Sparse Polynomial Regression Models 127 Adaptive Basis Function Construction: An Approach for Adaptive Building of Sparse Polynomial Regression Models

The task of learning useful models from available data is common in virtually all fields of science, engineering, and finance. The goal of the learning task is to estimate unknown (input, output) dependency (or model) from training data (consisting of a finite number of samples) with good prediction (generalization) capabilities for future (test) data (Cherkassky & Mulier, 2007; Hastie et al., 2003). One of the specific learning tasks is regression – estimating an unknown real-valued function. The process of regression model learning is also called regression modelling or regression model building. Many practical regression modelling methods use basis function representation – these are also called dictionary methods (Friedman, 1994; Cherkassky & Mulier, 2007; Hastie et al., 2003), where a particular type of chosen basis functions constitutes a “dictionary”. Further distinction is then made between non-adaptive methods and adaptive (also called flexible) methods. The most widely used form of basis function expansions is polynomial of a fixed degree. If a model always includes a fixed (predetermined) set of basis functions (i.e. they are not adapted to training data), the modelling method is considered non-adaptive (Cherkassky & Mulier, 2007; Hastie et al., 2003). Using adaptive modelling methods however the basis functions themselves are adapted to data (by employing some kind of search mechanism). This includes methods where the restriction of fixed polynomial degree is removed and the model’s degree now becomes another parameter to fit. Adaptive methods use a very wide dictionary of candidate basis functions and can, in principle, approximate any continuous function with a pre-specified accuracy. This is also known as the universal approximation property (Kolmogorov & Fomin, 1975, Cherkassky & Mulier, 2007). However, in polynomial regression the increase in the model’s degree leads to exponential growth of the number of basis functions in the model (Cherkassky & Mulier, 2007; Hastie et al., 2003). With finite training data, the number of basis functions along with the number of model’s parameters (coefficients) quickly exceeds the number of data samples, making model’s parameter estimation impossible. Additionally the model should not be overly 8